SegmentBasisEvaluator.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>SegmentBasisEvaluator</i> implements the BasisEvaluator interface for the given set of the Segment
  85.  * Basis Evaluator Functions.
  86.  *
  87.  * <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/SplineBuilderLibrary.md">Spline Builder Library</a></li>
  91.  *      <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>
  92.  *      <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>
  93.  *  </ul>
  94.  * <br><br>
  95.  * 
  96.  * @author Lakshmi Krishnamurthy
  97.  */

  99. public class SegmentBasisEvaluator implements org.drip.spline.segment.BasisEvaluator {
  100.     private org.drip.spline.basis.FunctionSet _fs = null;
  101.     private org.drip.spline.segment.LatentStateInelastic _ics = null;
  102.     private org.drip.spline.params.ResponseScalingShapeControl _rssc = null;

  104.     /**
  105.      * SegmentBasisEvaluator constructor
  106.      * 
  107.      * @param fs The Function Set Instance the contains the Basis Function Set
  108.      * @param rssc The Segment Wide Shape Controller
  109.      * 
  110.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  111.      */

  113.     public SegmentBasisEvaluator (
  114.         final org.drip.spline.basis.FunctionSet fs,
  115.         final org.drip.spline.params.ResponseScalingShapeControl rssc)
  116.         throws java.lang.Exception
  117.     {
  118.         if (null == (_fs = fs)) throw new java.lang.Exception ("SegmentBasisEvaluator ctr: Invalid Inputs");

  120.         _rssc = rssc;
  121.     }

  123.     @Override public int numBasis()
  124.     {
  125.         return _fs.numBasis();
  126.     }

  128.     @Override public boolean setContainingInelastics (
  129.         final org.drip.spline.segment.LatentStateInelastic ics)
  130.     {
  131.         _ics = ics;
  132.         return true;
  133.     }

  135.     @Override public org.drip.spline.segment.BasisEvaluator replicate()
  136.     {
  137.         try {
  138.             return new SegmentBasisEvaluator (_fs, _rssc);
  139.         } catch (java.lang.Exception e) {
  140.             e.printStackTrace();
  141.         }

  143.         return null;
  144.     }

  146.     @Override public double shapedBasisFunctionResponse (
  147.         final double dblPredictorOrdinate,
  148.         final int iBasisFunctionIndex)
  149.         throws java.lang.Exception
  150.     {
  151.         double dblX = null == _ics ? dblPredictorOrdinate : _ics.localize (dblPredictorOrdinate);

  153.         double dblResponseValue = _fs.indexedBasisFunction (iBasisFunctionIndex).evaluate (dblX);

  155.         return dblResponseValue * (null == _rssc ? 1. : _rssc.shapeController().evaluate (_rssc.isLocal() &&
  156.             null != _ics ? _ics.localize (dblPredictorOrdinate) : dblPredictorOrdinate));
  157.     }

  159.     @Override public double unshapedResponseValue (
  160.         final double[] adblResponseBasisCoeff,
  161.         final double dblPredictorOrdinate)
  162.         throws java.lang.Exception
  163.     {
  164.         double dblResponse = 0.;

  166.         int iNumBasis = numBasis();

  168.         for (int i = 0; i < iNumBasis; ++i) {
  169.             dblResponse += adblResponseBasisCoeff[i] * _fs.indexedBasisFunction (i).evaluate (null == _ics ?
  170.                 dblPredictorOrdinate : _ics.localize (dblPredictorOrdinate));
  171.         }

  173.         return dblResponse;
  174.     }

  176.     @Override public double responseValue (
  177.         final double[] adblResponseBasisCoeff,
  178.         final double dblPredictorOrdinate)
  179.         throws java.lang.Exception
  180.     {
  181.         if (null == _rssc) return unshapedResponseValue (adblResponseBasisCoeff, dblPredictorOrdinate);

  183.         return unshapedResponseValue (adblResponseBasisCoeff, dblPredictorOrdinate) *
  184.             _rssc.shapeController().evaluate (_rssc.isLocal() && null != _ics ? _ics.localize
  185.                 (dblPredictorOrdinate) : dblPredictorOrdinate);
  186.     }

  188.     @Override public double shapedBasisFunctionDerivative (
  189.         final double dblPredictorOrdinate,
  190.         final int iOrder,
  191.         final int iBasisFunctionIndex)
  192.         throws java.lang.Exception
  193.     {
  194.         double dblX = null == _ics ? dblPredictorOrdinate : _ics.localize (dblPredictorOrdinate);

  196.         if (null == _rssc) return _fs.indexedBasisFunction (iBasisFunctionIndex).derivative (dblX, iOrder);

  198.         double dblShapeControllerPredictorOrdinate = _rssc.isLocal() && null != _ics ? dblX :
  199.             dblPredictorOrdinate;

  201.         double dblResponseDerivative = 0.;

  203.         for (int i = 0; i <= iOrder; ++i) {
  204.             double dblBasisFunctionDeriv = 0 == i ? _fs.indexedBasisFunction (iBasisFunctionIndex).evaluate
  205.                 (dblX) : _fs.indexedBasisFunction (iBasisFunctionIndex).derivative (dblX, i);

  207.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblBasisFunctionDeriv))
  208.                 throw new java.lang.Exception
  209.                     ("SegmentBasisEvaluator::shapedBasisFunctionDerivative => Cannot compute Basis Function Derivative");

  211.             double dblShapeControlDeriv = iOrder == i ? _rssc.shapeController().evaluate
  212.                 (dblShapeControllerPredictorOrdinate) : _rssc.shapeController().derivative
  213.                     (dblShapeControllerPredictorOrdinate, iOrder - i);

  215.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblShapeControlDeriv))
  216.                 throw new java.lang.Exception
  217.                     ("SegmentBasisEvaluator::shapedBasisFunctionDerivative => Cannot compute Shape Control Derivative");

  219.             double dblBasisFunctionDerivScale = 1.;
  220.             double dblShapeControllerDerivScale = 1.;

  222.             if (null != _ics) {
  223.                 for (int j = 0; j < i; ++j)
  224.                     dblBasisFunctionDerivScale /= _ics.width();
  225.             }

  227.             if (_rssc.isLocal() && null != _ics) {
  228.                 for (int j = 0; j < iOrder - i; ++j)
  229.                     dblShapeControllerDerivScale /= _ics.width();
  230.             }

  232.             dblResponseDerivative += (org.drip.numerical.common.NumberUtil.NCK (iOrder, i) *
  233.                 dblBasisFunctionDeriv * dblBasisFunctionDerivScale * dblShapeControllerDerivScale *
  234.                     dblShapeControlDeriv);
  235.         }

  237.         return dblResponseDerivative;
  238.     }

  240.     @Override public double unshapedBasisFunctionDerivative (
  241.         final double[] adblResponseBasisCoeff,
  242.         final double dblPredictorOrdinate,
  243.         final int iOrder)
  244.         throws java.lang.Exception
  245.     {
  246.         double dblDerivative = 0.;

  248.         int iNumBasis = numBasis();

  250.         double dblX = null == _ics ? dblPredictorOrdinate : _ics.localize (dblPredictorOrdinate);

  252.         for (int i = 0; i < iNumBasis; ++i)
  253.             dblDerivative += adblResponseBasisCoeff[i] * _fs.indexedBasisFunction (i).derivative (dblX,
  254.                 iOrder);

  256.         return dblDerivative;
  257.     }

  259.     @Override public double responseValueDerivative (
  260.         final double[] adblResponseBasisCoeff,
  261.         final double dblPredictorOrdinate,
  262.         final int iOrder)
  263.         throws java.lang.Exception
  264.     {
  265.         if (null == _rssc)
  266.             return unshapedBasisFunctionDerivative (adblResponseBasisCoeff, dblPredictorOrdinate, iOrder);

  268.         double dblShapeControllerPredictorOrdinate = _rssc.isLocal() && null != _ics ? _ics.localize
  269.             (dblPredictorOrdinate) : dblPredictorOrdinate;

  271.         double dblResponseDerivative = 0.;

  273.         for (int i = 0; i <= iOrder; ++i) {
  274.             double dblBasisFunctionDeriv = 0 == i ? unshapedResponseValue (adblResponseBasisCoeff,
  275.                 dblPredictorOrdinate) : unshapedBasisFunctionDerivative (adblResponseBasisCoeff,
  276.                     dblPredictorOrdinate, i);

  278.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblBasisFunctionDeriv))
  279.                 throw new java.lang.Exception
  280.                     ("SegmentBasisEvaluator::responseValueDerivative => Cannot compute Basis Function Derivative");

  282.             double dblShapeControlDeriv = iOrder == i ? _rssc.shapeController().evaluate
  283.                 (dblShapeControllerPredictorOrdinate) : _rssc.shapeController().derivative
  284.                     (dblShapeControllerPredictorOrdinate, iOrder - i);

  286.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblShapeControlDeriv))
  287.                 throw new java.lang.Exception
  288.                     ("SegmentBasisEvaluator::responseValueDerivative => Cannot compute Shape Control Derivative");

  290.             double dblBasisFunctionDerivScale = 1.;
  291.             double dblShapeControllerDerivScale = 1.;

  293.             if (null != _ics) {
  294.                 for (int j = 0; j < i; ++j)
  295.                     dblBasisFunctionDerivScale /= _ics.width();
  296.             }

  298.             if (_rssc.isLocal() && null != _ics) {
  299.                 for (int j = 0; j < iOrder - i; ++j)
  300.                     dblShapeControllerDerivScale /= _ics.width();
  301.             }

  303.             dblResponseDerivative += (org.drip.numerical.common.NumberUtil.NCK (iOrder, i) *
  304.                 dblBasisFunctionDeriv * dblBasisFunctionDerivScale * dblShapeControllerDerivScale *
  305.                     dblShapeControlDeriv);
  306.         }

  308.         return dblResponseDerivative;
  309.     }
  310. }
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