BestFitFlexurePenalizer.java

  1. package org.drip.spline.segment;

  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.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * 
  17.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  18.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  19.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  20.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  21.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  22.  *      and computational support.
  23.  *  
  24.  *      https://lakshmidrip.github.io/DROP/
  25.  *  
  26.  *  DROP is composed of three modules:
  27.  *  
  28.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  29.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  30.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  31.  * 
  32.  *  DROP Product Core implements libraries for the following:
  33.  *  - Fixed Income Analytics
  34.  *  - Loan Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Portfolio Core implements libraries for the following:
  38.  *  - Asset Allocation Analytics
  39.  *  - Asset Liability Management Analytics
  40.  *  - Capital Estimation Analytics
  41.  *  - Exposure Analytics
  42.  *  - Margin Analytics
  43.  *  - XVA Analytics
  44.  * 
  45.  *  DROP Computational Core implements libraries for the following:
  46.  *  - Algorithm Support
  47.  *  - Computation Support
  48.  *  - Function Analysis
  49.  *  - Model Validation
  50.  *  - Numerical Analysis
  51.  *  - Numerical Optimizer
  52.  *  - Spline Builder
  53.  *  - Statistical Learning
  54.  * 
  55.  *  Documentation for DROP is Spread Over:
  56.  * 
  57.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  58.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  59.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  60.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  61.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  62.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  63.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  64.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  65.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  66.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  67.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  68.  * 
  69.  *  Licensed under the Apache License, Version 2.0 (the "License");
  70.  *      you may not use this file except in compliance with the License.
  71.  *   
  72.  *  You may obtain a copy of the License at
  73.  *      http://www.apache.org/licenses/LICENSE-2.0
  74.  *  
  75.  *  Unless required by applicable law or agreed to in writing, software
  76.  *      distributed under the License is distributed on an "AS IS" BASIS,
  77.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  78.  *  
  79.  *  See the License for the specific language governing permissions and
  80.  *      limitations under the License.
  81.  */

  83. /**
  84.  * <i>BestFitFlexurePenalizer</i> implements the Segment's Best Fit, Curvature, and Length Penalizers. It
  85.  * provides the following functionality:
  86.  *
  87.  * <br><br>
  88.  *  <ul>
  89.  *      <li>
  90.  *          Compute the Cross-Curvature Penalty for the given Basis Pair
  91.  *      </li>
  92.  *      <li>
  93.  *          Compute the Cross-Length Penalty for the given Basis Pair
  94.  *      </li>
  95.  *      <li>
  96.  *          Compute the Best Fit Cross-Product Penalty for the given Basis Pair
  97.  *      </li>
  98.  *      <li>
  99.  *          Compute the Basis Pair Penalty Coefficient for the Best Fit and the Curvature Penalties
  100.  *      </li>
  101.  *      <li>
  102.  *          Compute the Penalty Constraint for the Basis Pair
  103.  *      </li>
  104.  *  </ul>
  105.  *
  106.  * <br><br>
  107.  *  <ul>
  108.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  109.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/SplineBuilderLibrary.md">Spline Builder Library</a></li>
  110.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spline/README.md">Basis Splines and Linear Compounders across a Broad Family of Spline Basis Functions</a></li>
  111.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spline/segment/README.md">Flexure Penalizing Best Fit Segment</a></li>
  112.  *  </ul>
  113.  * <br><br>
  114.  * 
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class BestFitFlexurePenalizer {
  119.     private org.drip.spline.segment.BasisEvaluator _lbe = null;
  120.     private org.drip.spline.segment.LatentStateInelastic _ics = null;
  121.     private org.drip.spline.params.SegmentBestFitResponse _sbfr = null;
  122.     private org.drip.spline.params.SegmentFlexurePenaltyControl _sfpcLength = null;
  123.     private org.drip.spline.params.SegmentFlexurePenaltyControl _sfpcCurvature = null;

  125.     /**
  126.      * BestFitFlexurePenalizer constructor
  127.      * 
  128.      * @param ics Segment Inelastics
  129.      * @param sfpcCurvature Curvature Penalty Parameters
  130.      * @param sfpcLength Length Penalty Parameters
  131.      * @param sbfr Best Fit Weighted Response
  132.      * @param lbe The Local Basis Evaluator
  133.      * 
  134.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  135.      */

  137.     public BestFitFlexurePenalizer (
  138.         final org.drip.spline.segment.LatentStateInelastic ics,
  139.         final org.drip.spline.params.SegmentFlexurePenaltyControl sfpcCurvature,
  140.         final org.drip.spline.params.SegmentFlexurePenaltyControl sfpcLength,
  141.         final org.drip.spline.params.SegmentBestFitResponse sbfr,
  142.         final org.drip.spline.segment.BasisEvaluator lbe)
  143.         throws java.lang.Exception
  144.     {
  145.         if (null == (_lbe = lbe) || null == (_ics = ics))
  146.             throw new java.lang.Exception ("BestFitFlexurePenalizer ctr: Invalid Inputs");

  148.         _sbfr = sbfr;
  149.         _sfpcLength = sfpcLength;
  150.         _sfpcCurvature = sfpcCurvature;
  151.     }

  153.     /**
  154.      * Compute the Cross-Curvature Penalty for the given Basis Pair
  155.      * 
  156.      * @param iBasisIndexI I Basis Index (I is the Summation Index)
  157.      * @param iBasisIndexR R Basis Index (R is the Separator Index)
  158.      * 
  159.      * @return The Cross-Curvature Penalty for the given Basis Pair
  160.      * 
  161.      * @throws java.lang.Exception Thrown if the Cross-Curvature Penalty cannot be computed
  162.      */

  164.     public double basisPairCurvaturePenalty (
  165.         final int iBasisIndexI,
  166.         final int iBasisIndexR)
  167.         throws java.lang.Exception
  168.     {
  169.         if (null == _sfpcCurvature) return 0.;

  171.         org.drip.function.definition.R1ToR1 au = new org.drip.function.definition.R1ToR1
  172.             (null) {
  173.             @Override public double evaluate (
  174.                 final double dblVariate)
  175.                 throws Exception
  176.             {
  177.                 int iOrder = _sfpcCurvature.derivativeOrder();

  179.                 return _lbe.shapedBasisFunctionDerivative (dblVariate, iOrder, iBasisIndexI) *
  180.                     _lbe.shapedBasisFunctionDerivative (dblVariate, iOrder, iBasisIndexR);
  181.             }

  183.             @Override public double integrate (
  184.                 final double dblBegin,
  185.                 final double dblEnd)
  186.                 throws java.lang.Exception
  187.             {
  188.                 return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
  189.             }
  190.         };

  192.         return _sfpcCurvature.amplitude() * au.integrate (_ics.left(), _ics.right());
  193.     }

  195.     /**
  196.      * Compute the Cross-Length Penalty for the given Basis Pair
  197.      * 
  198.      * @param iBasisIndexI I Basis Index (I is the Summation Index)
  199.      * @param iBasisIndexR R Basis Index (R is the Separator Index)
  200.      * 
  201.      * @return The Cross-Length Penalty for the given Basis Pair
  202.      * 
  203.      * @throws java.lang.Exception Thrown if the Cross-Length Penalty cannot be computed
  204.      */

  206.     public double basisPairLengthPenalty (
  207.         final int iBasisIndexI,
  208.         final int iBasisIndexR)
  209.         throws java.lang.Exception
  210.     {
  211.         if (null == _sfpcLength) return 0.;

  213.         org.drip.function.definition.R1ToR1 au = new org.drip.function.definition.R1ToR1
  214.             (null) {
  215.             @Override public double evaluate (
  216.                 final double dblVariate)
  217.                 throws Exception
  218.             {
  219.                 int iOrder = _sfpcLength.derivativeOrder();

  221.                 return _lbe.shapedBasisFunctionDerivative (dblVariate, iOrder, iBasisIndexI) *
  222.                     _lbe.shapedBasisFunctionDerivative (dblVariate, iOrder, iBasisIndexR);
  223.             }

  225.             @Override public double integrate (
  226.                 final double dblBegin,
  227.                 final double dblEnd)
  228.                 throws java.lang.Exception
  229.             {
  230.                 return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
  231.             }
  232.         };

  234.         return _sfpcLength.amplitude() * au.integrate (_ics.left(), _ics.right());
  235.     }

  237.     /**
  238.      * Compute the Best Fit Cross-Product Penalty for the given Basis Pair
  239.      * 
  240.      * @param iBasisIndexI I Basis Index (I is the Summation Index)
  241.      * @param iBasisIndexR R Basis Index (R is the Separator Index)
  242.      * 
  243.      * @return The Best Fit Cross-Product Penalty for the given Basis Pair
  244.      * 
  245.      * @throws java.lang.Exception Thrown if the Best Fit Cross-Product Penalty cannot be computed
  246.      */

  248.     public double basisBestFitPenalty (
  249.         final int iBasisIndexI,
  250.         final int iBasisIndexR)
  251.         throws java.lang.Exception
  252.     {
  253.         if (null == _sbfr) return 0.;

  255.         int iNumPoint = _sbfr.numPoint();

  257.         if (0 == iNumPoint) return 0.;

  259.         double dblBasisPairFitnessPenalty = 0.;

  261.         for (int i = 0; i < iNumPoint; ++i) {
  262.             double dblPredictorOrdinate = _sbfr.predictorOrdinate (i);

  264.             dblBasisPairFitnessPenalty += _sbfr.weight (i) * _lbe.shapedBasisFunctionResponse
  265.                 (dblPredictorOrdinate, iBasisIndexI) * _lbe.shapedBasisFunctionResponse
  266.                     (dblPredictorOrdinate, iBasisIndexR);
  267.         }

  269.         return dblBasisPairFitnessPenalty / iNumPoint;
  270.     }

  272.     /**
  273.      * Compute the Basis Pair Penalty Coefficient for the Best Fit and the Curvature Penalties
  274.      * 
  275.      * @param iBasisIndexI I Basis Index (I is the Summation Index)
  276.      * @param iBasisIndexR R Basis Index (R is the Separator Index)
  277.      * 
  278.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  279.      * 
  280.      * @return The Basis Pair Penalty Coefficient for the Fitness and the Curvature Penalties
  281.      */

  283.     public double basisPairConstraintCoefficient (
  284.         final int iBasisIndexI,
  285.         final int iBasisIndexR)
  286.         throws java.lang.Exception
  287.     {
  288.         return basisPairCurvaturePenalty (iBasisIndexI, iBasisIndexR) + basisPairLengthPenalty (iBasisIndexI,
  289.             iBasisIndexR) + basisBestFitPenalty (iBasisIndexI, iBasisIndexR);
  290.     }

  292.     /**
  293.      * Compute the Penalty Constraint for the Basis Pair
  294.      * 
  295.      * @param iBasisIndexR R Basis Index (R is the Separator Index)
  296.      * 
  297.      * @return Penalty Constraint for the Basis Pair
  298.      * 
  299.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  300.      */

  302.     public double basisPairPenaltyConstraint (
  303.         final int iBasisIndexR)
  304.         throws java.lang.Exception
  305.     {
  306.         if (null == _sbfr) return 0.;

  308.         int iNumPoint = _sbfr.numPoint();

  310.         if (0 == iNumPoint) return 0.;

  312.         double dblBasisPairPenaltyConstraint = 0.;

  314.         for (int i = 0; i < iNumPoint; ++i) {
  315.             double dblPredictorOrdinate = _sbfr.predictorOrdinate (i);

  317.             dblBasisPairPenaltyConstraint += _sbfr.weight (i) * _lbe.shapedBasisFunctionResponse
  318.                 (dblPredictorOrdinate, iBasisIndexR) * _sbfr.response (i);
  319.         }

  321.         return dblBasisPairPenaltyConstraint / iNumPoint;
  322.     }
  323. }
Created with JaCoCo 0.7.9.201702052155