PiecewiseLinearLebesgue.java

  1. package org.drip.sample.measure;

  3. import org.drip.analytics.date.*;
  4. import org.drip.measure.lebesgue.R1PiecewiseLinear;
  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>PiecewiseLinearLebesgue</i> demonstrates the Generation, the Reconciliation, and the Usage of a
  76.  * Piece-wise 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 PiecewiseLinearLebesgue {

  92.     private static final void RPLL (
  93.         final String strMessage,
  94.         final double dblXMin,
  95.         final double dblXMax,
  96.         final double[] adblX,
  97.         final double[] adblProb)
  98.         throws Exception
  99.     {
  100.         R1PiecewiseLinear rpll = R1PiecewiseLinear.Standard (
  101.             dblXMin,
  102.             dblXMax,
  103.             adblX,
  104.             adblProb
  105.         );

  107.         double[] adblQuintile = new double[] {
  108.             0.25,
  109.             0.50,
  110.             0.75
  111.         };

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

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

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

  125.         double[] adblDensity = rpll.piecewiseDensities();

  127.         for (int i = 0; i < adblDensity.length; ++i)
  128.             strDump += FormatUtil.FormatDouble (adblDensity[i], 1, 9, 1.) + ",";

  130.         System.out.println (strDump + " ||");
  131.     }

  133.     private static final void DateRPLL (
  134.         final String strMessage,
  135.         final double dblXMin,
  136.         final double dblXMax,
  137.         final double[] adblX,
  138.         final double[] adblProb)
  139.         throws Exception
  140.     {
  141.         R1PiecewiseLinear rpll = R1PiecewiseLinear.Standard (
  142.             dblXMin,
  143.             dblXMax,
  144.             adblX,
  145.             adblProb
  146.         );

  148.         double[] adblQuintile = new double[] {
  149.             0.25,
  150.             0.50,
  151.             0.75
  152.         };

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

  156.         for (int i = 0; i < adblQuintile.length; ++i)
  157.             strDump +=
  158.                 new JulianDate ((int) rpll.invCumulative (adblQuintile[i])) + " =>" +
  159.                 FormatUtil.FormatDouble (adblQuintile[i], 1, 2, 1.) + " | ";

  161.         double[] adblDensity = rpll.piecewiseDensities();

  163.         for (int i = 0; i < adblDensity.length; ++i)
  164.             strDump += FormatUtil.FormatDouble (adblDensity[i], 1, 9, 1.) + ",";

  166.         System.out.println (strDump + " ||");
  167.     }

  169.     public static final void main (
  170.         final String[] args)
  171.         throws Exception
  172.     {
  173.         EnvManager.InitEnv ("");

  175.         System.out.println();

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

  179.         System.out.println ("\t||             FIELD                |                       CUMULATIVE PROBABILITY                    |               PROBABILITY DENSITY NODES              ||");

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

  183.         RPLL (
  184.             "Age (Months In Balance)         ",
  185.             0.,
  186.             60.,
  187.             new double[] {3., 8., 15.},
  188.             new double[] {0.25, 0.50, 0.75}
  189.         );

  191.         DateRPLL (
  192.             "Vintage                         ",
  193.             DateUtil.CreateFromDDMMMYYYY ("01-FEB-2007").julian(),
  194.             DateUtil.CreateFromDDMMMYYYY ("01-FEB-2015").julian(),
  195.             new double[] {
  196.                 DateUtil.CreateFromDDMMMYYYY ("01-APR-2012").julian(),
  197.                 DateUtil.CreateFromDDMMMYYYY ("01-MAR-2013").julian(),
  198.                 DateUtil.CreateFromDDMMMYYYY ("01-FEB-2014").julian()
  199.             },
  200.             new double[] {0.25, 0.50, 0.75}
  201.         );

  203.         RPLL (
  204.             "Original Principal ('000s)      ",
  205.             0.5,
  206.             35.,
  207.             new double[] {8., 12., 20.},
  208.             new double[] {0.25, 0.50, 0.75}
  209.         );

  211.         RPLL (
  212.             "Monthly Gross Income ('000s)    ",
  213.             0.25,
  214.             725.549,
  215.             new double[] {3.75, 5.167, 7.333},
  216.             new double[] {0.25, 0.50, 0.75}
  217.         );

  219.         RPLL (
  220.             "Coupon (%)                      ",
  221.             5.3,
  222.             29.,
  223.             new double[] {10.6, 13.5, 16.3},
  224.             new double[] {0.25, 0.50, 0.75}
  225.         );

  227.         RPLL (
  228.             "FICO At Origination             ",
  229.             612.,
  230.             847.,
  231.             new double[] {677., 692., 717.},
  232.             new double[] {0.25, 0.50, 0.75}
  233.         );

  235.         RPLL (
  236.             "DTI ex Mortgage (%)             ",
  237.             0.,
  238.             30.,
  239.             new double[] {11., 16., 22.},
  240.             new double[] {0.25, 0.50, 0.75}
  241.         );

  243.         RPLL (
  244.             "Total Borrower Accounts         ",
  245.             1.,
  246.             162.,
  247.             new double[] {16., 23., 31.},
  248.             new double[] {0.25, 0.50, 0.75}
  249.         );

  251.         RPLL (
  252.             "Revolving Utilization Rate (%)  ",
  253.             0.,
  254.             892.,
  255.             new double[] {40., 58., 75.},
  256.             new double[] {0.25, 0.50, 0.75}
  257.         );

  259.         RPLL (
  260.             "Inquiries in Last 6 Months      ",
  261.             0.,
  262.             33.,
  263.             new double[] {1.},
  264.             new double[] {0.75}
  265.         );

  267.         RPLL (
  268.             "Months Since Last Delinquency   ",
  269.             0.,
  270.             188.,
  271.             new double[] {16., 31., 50.},
  272.             new double[] {0.25, 0.50, 0.75}
  273.         );

  275.         RPLL (
  276.             "Months Since Last Public Record ",
  277.             0.,
  278.             129.,
  279.             new double[] {55., 79., 102.},
  280.             new double[] {0.25, 0.50, 0.75}
  281.         );

  283.         RPLL (
  284.             "Total Open Credit Lines         ",
  285.             0.,
  286.             90.,
  287.             new double[] {8., 10., 14.},
  288.             new double[] {0.25, 0.50, 0.75}
  289.         );

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

  293.         EnvManager.TerminateEnv();
  294.     }
  295. }
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