PlottingPositionGenerator.java

  1. package org.drip.sample.quantile;

  3. import org.drip.numerical.common.FormatUtil;
  4. import org.drip.service.env.EnvManager;
  5. import org.drip.validation.quantile.PlottingPosition;
  6. import org.drip.validation.quantile.PlottingPositionGeneratorFilliben;
  7. import org.drip.validation.quantile.PlottingPositionGeneratorHeuristic;

  9. /*
  10.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  11.  */

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

  71. /**
  72.  * <i>PlottingPositionGenerator</i> compares several Order Statistics Mean and Median Based Plotting Position
  73.  * Generators.
  74.  *
  75.  *  <br><br>
  76.  *  <ul>
  77.  *      <li>
  78.  *          Gibbons, J. D., and S. Chakraborti (2003): <i>Non-parametric Statistical Inference 4th
  79.  *              Edition</i> <b>CRC Press</b>
  80.  *      </li>
  81.  *      <li>
  82.  *          Filliben, J. J. (1975): The Probability Plot Correlation Coefficient Test for Normality
  83.  *              <i>Technometrics, American Society for Quality</i> <b>17 (1)</b> 111-117
  84.  *      </li>
  85.  *      <li>
  86.  *          Gnanadesikan, R. (1977): <i>Methods for Statistical Analysis of Multivariate Observations</i>
  87.  *              <b>Wiley</b>
  88.  *      </li>
  89.  *      <li>
  90.  *          Thode, H. C. (2002): <i>Testing for Normality</i> <b>Marcel Dekker</b> New York
  91.  *      </li>
  92.  *      <li>
  93.  *          Wikipedia (2018): Q-Q Plot https://en.wikipedia.org/wiki/Q%E2%80%93Q_plot
  94.  *      </li>
  95.  *  </ul>
  96.  *
  97.  *  <br><br>
  98.  *  <ul>
  99.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
  100.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ModelValidationAnalyticsLibrary.md">Model Validation Analytics Library</a></li>
  101.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/validation">Model Validation Suite</a></li>
  102.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/validation/quantile">Quantile Based Graphical Numerical Validators</a></li>
  103.  *  </ul>
  104.  * <br><br>
  105.  *
  106.  * @author Lakshmi Krishnamurthy
  107.  */

  109. public class PlottingPositionGenerator
  110. {

  112.     private static final void OrderStatisticQuantiles (
  113.         final PlottingPosition[] plottingPositionArrayStandard,
  114.         final PlottingPosition[] plottingPositionArrayBernardBosLevenbach,
  115.         final PlottingPosition[] plottingPositionArrayNIST,
  116.         final PlottingPosition[] plottingPositionArrayYuHuang,
  117.         final PlottingPosition[] plottingPositionArrayBMDP,
  118.         final PlottingPosition[] plottingPositionArrayBlom,
  119.         final PlottingPosition[] plottingPositionArrayCunnane,
  120.         final PlottingPosition[] plottingPositionArrayGringorten,
  121.         final PlottingPosition[] plottingPositionArrayHazen,
  122.         final PlottingPosition[] plottingPositionArrayLarsenCurrantHunt,
  123.         final PlottingPosition[] plottingPositionArrayFilliben,
  124.         final PlottingPosition[] plottingPositionArrayFillibenMedian)
  125.         throws Exception
  126.     {
  127.         for (int plotIndex = 0; plotIndex < plottingPositionArrayStandard.length; ++plotIndex)
  128.         {
  129.             System.out.println (
  130.                 "\t| " + FormatUtil.FormatDouble (
  131.                     plottingPositionArrayStandard[plotIndex].orderStatisticOrdinal(), 2, 0, 1.
  132.                 ) + " => " +
  133.                 FormatUtil.FormatDouble (plottingPositionArrayStandard[plotIndex].quantile(), 1, 4, 1.) + " | " +
  134.                 FormatUtil.FormatDouble (plottingPositionArrayBernardBosLevenbach[plotIndex].quantile(), 1, 4, 1.) + " | " +
  135.                 FormatUtil.FormatDouble (plottingPositionArrayNIST[plotIndex].quantile(), 1, 4, 1.) + " | " +
  136.                 FormatUtil.FormatDouble (plottingPositionArrayYuHuang[plotIndex].quantile(), 1, 4, 1.) + " | " +
  137.                 FormatUtil.FormatDouble (plottingPositionArrayBMDP[plotIndex].quantile(), 1, 4, 1.) + " | " +
  138.                 FormatUtil.FormatDouble (plottingPositionArrayBlom[plotIndex].quantile(), 1, 4, 1.) + " | " +
  139.                 FormatUtil.FormatDouble (plottingPositionArrayCunnane[plotIndex].quantile(), 1, 4, 1.) + " | " +
  140.                 FormatUtil.FormatDouble (plottingPositionArrayGringorten[plotIndex].quantile(), 1, 4, 1.) + " | " +
  141.                 FormatUtil.FormatDouble (plottingPositionArrayHazen[plotIndex].quantile(), 1, 4, 1.) + " | " +
  142.                 FormatUtil.FormatDouble (plottingPositionArrayLarsenCurrantHunt[plotIndex].quantile(), 1, 4, 1.) + " | " +
  143.                 FormatUtil.FormatDouble (plottingPositionArrayFilliben[plotIndex].quantile(), 1, 4, 1.) + " || " +
  144.                 FormatUtil.FormatDouble (plottingPositionArrayFillibenMedian[plotIndex].quantile(), 1, 4, 1.) + " ||"
  145.             );
  146.         }
  147.     }

  149.     public static final void main (
  150.         final String[] argumentArray)
  151.         throws java.lang.Exception
  152.     {
  153.         EnvManager.InitEnv ("");

  155.         int orderStatisticCount = 25;

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

  159.         System.out.println ("\t|                                 EXPECTED ORDER STATISTICS BASED PLOTTING POSITION GENERATORS                                  ||");

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

  163.         System.out.println ("\t|        L -> R:                                                                                                                ||");

  165.         System.out.println ("\t|                - Order Statistic Ordinal                                                                                      ||");

  167.         System.out.println ("\t|                - Wikipedia Standard (2018)                                                                                    ||");

  169.         System.out.println ("\t|                - Bernard and Bos-Leverbach (1953)                                                                             ||");

  171.         System.out.println ("\t|                - NIST (2013)                                                                                                  ||");

  173.         System.out.println ("\t|                - Yu and Huang (2001)                                                                                          ||");

  175.         System.out.println ("\t|                - BMDP (2018)                                                                                                  ||");

  177.         System.out.println ("\t|                - Blom (1958)                                                                                                  ||");

  179.         System.out.println ("\t|                - Cunnane (1978)                                                                                               ||");

  181.         System.out.println ("\t|                - Gringorten (1963)                                                                                            ||");

  183.         System.out.println ("\t|                - Hazen (1913)                                                                                                 ||");

  185.         System.out.println ("\t|                - Larsen, Currant, and Hunt (1980)                                                                             ||");

  187.         System.out.println ("\t|                - Filliben (1975)                                                                                              ||");

  189.         System.out.println ("\t|                - Filliben (1975) Median Based                                                                                 ||");

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

  193.         OrderStatisticQuantiles (
  194.             PlottingPositionGeneratorHeuristic.Standard (orderStatisticCount).generate(),
  195.             PlottingPositionGeneratorHeuristic.BernardBosLevenbach1953 (orderStatisticCount).generate(),
  196.             PlottingPositionGeneratorHeuristic.NIST2013 (orderStatisticCount).generate(),
  197.             PlottingPositionGeneratorHeuristic.YuHuang2001 (orderStatisticCount).generate(),
  198.             PlottingPositionGeneratorHeuristic.BMDP2018 (orderStatisticCount).generate(),
  199.             PlottingPositionGeneratorHeuristic.Blom1958 (orderStatisticCount).generate(),
  200.             PlottingPositionGeneratorHeuristic.Cunnane1978 (orderStatisticCount).generate(),
  201.             PlottingPositionGeneratorHeuristic.Gringorten1963 (orderStatisticCount).generate(),
  202.             PlottingPositionGeneratorHeuristic.Hazen1913 (orderStatisticCount).generate(),
  203.             PlottingPositionGeneratorHeuristic.LarsenCurrantHunt1980 (orderStatisticCount).generate(),
  204.             PlottingPositionGeneratorHeuristic.Filliben1975 (orderStatisticCount).generate(),
  205.             new PlottingPositionGeneratorFilliben (orderStatisticCount).generate()
  206.         );

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

  210.         EnvManager.TerminateEnv();
  211.     }
  212. }
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