PiecewiseDisplacedLebesgue.java

  1. package org.drip.sample.measure;

  3. import org.drip.analytics.date.*;
  4. import org.drip.measure.lebesgue.R1PiecewiseDisplaced;
  5. import org.drip.numerical.common.FormatUtil;
  6. import org.drip.service.env.EnvManager;

  8. /*
  9.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  10.  */

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

  74. /**
  75.  * <i>PiecewiseDisplacedLebesgue</i> demonstrates the Generation, the Reconciliation, and the Usage of a
  76.  * Piece-wise Displaced Linear Lebesgue Measure.
  77.  *  
  78.  * <br><br>
  79.  *  <ul>
  80.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalCore.md">Numerical Core Module</a></li>
  81.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalSupportLibrary.md">Numerical Support Library</a></li>
  82.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  83.  *      <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>
  84.  *  </ul>
  85.  * <br><br>
  86.  *
  87.  * @author Lakshmi Krishnamurthy
  88.  */

  90. public class PiecewiseDisplacedLebesgue {

  92.     private static final void RPDL (
  93.         final String strMessage,
  94.         final double dblXMin,
  95.         final double dblXMax,
  96.         final double[] adblX,
  97.         final double[] adblProb,
  98.         final double dblXMean)
  99.         throws Exception
  100.     {
  101.         R1PiecewiseDisplaced rpdl = R1PiecewiseDisplaced.Standard (
  102.             dblXMin,
  103.             dblXMax,
  104.             adblX,
  105.             adblProb,
  106.             dblXMean
  107.         );

  109.         double[] adblQuintile = new double[] {
  110.             0.25,
  111.             0.50,
  112.             0.75
  113.         };

  115.         String strDump = "\t|| " + strMessage + " | ";

  117.         /* for (int i = 0; i < adblX.length; ++i)
  118.             strDump +=
  119.                 FormatUtil.FormatDouble (adblX[i], 3, 3, 1.) + " =>" +
  120.                 FormatUtil.FormatDouble (rpdl.cumulative (adblX[i]), 1, 2, 1.) + " | "; */

  122.         for (int i = 0; i < adblQuintile.length; ++i)
  123.             strDump += " " +
  124.                 FormatUtil.FormatDouble (rpdl.invCumulative (adblQuintile[i]), 3, 3, 1.) + " =>" +
  125.                 FormatUtil.FormatDouble (adblQuintile[i], 1, 2, 1.) + "   | ";

  127.         double[] adblDensitySlope = rpdl.piecewiseDensitySlopes();

  129.         for (int i = 0; i < adblDensitySlope.length; ++i)
  130.             strDump += FormatUtil.FormatDouble (adblDensitySlope[i], 1, 9, 1.) + ",";

  132.         System.out.println (strDump + FormatUtil.FormatDouble (rpdl.densityDisplacement(), 1, 9, 1.) + " ||");
  133.     }

  135.     private static final void DateRPDL (
  136.         final String strMessage,
  137.         final double dblXMin,
  138.         final double dblXMax,
  139.         final double[] adblX,
  140.         final double[] adblProb,
  141.         final double dblXMean)
  142.         throws Exception
  143.     {
  144.         R1PiecewiseDisplaced rpdl = R1PiecewiseDisplaced.Standard (
  145.             dblXMin,
  146.             dblXMax,
  147.             adblX,
  148.             adblProb,
  149.             dblXMean
  150.         );

  152.         double[] adblQuintile = new double[] {
  153.             0.25,
  154.             0.50,
  155.             0.75
  156.         };

  158.         String strDump = "\t|| " + strMessage + " | ";

  160.         for (int i = 0; i < adblQuintile.length; ++i)
  161.             strDump +=
  162.                 new JulianDate ((int) rpdl.invCumulative (adblQuintile[i])) + " =>" +
  163.                 FormatUtil.FormatDouble (adblQuintile[i], 1, 2, 1.) + " | ";

  165.         double[] adblDensitySlope = rpdl.piecewiseDensitySlopes();

  167.         for (int i = 0; i < adblDensitySlope.length; ++i)
  168.             strDump += FormatUtil.FormatDouble (adblDensitySlope[i], 1, 9, 1.) + ",";

  170.         System.out.println (strDump + FormatUtil.FormatDouble (rpdl.densityDisplacement(), 1, 9, 1.) + " ||");
  171.     }

  173.     public static final void main (
  174.         final String[] args)
  175.         throws Exception
  176.     {
  177.         EnvManager.InitEnv ("");

  179.         System.out.println();

  181.         System.out.println ("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  183.         System.out.println ("\t||             FIELD                |                       CUMULATIVE PROBABILITY                    |                  PROBABILITY DENSITY PARAMETERS                  ||");

  185.         System.out.println ("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  187.         RPDL (
  188.             "Age (Months In Balance)         ",
  189.             0.,
  190.             60.,
  191.             new double[] {3., 8., 15.},
  192.             new double[] {0.25, 0.50, 0.75},
  193.             10.1
  194.         );

  196.         DateRPDL (
  197.             "Vintage                         ",
  198.             DateUtil.CreateFromDDMMMYYYY ("15-FEB-2007").julian(),
  199.             DateUtil.CreateFromDDMMMYYYY ("15-FEB-2015").julian(),
  200.             new double[] {
  201.                 DateUtil.CreateFromDDMMMYYYY ("15-APR-2012").julian(),
  202.                 DateUtil.CreateFromDDMMMYYYY ("15-MAR-2013").julian(),
  203.                 DateUtil.CreateFromDDMMMYYYY ("15-FEB-2014").julian()
  204.             },
  205.             new double[] {0.25, 0.50, 0.75},
  206.             DateUtil.CreateFromDDMMMYYYY ("15-FEB-2013").julian()
  207.         );

  209.         RPDL (
  210.             "Original Principal ('000s)      ",
  211.             0.5,
  212.             35.,
  213.             new double[] {8., 12., 20.},
  214.             new double[] {0.25, 0.50, 0.75},
  215.             14.254
  216.         );

  218.         RPDL (
  219.             "Monthly Gross Income ('000s)    ",
  220.             0.25,
  221.             725.549,
  222.             new double[] {3.75, 5.167, 7.333},
  223.             new double[] {0.25, 0.50, 0.75},
  224.             6.066
  225.         );

  227.         RPDL (
  228.             "Coupon (%)                      ",
  229.             5.3,
  230.             29.,
  231.             new double[] {10.6, 13.5, 16.3},
  232.             new double[] {0.25, 0.50, 0.75},
  233.             13.70
  234.         );

  236.         RPDL (
  237.             "FICO At Origination             ",
  238.             612.,
  239.             847.,
  240.             new double[] {677., 692., 717.},
  241.             new double[] {0.25, 0.50, 0.75},
  242.             699.
  243.         );

  245.         RPDL (
  246.             "DTI ex Mortgage (%)             ",
  247.             0.,
  248.             39.,
  249.             new double[] {11., 16., 22.},
  250.             new double[] {0.25, 0.50, 0.75},
  251.             16.6
  252.         );

  254.         RPDL (
  255.             "Total Borrower Accounts         ",
  256.             1,
  257.             162,
  258.             new double[] {16., 23., 31.},
  259.             new double[] {0.25, 0.50, 0.75},
  260.             25
  261.         );

  263.         RPDL (
  264.             "Revolving Utilization Rate (%)  ",
  265.             0.,
  266.             892.,
  267.             new double[] {40., 58., 75.},
  268.             new double[] {0.25, 0.50, 0.75},
  269.             57.
  270.         );

  272.         RPDL (
  273.             "Inquiries in Last 6 Months      ",
  274.             0.,
  275.             33.,
  276.             new double[] {1.},
  277.             new double[] {0.75},
  278.             0.9
  279.         );

  281.         EnvManager.TerminateEnv();
  282.     }
  283. }
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