BasisBSplineSet.java

package org.drip.sample.spline;

import org.drip.spline.basis.*;
import org.drip.spline.bspline.*;
import org.drip.spline.params.*;
import org.drip.spline.segment.LatentStateResponseModel;

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

/*!
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * Copyright (C) 2015 Lakshmi Krishnamurthy
 * Copyright (C) 2014 Lakshmi Krishnamurthy
 * Copyright (C) 2013 Lakshmi Krishnamurthy
 * 
 *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
 *      libraries targeting analysts and developers
 *      https://lakshmidrip.github.io/DRIP/
 *  
 *  DRIP is composed of four main libraries:
 *  
 *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
 *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
 *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
 *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
 * 
 *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
 *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
 *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
 *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
 *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
 * 
 *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
 *      Incorporator, Holdings Constraint, and Transaction Costs.
 * 
 *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
 * 
 *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
 * 
 *  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.
 */

/**
 * BasisSplineSet implements Samples for the Construction and the usage of various basis spline functions. It
 *  demonstrates the following:
 *  - Construction of segment control parameters - polynomial (regular/Bernstein) segment control,
 *      exponential/hyperbolic tension segment control, Kaklis-Pandelis tension segment control, and C1
 *      Hermite.
 *  - Control the segment using the rational shape controller, and the appropriate Ck.
 *  - Estimate the node value and the node value Jacobian with the segment, as well as at the boundaries.
 *  - Calculate the segment monotonicity.

 * @author Lakshmi Krishnamurthy
 */

public class BasisBSplineSet {

    /*
     * This sample demonstrates construction and usage of B Spline hat functions over solitary segments. It
     *  shows the constructions of left/right segments, their calibration, and Jacobian evaluation.
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final void TestSpline (
        final FunctionSet fs,
        final ResponseScalingShapeControl rssc,
        final SegmentInelasticDesignControl segParams)
        throws Exception
    {
        /*
         * Construct the left and the right segments
         */

        LatentStateResponseModel seg1 = LatentStateResponseModel.Create (
            1.0,
            1.5,
            fs,
            rssc,
            segParams
        );

        /*
         * Calibrate the left segment using the node values, and compute the segment Jacobian
         */

        System.out.println (
            seg1.calibrate (
                25.,
                0.,
                20.25,
                null
            )
        );

        System.out.println ("\tY[" + 1.0 + "]: " + seg1.responseValue (1.));

        System.out.println ("\tY[" + 1.5 + "]: " + seg1.responseValue (1.5));
    }

    /*
     * This sample demonstrates the construction and usage of the Basis B Spline Set Functionality. It shows
     *  the following:
     *  - Set up the B Spline Sequence Parameters for the Cubic Rational Hat Type, Linear Shape Controller,
     *      using the specified tension and derivative order parameters.
     *  - Setup the B Spline Basis Set.
     *  - Construct the segment inelastic parameter that is C2 (iK = 2 sets it to C2), with second order
     *      curvature penalty, and without constraint.
     *  - Construct and Evaluate the B Spline.
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final void BasisBSplineSetSample()
        throws Exception
    {
        /*
         * Set up the B Spline Sequence Parameters for the Cubic Rational Hat Type, Linear Shape Controller,
         *  using the specified tension and derivative order parameters.
         */

        BSplineSequenceParams bssp = new BSplineSequenceParams (
            BasisHatPairGenerator.PROCESSED_CUBIC_RATIONAL,
            BasisHatShapeControl.SHAPE_CONTROL_RATIONAL_LINEAR,
            2,
            4,
            1.,
            2);

        /*
         * Setup the B Spline Basis Set
         */

        FunctionSet fsBSS = FunctionSetBuilder.BSplineBasisSet (bssp);

        /*
         * Construct the segment inelastic parameter that is C2 (iK = 2 sets it to C2), with second order
         *  curvature penalty, and without constraint
         */

        int iK = 2;
        int iCurvaturePenaltyDerivativeOrder = 2;

        SegmentInelasticDesignControl segParams = SegmentInelasticDesignControl.Create (
            iK,
            iCurvaturePenaltyDerivativeOrder
        );

        /*
         * Construct and Evaluate the B Spline
         */

        TestSpline (
            fsBSS,
            null,
            segParams
        );
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        BasisBSplineSetSample();
    }
}