BasisMonicHatComparison.java
package org.drip.sample.spline;
import org.drip.numerical.common.FormatUtil;
import org.drip.spline.bspline.*;
/*
* -*- 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.
*/
/**
* BasisMonicBSpline implements the comparison of the basis hat functions used in the construction of the
* monic basis B Splines. It demonstrates the following:
* - Construction of the Linear Cubic Rational Raw Hat Functions
* - Construction of the Quadratic Cubic Rational Raw Hat Functions
* - Construction of the Corresponding Processed Tension Basis Hat Functions
* - Construction of the Wrapping Monic Functions
* - Estimation and Comparison of the Ordered Derivatives
*
* @author Lakshmi Krishnamurthy
*/
public class BasisMonicHatComparison {
/*
* This sample display the test of the different shape controller functions. It demonstrates the
* following:
* - Construct the Raw Cubic rational left Tension Basis using the specified shape controller and
* tension.
* - Construct the Raw Cubic rational right Tension Basis using the specified shape controller and
* tension.
* - Construct the processed Cubic rational left Tension Basis using the Raw Cubic rational left Tension
* Basis.
* - Construct the processed Cubic rational Right Tension Basis using the Raw Cubic rational Right
* Tension Basis.
* - Construct the Segment Monic Basis Function using the left and the right processed hat functions.
* - Display the response and the derivatives for the left/right cubic rational, and their corresponding
* processed tension hat basis functions.
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final void ShapeControllerTest (
final String strShapeController,
final double dblTension)
throws Exception
{
/*
* Construct the Raw Cubic rational left Tension Basis using the specified shape controller and
* tension.
*/
CubicRationalLeftRaw crlr = new CubicRationalLeftRaw (
1.,
2.,
strShapeController,
dblTension
);
/*
* Construct the Raw Cubic rational right Tension Basis using the specified shape controller and
* tension.
*/
CubicRationalRightRaw crrr = new CubicRationalRightRaw (
2.,
3.,
strShapeController,
dblTension
);
/*
* Construct the processed Cubic rational left Tension Basis using the Raw Cubic rational left
* Tension Basis.
*/
TensionProcessedBasisHat tpbhLeft = new TensionProcessedBasisHat (
crlr,
2
);
/*
* Construct the processed Cubic rational right Tension Basis using the Raw Cubic rational Right
* Tension Basis.
*/
TensionProcessedBasisHat tpbhRight = new TensionProcessedBasisHat (
crrr,
2
);
/*
* Construct the Segment Monic Basis Function using the left and the right processed hat functions.
*/
SegmentMonicBasisFunction smbf = new SegmentMonicBasisFunction (
tpbhLeft,
tpbhRight
);
/*
* Display the response and the derivatives for the left/right cubic rational, and their
* corresponding processed tension hat basis functions.
*/
double dblX = crlr.left();
while (dblX <= crrr.right()) {
System.out.println ("\tDeriv[" + dblX + "] => " +
FormatUtil.FormatDouble (smbf.derivative (dblX, 1), 1, 5, 1.));
System.out.println ("\t\tCubic Rational Left Deriv[" + dblX + "] => " +
FormatUtil.FormatDouble (crlr.derivative (dblX, 3), 1, 5, 1.));
System.out.println ("\t\tCubic Rational Right Deriv[" + dblX + "] => " +
FormatUtil.FormatDouble (crrr.derivative (dblX, 3), 1, 5, 1.));
System.out.println ("\t\tTPBH Left Deriv[" + dblX + "] => " +
FormatUtil.FormatDouble (tpbhLeft.derivative (dblX, 1), 1, 5, 1.));
System.out.println ("\t\tTPBH Right Deriv[" + dblX + "] => " +
FormatUtil.FormatDouble (tpbhRight.derivative (dblX, 1), 1, 5, 1.));
dblX += 0.5;
}
}
/*
* Sample illustrating the construction and usage of different monic basis hat shape controllers. This
* example illustrates the following:
* - Test Rational Linear Shape Control with 0.0 Tension Parameter (i.e., no shape control).
* - Test Rational Linear Shape Control with 1.0 Tension Parameter.
* - Test Rational Quadratic Shape Control with 1.0 Tension Parameter.
* - Test Exponential Shape Control with 1.0 Tension Parameter.
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final void BasisMonicHatComparisonSample()
throws Exception
{
/*
* Test Rational Linear Shape Control with 0.0 Tension Parameter (i.e., no shape control)
*/
System.out.println ("\n-------------------------------------------------------------------");
System.out.println ("----------------- NO SHAPE CONTROL --------------------------------");
System.out.println ("-------------------------------------------------------------------");
ShapeControllerTest (
BasisHatShapeControl.SHAPE_CONTROL_RATIONAL_LINEAR,
0.
);
/*
* Test Rational Linear Shape Control with 1.0 Tension Parameter
*/
System.out.println ("\n-------------------------------------------------------------------");
System.out.println ("----------------- LINEAR SHAPE CONTROL; Tension 1.0 ---------------");
System.out.println ("-------------------------------------------------------------------");
ShapeControllerTest (
BasisHatShapeControl.SHAPE_CONTROL_RATIONAL_LINEAR,
1.
);
/*
* Test Rational Quadratic Shape Control with 1.0 Tension Parameter
*/
System.out.println ("\n-------------------------------------------------------------------");
System.out.println ("-------------- QUADRATIC SHAPE CONTROL; Tension 1.0 ---------------");
System.out.println ("-------------------------------------------------------------------");
ShapeControllerTest (
BasisHatShapeControl.SHAPE_CONTROL_RATIONAL_QUADRATIC,
1.
);
/*
* Test Exponential Shape Control with 1.0 Tension Parameter
*/
System.out.println ("\n-------------------------------------------------------------------");
System.out.println ("-------------- EXPONENTIAL SHAPE CONTROL; Tension 1.0 ---------------");
System.out.println ("-------------------------------------------------------------------");
ShapeControllerTest (
BasisHatShapeControl.SHAPE_CONTROL_RATIONAL_EXPONENTIAL,
1.
);
}
public static final void main (
final String[] astrArgs)
throws Exception
{
BasisMonicHatComparisonSample();
}
}