BigR2Array.java

  1. package org.drip.spaces.big;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * 
  15.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  16.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  17.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  18.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  19.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  20.  *      and computational support.
  21.  *  
  22.  *      https://lakshmidrip.github.io/DROP/
  23.  *  
  24.  *  DROP is composed of three modules:
  25.  *  
  26.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  27.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  28.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  29.  * 
  30.  *  DROP Product Core implements libraries for the following:
  31.  *  - Fixed Income Analytics
  32.  *  - Loan Analytics
  33.  *  - Transaction Cost Analytics
  34.  * 
  35.  *  DROP Portfolio Core implements libraries for the following:
  36.  *  - Asset Allocation Analytics
  37.  *  - Asset Liability Management Analytics
  38.  *  - Capital Estimation Analytics
  39.  *  - Exposure Analytics
  40.  *  - Margin Analytics
  41.  *  - XVA Analytics
  42.  * 
  43.  *  DROP Computational Core implements libraries for the following:
  44.  *  - Algorithm Support
  45.  *  - Computation Support
  46.  *  - Function Analysis
  47.  *  - Model Validation
  48.  *  - Numerical Analysis
  49.  *  - Numerical Optimizer
  50.  *  - Spline Builder
  51.  *  - Statistical Learning
  52.  * 
  53.  *  Documentation for DROP is Spread Over:
  54.  * 
  55.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  56.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  57.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  58.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  59.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  60.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  61.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  62.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  63.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  64.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  65.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  66.  * 
  67.  *  Licensed under the Apache License, Version 2.0 (the "License");
  68.  *      you may not use this file except in compliance with the License.
  69.  *   
  70.  *  You may obtain a copy of the License at
  71.  *      http://www.apache.org/licenses/LICENSE-2.0
  72.  *  
  73.  *  Unless required by applicable law or agreed to in writing, software
  74.  *      distributed under the License is distributed on an "AS IS" BASIS,
  75.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  76.  *  
  77.  *  See the License for the specific language governing permissions and
  78.  *      limitations under the License.
  79.  */

  81. /**
  82.  * <i>BigR2Array</i> contains an Implementation Navigation and Processing Algorithms for Big Double
  83.  * R<sup>2</sup> Arrays.
  84.  * 
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/StatisticalLearningLibrary.md">Statistical Learning Library</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spaces/README.md">R<sup>1</sup> and R<sup>d</sup> Vector/Tensor Spaces (Validated and/or Normed), and Function Classes</a></li>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spaces/big/README.md">Big-data In-place Manipulator</a></li>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public abstract class BigR2Array {
  98.     private int _iXLength = -1;
  99.     private int _iYLength = -1;
  100.     private double[][] _aadblR2 = null;

  102.     /**
  103.      * BigR2Array Constructor
  104.      * 
  105.      * @param aadblR2 2D Big Array Inputs
  106.      * 
  107.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  108.      */

  110.     public BigR2Array (
  111.         final double[][] aadblR2)
  112.         throws java.lang.Exception
  113.     {
  114.         if (null == (_aadblR2 = aadblR2))
  115.             throw new java.lang.Exception ("BigR2Array Constructor => Invalid Inputs");

  117.         if (0 == (_iXLength = _aadblR2.length) || 0 == (_iYLength = _aadblR2[0].length))
  118.             throw new java.lang.Exception ("BigR2Array Constructor => Invalid Inputs");
  119.     }

  121.     /**
  122.      * Compute the Path Response Associated with all the Nodes in the Path up to the Current One.
  123.      *  
  124.      * @param iX The Current X Node
  125.      * @param iY The Current Y Node
  126.      * @param dblPriorPathResponse The Path Product Associated with the Given Prior Navigation Sequence
  127.      * 
  128.      * @return The Path Response
  129.      *  
  130.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  131.      */

  133.     abstract public double pathResponse (
  134.         final int iX,
  135.         final int iY,
  136.         final double dblPriorPathResponse)
  137.         throws java.lang.Exception;

  139.     /**
  140.      * Compute the Maximum Response Associated with all the Left/Right Adjacent Paths starting from the Top
  141.      *  Left Node.
  142.      *  
  143.      * @return The Maximum Response Associated with all the Left/Right Adjacent Paths starting from the
  144.      *  Current Node
  145.      *  
  146.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  147.      */

  149.     abstract public double maxPathResponse()
  150.         throws java.lang.Exception;

  152.     /**
  153.      * Retrieve the Length of the X R^1 Array
  154.      * 
  155.      * @return The Length of the X R^1 Array
  156.      */

  158.     public int xLength()
  159.     {
  160.         return _iXLength;
  161.     }

  163.     /**
  164.      * Retrieve the Length of the Y R^1 Array
  165.      * 
  166.      * @return The Length of the Y R^1 Array
  167.      */

  169.     public int yLength()
  170.     {
  171.         return _iYLength;
  172.     }

  174.     /**
  175.      * Retrieve the R^2 Instance Array
  176.      * 
  177.      * @return The R^2 Instance Array
  178.      */

  180.     public double[][] instance()
  181.     {
  182.         return _aadblR2;
  183.     }

  185.     /**
  186.      * Validate the Specified Index Pair.
  187.      *  
  188.      * @param iX The Current X Node
  189.      * @param iY The Current Y Node
  190.      * 
  191.      * @return TRUE - The Index Pair is Valid
  192.      */

  194.     public boolean validateIndex (
  195.         final int iX,
  196.         final int iY)
  197.     {
  198.         return iX < 0 || iX >= _iXLength || iY < 0 || iY >= _iYLength ? false : true;
  199.     }

  201.     /**
  202.      * Compute the Maximum Response Associated with all the Left/Right Adjacent Paths starting from the
  203.      *  Current Node.
  204.      *  
  205.      * @param iX The Current X Node
  206.      * @param iY The Current Y Node
  207.      * @param dblPriorPathResponse The Path Response Associated with the Given Prior Navigation Sequence
  208.      * 
  209.      * @return The Maximum Response Associated with all the Left/Right Adjacent Paths starting from the
  210.      *  Current Node
  211.      *  
  212.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  213.      */

  215.     public double maxPathResponse (
  216.         final int iX,
  217.         final int iY,
  218.         final double dblPriorPathResponse)
  219.         throws java.lang.Exception
  220.     {
  221.         double dblCurrentPathResponse = pathResponse (iX, iY, dblPriorPathResponse);

  223.         if (iY == _iYLength - 1 && iX == _iXLength - 1) return dblCurrentPathResponse;

  225.         double dblXShiftMaxPathResponse = java.lang.Double.NaN;
  226.         double dblYShiftMaxPathResponse = java.lang.Double.NaN;

  228.         if (iX < _iXLength - 1)
  229.             dblXShiftMaxPathResponse = maxPathResponse (iX + 1, iY, dblCurrentPathResponse);

  231.         if (iY < _iYLength - 1)
  232.             dblYShiftMaxPathResponse = maxPathResponse (iX, iY + 1, dblCurrentPathResponse);

  234.         if (iY == _iYLength - 1) return dblXShiftMaxPathResponse;

  236.         if (iX == _iXLength - 1) return dblYShiftMaxPathResponse;

  238.         return dblXShiftMaxPathResponse > dblYShiftMaxPathResponse ? dblXShiftMaxPathResponse :
  239.             dblYShiftMaxPathResponse;
  240.     }
  241. }
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