MultivariateSequence.java

package org.drip.sample.statistics;

import org.drip.feed.loader.*;
import org.drip.measure.statistics.MultivariateMoments;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;

/*
 * -*- 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
 * 
 *  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.
 */

/**
 * UnivariateSequence demonstrates the Generation of the Statistical Measures for the Input Series of
 *  Univariate Sequences.
 *
 * @author Lakshmi Krishnamurthy
 */

public class MultivariateSequence {

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        EnvManager.InitEnv ("");

        String strSeriesLocation = "C:\\DRIP\\CreditAnalytics\\Daemons\\Feeds\\MeanVarianceOptimizer\\FormattedSeries1.csv";

        CSVGrid csvGrid = CSVParser.NamedStringGrid (strSeriesLocation);

        String[] astrVariateHeader = csvGrid.headers();

        String[] astrVariateName = new String[astrVariateHeader.length - 1];
        double[][] aadblVariateSample = new double[astrVariateHeader.length - 1][];

        for (int i = 0; i < astrVariateName.length; ++i) {
            astrVariateName[i] = astrVariateHeader[i + 1];

            aadblVariateSample[i] = csvGrid.doubleArrayAtColumn (i + 1);
        }

        MultivariateMoments mvm = MultivariateMoments.Standard (
            astrVariateName,
            aadblVariateSample
        );

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

        for (int i = 0; i < astrVariateName.length; ++i)
            System.out.println (
                "\t| Mean/Variance/Standard Deviation [" + astrVariateName[i] + "] => " +
                FormatUtil.FormatDouble (mvm.mean (astrVariateName[i]), 1, 2, 1200.) + "% | " +
                FormatUtil.FormatDouble (mvm.variance (astrVariateName[i]), 1, 2, 1200.) + " | " +
                FormatUtil.FormatDouble (mvm.variance (astrVariateName[i]), 1, 2, 100. * Math.sqrt (12)) + "% ||"
            );

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

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

        String strHeader = "\t|     |";

        for (int i = 0; i < astrVariateName.length; ++i)
            strHeader += " " + astrVariateName[i] + "  |";

        System.out.println (strHeader + "|");

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

        for (int i = 0; i < astrVariateName.length; ++i) {
            String strDump = "\t| " + astrVariateName[i] + " ";

            for (int j = 0; j < astrVariateName.length; ++j)
                strDump += "|" + FormatUtil.FormatDouble (
                    mvm.covariance (
                        astrVariateName[i],
                        astrVariateName[j]
                    ), 1, 2, 1200.) + " ";

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

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

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

        strHeader = "\t|     |";

        for (int i = 0; i < astrVariateName.length; ++i)
            strHeader += " " + astrVariateName[i] + "  |";

        System.out.println (strHeader + "|");

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

        for (int i = 0; i < astrVariateName.length; ++i) {
            String strDump = "\t| " + astrVariateName[i] + " ";

            for (int j = 0; j < astrVariateName.length; ++j)
                strDump += "|" + FormatUtil.FormatDouble (
                    mvm.correlation (
                        astrVariateName[i],
                        astrVariateName[j]
                    ), 1, 2, 1.) + " ";

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

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