PredictorResponseWeightConstraint.java

package org.drip.state.estimator;

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

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 Lakshmi Krishnamurthy
 * 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 DROP, an open-source library targeting analytics/risk, transaction cost analytics,
 *  	asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
 *  	analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
 *  	equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
 *  	numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
 *  	and computational support.
 *  
 *  	https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
 * 
 * 	DROP Product Core implements libraries for the following:
 * 	- Fixed Income Analytics
 * 	- Loan Analytics
 * 	- Transaction Cost Analytics
 * 
 * 	DROP Portfolio Core implements libraries for the following:
 * 	- Asset Allocation Analytics
 *  - Asset Liability Management Analytics
 * 	- Capital Estimation Analytics
 * 	- Exposure Analytics
 * 	- Margin Analytics
 * 	- XVA Analytics
 * 
 * 	DROP Computational Core implements libraries for the following:
 * 	- Algorithm Support
 * 	- Computation Support
 * 	- Function Analysis
 *  - Model Validation
 * 	- Numerical Analysis
 * 	- Numerical Optimizer
 * 	- Spline Builder
 *  - Statistical Learning
 * 
 * 	Documentation for DROP is Spread Over:
 * 
 * 	- Main                     => https://lakshmidrip.github.io/DROP/
 * 	- Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
 * 	- GitHub                   => https://github.com/lakshmiDRIP/DROP
 * 	- Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
 * 	- Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
 * 	- Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
 * 	- Release Versions         => https://lakshmidrip.github.io/DROP/version.html
 * 	- Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
 * 	- Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
 * 	- JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
 * 	- Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
 * 
 *  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.
 */

/**
 * <i>PredictorResponseWeightConstraint</i> holds the Linearized Constraints (and, optionally, their quote
 * sensitivities) necessary needed for the Linear Calibration. Linearized Constraints are expressed as
 * 
 * 			Sum_i[Predictor Weight_i * Function (Response_i)] = Constraint Value
 * 
 * where Function can either be univariate function, or weighted spline basis set. To this end, it
 * implements the following functionality:
 *
 *  <br><br>
 *  <ul>
 *  	<li>
 * 			Update/Retrieve Predictor/Response Weights and their Quote Sensitivities
 *  	</li>
 *  	<li>
 * 			Update/Retrieve Predictor/Response Constraint Values and their Quote Sensitivities
 *  	</li>
 *  	<li>
 * 			Display the contents of PredictorResponseWeightConstraint
 *  	</li>
 *  </ul>
 *
 *  <br><br>
 *  <ul>
 *		<li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
 *		<li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
 *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/README.md">Latent State Inference and Creation Utilities</a></li>
 *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/estimator/README.md">Multi-Pass Customized Stretch Curve</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class PredictorResponseWeightConstraint {
	private java.util.HashSet<org.drip.state.identifier.LatentStateLabel> _setLSL = null;

	private org.drip.state.estimator.PredictorResponseRelationSetup _prrsCalib = new
		org.drip.state.estimator.PredictorResponseRelationSetup();

	private org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.estimator.PredictorResponseRelationSetup>
		_mapPRRSSens = new
			org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.estimator.PredictorResponseRelationSetup>();

	private org.drip.state.estimator.PredictorResponseRelationSetup getPRRS (
		final java.lang.String strManifestMeasure)
	{
		if (null == strManifestMeasure || strManifestMeasure.isEmpty()) return null;

		if (!_mapPRRSSens.containsKey (strManifestMeasure))
			_mapPRRSSens.put (strManifestMeasure, new
				org.drip.state.estimator.PredictorResponseRelationSetup());

		return _mapPRRSSens.get (strManifestMeasure);
	}

	/**
	 * Empty PredictorResponseWeightConstraint constructor
	 */

	public PredictorResponseWeightConstraint()
	{
	}

	/**
	 * Add a Predictor/Response Weight entry to the Linearized Constraint
	 * 
	 * @param dblPredictor The Predictor Node
	 * @param dblResponseWeight The Response Weight at the Node
	 * 
	 * @return TRUE - Successfully added
	 */

	public boolean addPredictorResponseWeight (
		final double dblPredictor,
		final double dblResponseWeight)
	{
		return _prrsCalib.addPredictorResponseWeight (dblPredictor, dblResponseWeight);
	}

	/**
	 * Add a Predictor/Response Weight entry to the Linearized Constraint
	 * 
	 * @param strManifestMeasure The Manifest Measure
	 * @param dblPredictor The Predictor Node
	 * @param dblDResponseWeightDManifestMeasure The Response Weight-to-Manifest Measure Sensitivity at the
	 * 	Node
	 * 
	 * @return TRUE - Successfully added
	 */

	public boolean addDResponseWeightDManifestMeasure (
		final java.lang.String strManifestMeasure,
		final double dblPredictor,
		final double dblDResponseWeightDManifestMeasure)
	{
		return getPRRS (strManifestMeasure).addPredictorResponseWeight (dblPredictor,
			dblDResponseWeightDManifestMeasure);
	}

	/**
	 * Update the Constraint Value
	 * 
	 * @param dblValue The Constraint Value Update Increment
	 * 
	 * @return TRUE - This Update Succeeded
	 */

	public boolean updateValue (
		final double dblValue)
	{
		return _prrsCalib.updateValue (dblValue);
	}

	/**
	 * Update the Constraint Value Sensitivity
	 * 
	 * @param strManifestMeasure The Manifest Measure
	 * @param dblDValueDManifestMeasure The Constraint Value Sensitivity Update Increment
	 * 
	 * @return TRUE - This Sensitivity Update Succeeded
	 */

	public boolean updateDValueDManifestMeasure (
		final java.lang.String strManifestMeasure,
		final double dblDValueDManifestMeasure)
	{
		return getPRRS (strManifestMeasure).updateValue (dblDValueDManifestMeasure);
	}

	/**
	 * Retrieve the Constraint Value
	 * 
	 * @return The Constraint Value
	 */

	public double getValue()
	{
		return _prrsCalib.getValue();
	}

	/**
	 * Retrieve the Constraint Value Sensitivity
	 * 
	 * @param strManifestMeasure The Manifest Measure
	 * 
	 * @return The Constraint Value Sensitivity
	 * 
	 * @throws java.lang.Exception Thrown if the Inputs are invalid
	 */

	public double getDValueDManifestMeasure (
		final java.lang.String strManifestMeasure)
		throws java.lang.Exception
	{
		if (!_mapPRRSSens.containsKey (strManifestMeasure))
			throw new java.lang.Exception
				("PredictorResponseWeightConstraint::getDValueDManifestMeasure => Cannot locate manifest measure "
					+ strManifestMeasure);

		return _mapPRRSSens.get (strManifestMeasure).getValue();
	}

	/**
	 * Add a Merging Latent State Label
	 * 
	 * @param lslMerge The Merging Latent State Label
	 * 
	 * @return TRUE - The Latent State Label Successfully Added
	 */

	public boolean addMergeLabel (
		final org.drip.state.identifier.LatentStateLabel lslMerge)
	{
		if (null == lslMerge) return false;

		if (null == _setLSL) _setLSL = new java.util.HashSet<org.drip.state.identifier.LatentStateLabel>();

		_setLSL.add (lslMerge);

		return true;
	}

	/**
	 * Return the Set of Merged Latent State Labels
	 * 
	 * @return The Set of Merged Latent State Labels
	 */

	public java.util.Set<org.drip.state.identifier.LatentStateLabel> mergeLabelSet()
	{
		return _setLSL;
	}

	/**
	 * Retrieve the Predictor To-From Response Weight Map
	 * 
	 * @return The Predictor To-From Response Weight Map
	 */

	public java.util.TreeMap<java.lang.Double, java.lang.Double> getPredictorResponseWeight()
	{
		return _prrsCalib.getPredictorResponseWeight();
	}

	/**
	 * Retrieve the Predictor To-From Response Weight Sensitivity Map
	 * 
	 * @param strManifestMeasure The Manifest Measure
	 * 
	 * @return The Predictor To-From Response Weight Sensitivity Map
	 */

	public java.util.TreeMap<java.lang.Double, java.lang.Double> getDResponseWeightDManifestMeasure (
		final java.lang.String strManifestMeasure)
	{
		return !_mapPRRSSens.containsKey (strManifestMeasure) ? null : _mapPRRSSens.get
			(strManifestMeasure).getPredictorResponseWeight();
	}

	/**
	 * "Absorb" the other PRWC Instance into the Current One
	 * 
	 * @param prwcOther The "Other" PRWC Instance
	 * 
	 * @return TRUE - At least one entry of the "Other" was absorbed
	 */

	public boolean absorb (
		final PredictorResponseWeightConstraint prwcOther)
	{
		if (null == prwcOther || !_prrsCalib.absorb (prwcOther._prrsCalib)) return false;

		if (0 == prwcOther._mapPRRSSens.size()) return true;

		if (0 != _mapPRRSSens.size()) {
			for (java.util.Map.Entry<java.lang.String, org.drip.state.estimator.PredictorResponseRelationSetup>
				me : _mapPRRSSens.entrySet()) {
				java.lang.String strKey = me.getKey();

				if (prwcOther._mapPRRSSens.containsKey (strKey))
					me.getValue().absorb (prwcOther._mapPRRSSens.get (strKey));
			}
		}

		for (java.util.Map.Entry<java.lang.String, org.drip.state.estimator.PredictorResponseRelationSetup>
			me : prwcOther._mapPRRSSens.entrySet()) {
			java.lang.String strKey = me.getKey();

			if (!_mapPRRSSens.containsKey (strKey)) _mapPRRSSens.put (strKey, me.getValue());
		}

		java.util.Set<org.drip.state.identifier.LatentStateLabel> lsLSL = prwcOther.mergeLabelSet();

		if (null == lsLSL || 0 == lsLSL.size()) return true;

		for (org.drip.state.identifier.LatentStateLabel lsl : lsLSL) {
			if (!addMergeLabel (lsl)) return false;
		}

		return true;
	}

	/**
	 * Return the Set of Available Sensitivities (if any)
	 * 
	 * @return The Set of Available Sensitivities
	 */

	public java.util.Set<java.lang.String> sensitivityKeys()
	{
		return _mapPRRSSens.keySet();
	}

	/**
	 * Display the Constraints and the corresponding Weights
	 * 
	 * @param strComment The Prefix Comment
	 */

	public void displayString (
		final java.lang.String strComment)
	{
		java.util.Map<java.lang.Double, java.lang.Double> mapPRW = _prrsCalib.getPredictorResponseWeight();

		if (null != mapPRW && 0 != mapPRW.size()) {
			for (java.util.Map.Entry<java.lang.Double, java.lang.Double> me : mapPRW.entrySet()) {
				double dblDate = me.getKey();

				System.out.println ("\t\t" + strComment + " - " + new org.drip.analytics.date.JulianDate
					((int) dblDate) + " => " + me.getValue());
			}
		}

		System.out.println ("\t" + strComment + " Constraint: " + _prrsCalib.getValue());

		if (null != _setLSL) {
			java.lang.String strLabels = "\t" + strComment + " Labels:";

			for (org.drip.state.identifier.LatentStateLabel lsl : _setLSL)
				strLabels += " " + lsl.fullyQualifiedName();

			System.out.println (strLabels);
		}

		System.out.flush();
	}
}