PiecewiseDisplacedLebesgue.java
package org.drip.sample.measure;
import org.drip.analytics.date.*;
import org.drip.measure.lebesgue.R1PiecewiseDisplaced;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
* calculations, valuation adjustment, and portfolio construction within and across fixed income,
* credit, commodity, equity, FX, and structured products.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
*
* DROP Analytics Core implements libraries for the following:
* - Fixed Income Analytics
* - Asset Backed Analytics
* - XVA Analytics
* - Exposure and Margin Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Transaction Cost Analytics
*
* DROP Numerical Core implements libraries for the following:
* - Statistical Learning
* - Numerical Optimizer
* - Spline Builder
* - Algorithm Support
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>PiecewiseDisplacedLebesgue</i> demonstrates the Generation, the Reconciliation, and the Usage of a
* Piece-wise Displaced Linear Lebesgue Measure.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalCore.md">Numerical Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalSupportLibrary.md">Numerical Support Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/measure/README.md">Probability Measure Generators</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class PiecewiseDisplacedLebesgue {
private static final void RPDL (
final String strMessage,
final double dblXMin,
final double dblXMax,
final double[] adblX,
final double[] adblProb,
final double dblXMean)
throws Exception
{
R1PiecewiseDisplaced rpdl = R1PiecewiseDisplaced.Standard (
dblXMin,
dblXMax,
adblX,
adblProb,
dblXMean
);
double[] adblQuintile = new double[] {
0.25,
0.50,
0.75
};
String strDump = "\t|| " + strMessage + " | ";
/* for (int i = 0; i < adblX.length; ++i)
strDump +=
FormatUtil.FormatDouble (adblX[i], 3, 3, 1.) + " =>" +
FormatUtil.FormatDouble (rpdl.cumulative (adblX[i]), 1, 2, 1.) + " | "; */
for (int i = 0; i < adblQuintile.length; ++i)
strDump += " " +
FormatUtil.FormatDouble (rpdl.invCumulative (adblQuintile[i]), 3, 3, 1.) + " =>" +
FormatUtil.FormatDouble (adblQuintile[i], 1, 2, 1.) + " | ";
double[] adblDensitySlope = rpdl.piecewiseDensitySlopes();
for (int i = 0; i < adblDensitySlope.length; ++i)
strDump += FormatUtil.FormatDouble (adblDensitySlope[i], 1, 9, 1.) + ",";
System.out.println (strDump + FormatUtil.FormatDouble (rpdl.densityDisplacement(), 1, 9, 1.) + " ||");
}
private static final void DateRPDL (
final String strMessage,
final double dblXMin,
final double dblXMax,
final double[] adblX,
final double[] adblProb,
final double dblXMean)
throws Exception
{
R1PiecewiseDisplaced rpdl = R1PiecewiseDisplaced.Standard (
dblXMin,
dblXMax,
adblX,
adblProb,
dblXMean
);
double[] adblQuintile = new double[] {
0.25,
0.50,
0.75
};
String strDump = "\t|| " + strMessage + " | ";
for (int i = 0; i < adblQuintile.length; ++i)
strDump +=
new JulianDate ((int) rpdl.invCumulative (adblQuintile[i])) + " =>" +
FormatUtil.FormatDouble (adblQuintile[i], 1, 2, 1.) + " | ";
double[] adblDensitySlope = rpdl.piecewiseDensitySlopes();
for (int i = 0; i < adblDensitySlope.length; ++i)
strDump += FormatUtil.FormatDouble (adblDensitySlope[i], 1, 9, 1.) + ",";
System.out.println (strDump + FormatUtil.FormatDouble (rpdl.densityDisplacement(), 1, 9, 1.) + " ||");
}
public static final void main (
final String[] args)
throws Exception
{
EnvManager.InitEnv ("");
System.out.println();
System.out.println ("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| FIELD | CUMULATIVE PROBABILITY | PROBABILITY DENSITY PARAMETERS ||");
System.out.println ("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
RPDL (
"Age (Months In Balance) ",
0.,
60.,
new double[] {3., 8., 15.},
new double[] {0.25, 0.50, 0.75},
10.1
);
DateRPDL (
"Vintage ",
DateUtil.CreateFromDDMMMYYYY ("15-FEB-2007").julian(),
DateUtil.CreateFromDDMMMYYYY ("15-FEB-2015").julian(),
new double[] {
DateUtil.CreateFromDDMMMYYYY ("15-APR-2012").julian(),
DateUtil.CreateFromDDMMMYYYY ("15-MAR-2013").julian(),
DateUtil.CreateFromDDMMMYYYY ("15-FEB-2014").julian()
},
new double[] {0.25, 0.50, 0.75},
DateUtil.CreateFromDDMMMYYYY ("15-FEB-2013").julian()
);
RPDL (
"Original Principal ('000s) ",
0.5,
35.,
new double[] {8., 12., 20.},
new double[] {0.25, 0.50, 0.75},
14.254
);
RPDL (
"Monthly Gross Income ('000s) ",
0.25,
725.549,
new double[] {3.75, 5.167, 7.333},
new double[] {0.25, 0.50, 0.75},
6.066
);
RPDL (
"Coupon (%) ",
5.3,
29.,
new double[] {10.6, 13.5, 16.3},
new double[] {0.25, 0.50, 0.75},
13.70
);
RPDL (
"FICO At Origination ",
612.,
847.,
new double[] {677., 692., 717.},
new double[] {0.25, 0.50, 0.75},
699.
);
RPDL (
"DTI ex Mortgage (%) ",
0.,
39.,
new double[] {11., 16., 22.},
new double[] {0.25, 0.50, 0.75},
16.6
);
RPDL (
"Total Borrower Accounts ",
1,
162,
new double[] {16., 23., 31.},
new double[] {0.25, 0.50, 0.75},
25
);
RPDL (
"Revolving Utilization Rate (%) ",
0.,
892.,
new double[] {40., 58., 75.},
new double[] {0.25, 0.50, 0.75},
57.
);
RPDL (
"Inquiries in Last 6 Months ",
0.,
33.,
new double[] {1.},
new double[] {0.75},
0.9
);
EnvManager.TerminateEnv();
}
}