LocalControlBasisSplineRegressor.java

  1. package org.drip.regression.spline;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>LocalControlBasisSplineRegressor</i> implements the local control basis spline regressor for the given
  86.  * basis spline. As part of the regression run, it executes the following:
  87.  * 
  88.  * <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Calibrate and compute the left and the right Jacobian.
  92.  *      </li>
  93.  *      <li>
  94.  *          Insert the Local Control Hermite, Cardinal, and Catmull-Rom knots.
  95.  *      </li>
  96.  *      <li>
  97.  *          Run Regressor for the C1 Local Control C1 Slope Insertion Bessel/Hermite Spline.
  98.  *      </li>
  99.  *      <li>
  100.  *          Compute an intermediate value Jacobian.
  101.  *      </li>
  102.  *  </ul>
  103.  * 
  104.  * <br><br>
  105.  *  <ul>
  106.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  107.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  108.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/regression/README.md">Regression Engine Core and the Unit Regressors</a></li>
  109.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/regression/spline/README.md">Custom Basis Spline Regression Engine</a></li>
  110.  *  </ul>
  111.  * <br><br>
  112.  *
  113.  * @author Lakshmi Krishnamurthy
  114.  */

  116. public class LocalControlBasisSplineRegressor extends org.drip.regression.core.UnitRegressionExecutor {
  117.     private org.drip.spline.stretch.MultiSegmentSequence _mss = null;
  118.     private org.drip.spline.stretch.MultiSegmentSequence _mssBesselHermite = null;
  119.     private org.drip.spline.stretch.MultiSegmentSequence _mssHermiteInsert = null;
  120.     private org.drip.spline.stretch.MultiSegmentSequence _mssCardinalInsert = null;
  121.     private org.drip.spline.stretch.MultiSegmentSequence _mssCatmullRomInsert = null;

  123.     private final boolean DumpRNVD (
  124.         final java.lang.String strStretchName,
  125.         final org.drip.spline.stretch.MultiSegmentSequence mss,
  126.         final org.drip.regression.core.RegressionRunDetail rrd)
  127.     {
  128.         double dblX = 0.;
  129.         double dblXMax = 4.;

  131.         while (dblX <= dblXMax) {
  132.             try {
  133.                 if (!rrd.set (getName() + "_" + strStretchName + "_" + dblX,
  134.                     org.drip.numerical.common.FormatUtil.FormatDouble (mss.responseValue (dblX), 1, 2, 1.) +
  135.                         " | " + mss.monotoneType (dblX)))
  136.                     return false;
  137.             } catch (java.lang.Exception e) {
  138.                 e.printStackTrace();

  140.                 return false;
  141.             }

  143.             if (!rrd.set (getName() + "_" + strStretchName + "_" + dblX + "_Jack",
  144.                 mss.jackDResponseDCalibrationInput (dblX, 1).displayString()))
  145.                 return false;

  147.             dblX += 0.5;
  148.         }

  150.         return true;
  151.     }

  153.     /**
  154.      * LocalControlBasisSplineRegressor constructor
  155.      * 
  156.      * @param strName Regressor Name
  157.      * @param strScenarioName Regression Scenario Name
  158.      * @param strBasisSpline Basis Spline
  159.      * @param fsbp Basis Set Builder Parameters
  160.      * @param iCk Continuity Ck
  161.      * 
  162.      * @throws java.lang.Exception Thrown if inputs are invalid
  163.      */

  165.     public LocalControlBasisSplineRegressor (
  166.         final java.lang.String strName,
  167.         final java.lang.String strScenarioName,
  168.         final java.lang.String strBasisSpline,
  169.         final org.drip.spline.basis.FunctionSetBuilderParams fsbp,
  170.         final int iCk)
  171.         throws java.lang.Exception
  172.     {
  173.         super (strName, strScenarioName);

  175.         double[] adblX = new double[] {0.00, 1.00,  2.00,  3.00,  4.00};
  176.         int iNumSegment = adblX.length - 1;
  177.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  178.             org.drip.spline.params.SegmentCustomBuilderControl[iNumSegment];

  180.         for (int i = 0; i < iNumSegment; ++i)
  181.             aSCBC[i] = new org.drip.spline.params.SegmentCustomBuilderControl (strBasisSpline, fsbp,
  182.                 org.drip.spline.params.SegmentInelasticDesignControl.Create (iCk, 1), new
  183.                     org.drip.spline.params.ResponseScalingShapeControl (true, new
  184.                         org.drip.function.r1tor1.QuadraticRationalShapeControl (1.)), null);

  186.         if (null == (_mss =
  187.             org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateUncalibratedStretchEstimator
  188.                 ("SPLINE_STRETCH", adblX, aSCBC)))
  189.             throw new java.lang.Exception
  190.                 ("LocalControlBasisSplineRegressor ctr: Cannot Construct Stretch!");
  191.     }

  193.     @Override public boolean preRegression()
  194.     {
  195.         double[] adblY = new double[] {1.00, 4.00, 15.00, 40.00, 85.00};
  196.         double[] adblDYDX = new double[] {1.00, 6.00, 17.00, 34.00, 57.00};

  198.         org.drip.spline.params.SegmentCustomBuilderControl scbc = null;
  199.         org.drip.spline.params.SegmentPredictorResponseDerivative[] aSPRDLeft = new
  200.             org.drip.spline.params.SegmentPredictorResponseDerivative[adblY.length - 1];
  201.         org.drip.spline.params.SegmentPredictorResponseDerivative[] aSPRDRight = new
  202.             org.drip.spline.params.SegmentPredictorResponseDerivative[adblY.length - 1];

  204.         for (int i = 0; i < adblY.length - 1; ++i) {
  205.             try {
  206.                 aSPRDLeft[i] = new org.drip.spline.params.SegmentPredictorResponseDerivative (adblY[i], new
  207.                     double[] {adblDYDX[i]});

  209.                 aSPRDRight[i] = new org.drip.spline.params.SegmentPredictorResponseDerivative (adblY[i + 1],
  210.                     new double[] {adblDYDX[i + 1]});
  211.             } catch (java.lang.Exception e) {
  212.                 e.printStackTrace();

  214.                 return false;
  215.             }
  216.         }

  218.         try {
  219.             scbc = new org.drip.spline.params.SegmentCustomBuilderControl
  220.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  221.                     org.drip.spline.basis.PolynomialFunctionSetParams (4),
  222.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
  223.                             org.drip.spline.params.ResponseScalingShapeControl (true, new
  224.                                 org.drip.function.r1tor1.QuadraticRationalShapeControl (1.)), null);
  225.         } catch (java.lang.Exception e) {
  226.             e.printStackTrace();

  228.             return false;
  229.         }

  231.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  232.             org.drip.spline.params.SegmentCustomBuilderControl[adblY.length - 1]; 

  234.         for (int i = 0; i < adblY.length - 1; ++i)
  235.             aSCBC[i] = scbc;

  237.         if (null == (_mssBesselHermite =
  238.             org.drip.spline.pchip.LocalControlStretchBuilder.CreateBesselCubicSplineStretch
  239.                 ("BESSEL_STRETCH", new double[] {0.00, 1.00,  2.00,  3.00,  4.00}, adblY, aSCBC, null,
  240.                     org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, true, true)))
  241.             return false;

  243.         return _mss.setupHermite (aSPRDLeft, aSPRDRight, null, null,
  244.             org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE_JACOBIAN);
  245.     }

  247.     @Override public boolean execRegression()
  248.     {
  249.         try {
  250.             if (null == (_mssHermiteInsert = org.drip.spline.stretch.MultiSegmentSequenceModifier.InsertKnot
  251.                 (_mss, 2.5, new org.drip.spline.params.SegmentPredictorResponseDerivative (27.5, new double[]
  252.                     {25.5}), new org.drip.spline.params.SegmentPredictorResponseDerivative (27.5, new
  253.                         double[] {25.5}))))
  254.                 return false;
  255.         } catch (java.lang.Exception e) {
  256.             e.printStackTrace();

  258.             return false;
  259.         }

  261.         if (null == (_mssCardinalInsert =
  262.             org.drip.spline.stretch.MultiSegmentSequenceModifier.InsertCardinalKnot (_mss, 2.5, 0.)))
  263.             return false;

  265.         return null != (_mssCatmullRomInsert =
  266.             org.drip.spline.stretch.MultiSegmentSequenceModifier.InsertCatmullRomKnot (_mss, 2.5));
  267.     }

  269.     @Override public boolean postRegression (
  270.         final org.drip.regression.core.RegressionRunDetail rrd)
  271.     {
  272.         return DumpRNVD ("LOCAL_NO_KNOT", _mss, rrd) && DumpRNVD ("LOCAL_HERMITE_KNOT", _mssHermiteInsert,
  273.             rrd) && DumpRNVD ("LOCAL_CARDINAL_KNOT", _mssCardinalInsert, rrd) && DumpRNVD
  274.                 ("LOCAL_CATMULL_ROM_KNOT", _mssCatmullRomInsert, rrd) && DumpRNVD ("LOCAL_C1_BESSEL_HERMITE",
  275.                     _mssBesselHermite, rrd);
  276.     }
  277. }
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