KnotInsertionSequenceAdjuster.java
package org.drip.sample.stretch;
import org.drip.function.r1tor1.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.spline.basis.PolynomialFunctionSetParams;
import org.drip.spline.params.*;
import org.drip.spline.stretch.*;
/*
* -*- 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.
*/
/**
* KnotInsertionSequenceAdjuster demonstrates the Stretch Manipulation and Adjustment API. It shows the
* following:
* - Construct a simple Base Stretch.
* - Clip a left Portion of the Stretch to construct a left-clipped Stretch.
* - Clip a right Portion of the Stretch to construct a tight-clipped Stretch.
* - Compare the values across all the stretches to establish a) the continuity in the base smoothness is,
* preserved, and b) Continuity across the predictor ordinate for the implied response value is also
* preserved.
*
* @author Lakshmi Krishnamurthy
*/
public class KnotInsertionSequenceAdjuster {
/*
* Build Polynomial Segment Control Parameters
*
* WARNING: Insufficient Error Checking, so use caution
*/
private static final SegmentCustomBuilderControl PolynomialSegmentControlParams (
final int iNumBasis,
final SegmentInelasticDesignControl sdic,
final ResponseScalingShapeControl rssc)
throws Exception
{
return new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (iNumBasis),
sdic,
rssc,
null
);
}
/*
* Basis Spline Stretch Test Sample. Performs the following:
* - Construct the Array of Segment Builder Parameters - one per segment.
* - Construct the Stretch instance.
*
* WARNING: Insufficient Error Checking, so use caution
*/
private static final MultiSegmentSequence BasisSplineStretchTest (
final double[] adblX,
final double[] adblY,
final SegmentCustomBuilderControl scbc)
throws Exception
{
/*
* Array of Segment Builder Parameters - one per segment
*/
SegmentCustomBuilderControl[] aSCBC = new SegmentCustomBuilderControl[adblX.length - 1];
for (int i = 0; i < adblX.length - 1; ++i)
aSCBC[i] = scbc;
/*
* Construct a Stretch instance
*/
return MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator (
"SPLINE_STRETCH",
adblX, // predictors
adblY, // responses
aSCBC, // Basis Segment Builder parameters
null,
BoundarySettings.NaturalStandard(), // Boundary Condition - Natural
MultiSegmentSequence.CALIBRATE // Calibrate the Stretch predictors to the responses
);
}
/*
* The Stretch Adjuster Test - this brings it altogether.
*/
private static final void StretchAdjusterTest()
throws Exception
{
/*
* X predictors
*/
double[] adblX = new double[] { 1.00, 1.50, 2.00, 3.00, 4.00, 5.00, 6.50, 8.00, 10.00};
/*
* Y responses
*/
double[] adblY = new double[] {25.00, 20.25, 16.00, 9.00, 4.00, 1.00, 0.25, 4.00, 16.00};
/*
* Construct a rational shape controller with the shape controller tension of 1.
*/
double dblShapeControllerTension = 1.;
ResponseScalingShapeControl rssc = new ResponseScalingShapeControl (
false,
new QuadraticRationalShapeControl (dblShapeControllerTension)
);
/*
* Construct the segment inelastic parameter that is C2 (iK = 2 sets it to C2), with 2nd order
* roughness penalty derivative, and without constraint
*/
int iK = 2;
int iRoughnessPenaltyDerivativeOrder = 2;
SegmentInelasticDesignControl sdic = SegmentInelasticDesignControl.Create (
iK,
iRoughnessPenaltyDerivativeOrder
);
/*
* Build the polynomial basis spline segment control parameters, and set up the stretch
*/
System.out.println (" \n---------- \n POLYNOMIAL \n ---------- \n");
int iPolyNumBasis = 4;
SegmentCustomBuilderControl scbc = PolynomialSegmentControlParams (
iPolyNumBasis,
sdic,
rssc
);
MultiSegmentSequence mssBase = BasisSplineStretchTest (
adblX,
adblY,
scbc
);
/*
* Estimate, compute the segment-by-segment monotonicity and the Stretch Jacobian
*/
double dblX = mssBase.getLeftPredictorOrdinateEdge();
double dblXMax = mssBase.getRightPredictorOrdinateEdge();
while (dblX <= dblXMax) {
System.out.println ("Y[" + dblX + "] " + FormatUtil.FormatDouble (mssBase.responseValue (dblX), 1, 2, 1.) + " | "
+ mssBase.monotoneType (dblX));
System.out.println ("Jacobian Y[" + dblX + "]=" + mssBase.jackDResponseDCalibrationInput (dblX, 1).displayString());
dblX += 1.;
}
/*
* Clip part of the stretch left of the specified predictor ordinate
*/
System.out.println ("\tSPLINE_STRETCH_BASE DPE: " + mssBase.curvatureDPE());
System.out.println (" \n---------- \n LEFT CLIPPED \n ---------- \n");
MultiSegmentSequence mssLeftClipped = mssBase.clipLeft (
"LEFT_CLIP",
1.66
);
dblX = mssBase.getLeftPredictorOrdinateEdge();
/*
* Estimate, compute the segment-by-segment monotonicity and the Stretch Jacobian of the left clipped stretch
*/
while (dblX <= dblXMax) {
if (mssLeftClipped.in (dblX)) {
System.out.println ("Y[" + dblX + "] " + FormatUtil.FormatDouble (mssLeftClipped.responseValue (dblX), 1, 2, 1.) + " | "
+ mssLeftClipped.monotoneType (dblX));
System.out.println ("Jacobian Y[" + dblX + "]=" + mssLeftClipped.jackDResponseDCalibrationInput (dblX, 1).displayString());
}
dblX += 1.;
}
/*
* Left clipped stretch DPE
*/
System.out.println ("\tSPLINE_STRETCH_LEFT DPE: " + mssLeftClipped.curvatureDPE());
/*
* Clip part of the stretch right of the specified predictor ordinate
*/
System.out.println (" \n---------- \n RIGHT CLIPPED \n ---------- \n");
MultiSegmentSequence mssRightClipped = mssBase.clipRight (
"RIGHT_CLIP",
7.48
);
/*
* Estimate, compute the segment-by-segment monotonicity and the Stretch Jacobian of the right clipped stretch
*/
dblX = mssBase.getLeftPredictorOrdinateEdge();
while (dblX <= dblXMax) {
if (mssRightClipped.in (dblX)) {
System.out.println ("Y[" + dblX + "] " + FormatUtil.FormatDouble (mssRightClipped.responseValue (dblX), 1, 2, 1.) + " | "
+ mssRightClipped.monotoneType (dblX));
System.out.println ("Jacobian Y[" + dblX + "]=" + mssRightClipped.jackDResponseDCalibrationInput (dblX, 1).displayString());
}
dblX += 1.;
}
/*
* Right clipped stretch DPE
*/
System.out.println ("\tSPLINE_STRETCH_RIGHT DPE: " + mssRightClipped.curvatureDPE());
/*
* Ordered Side by side Comparison of left clipped - unclipped - right clipped response values
*/
dblX = mssBase.getLeftPredictorOrdinateEdge();
dblXMax = mssBase.getRightPredictorOrdinateEdge();
System.out.println ("\n-----------------------------------------------------------------------------------------------------");
System.out.println (" BASE || LEFT CLIPPED || RIGHT CLIPPED");
System.out.println ("-----------------------------------------------------------------------------------------------------");
while (dblX <= dblXMax) {
java.lang.String strLeftClippedValue = " ";
java.lang.String strRightClippedValue = " ";
java.lang.String strLeftClippedMonotonocity = " ";
java.lang.String strRightClippedMonotonocity = " ";
/*
* Unclipped
*/
java.lang.String strDisplay = "Y[" + FormatUtil.FormatDouble (dblX, 2, 3, 1.) + "] => "
+ FormatUtil.FormatDouble (mssBase.responseValue (dblX), 2, 6, 1.) + " | "
+ mssBase.monotoneType (dblX);
/*
* Left clipped
*/
if (mssLeftClipped.in (dblX)) {
strLeftClippedValue = FormatUtil.FormatDouble (mssLeftClipped.responseValue (dblX), 2, 6, 1.);
strLeftClippedMonotonocity = mssLeftClipped.monotoneType (dblX).toString();
}
/*
* Right clipped
*/
if (mssRightClipped.in (dblX)) {
strRightClippedValue = FormatUtil.FormatDouble (mssRightClipped.responseValue (dblX), 2, 6, 1.);
strRightClippedMonotonocity = mssRightClipped.monotoneType (dblX).toString();
}
System.out.println (strDisplay + " || " + strLeftClippedValue + " | " + strLeftClippedMonotonocity +
" || " + strRightClippedValue + " | " + strRightClippedMonotonocity);
dblX += 0.5;
}
}
public static final void main (
final String[] astrArgs)
throws Exception
{
StretchAdjusterTest();
}
}