PredictorResponseWeightConstraint.java

  1. package org.drip.state.estimator;

  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>PredictorResponseWeightConstraint</i> holds the Linearized Constraints (and, optionally, their quote
  85.  * sensitivities) necessary needed for the Linear Calibration. Linearized Constraints are expressed as
  86.  * 
  87.  *          Sum_i[Predictor Weight_i * Function (Response_i)] = Constraint Value
  88.  * 
  89.  * where Function can either be univariate function, or weighted spline basis set. To this end, it
  90.  * implements the following functionality:
  91.  *
  92.  *  <br><br>
  93.  *  <ul>
  94.  *      <li>
  95.  *          Update/Retrieve Predictor/Response Weights and their Quote Sensitivities
  96.  *      </li>
  97.  *      <li>
  98.  *          Update/Retrieve Predictor/Response Constraint Values and their Quote Sensitivities
  99.  *      </li>
  100.  *      <li>
  101.  *          Display the contents of PredictorResponseWeightConstraint
  102.  *      </li>
  103.  *  </ul>
  104.  *
  105.  *  <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  109.  *      <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>
  110.  *      <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>
  111.  *  </ul>
  112.  * <br><br>
  113.  * 
  114.  * @author Lakshmi Krishnamurthy
  115.  */

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

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

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

  127.     private org.drip.state.estimator.PredictorResponseRelationSetup getPRRS (
  128.         final java.lang.String strManifestMeasure)
  129.     {
  130.         if (null == strManifestMeasure || strManifestMeasure.isEmpty()) return null;

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

  136.         return _mapPRRSSens.get (strManifestMeasure);
  137.     }

  139.     /**
  140.      * Empty PredictorResponseWeightConstraint constructor
  141.      */

  143.     public PredictorResponseWeightConstraint()
  144.     {
  145.     }

  147.     /**
  148.      * Add a Predictor/Response Weight entry to the Linearized Constraint
  149.      * 
  150.      * @param dblPredictor The Predictor Node
  151.      * @param dblResponseWeight The Response Weight at the Node
  152.      * 
  153.      * @return TRUE - Successfully added
  154.      */

  156.     public boolean addPredictorResponseWeight (
  157.         final double dblPredictor,
  158.         final double dblResponseWeight)
  159.     {
  160.         return _prrsCalib.addPredictorResponseWeight (dblPredictor, dblResponseWeight);
  161.     }

  163.     /**
  164.      * Add a Predictor/Response Weight entry to the Linearized Constraint
  165.      * 
  166.      * @param strManifestMeasure The Manifest Measure
  167.      * @param dblPredictor The Predictor Node
  168.      * @param dblDResponseWeightDManifestMeasure The Response Weight-to-Manifest Measure Sensitivity at the
  169.      *  Node
  170.      * 
  171.      * @return TRUE - Successfully added
  172.      */

  174.     public boolean addDResponseWeightDManifestMeasure (
  175.         final java.lang.String strManifestMeasure,
  176.         final double dblPredictor,
  177.         final double dblDResponseWeightDManifestMeasure)
  178.     {
  179.         return getPRRS (strManifestMeasure).addPredictorResponseWeight (dblPredictor,
  180.             dblDResponseWeightDManifestMeasure);
  181.     }

  183.     /**
  184.      * Update the Constraint Value
  185.      * 
  186.      * @param dblValue The Constraint Value Update Increment
  187.      * 
  188.      * @return TRUE - This Update Succeeded
  189.      */

  191.     public boolean updateValue (
  192.         final double dblValue)
  193.     {
  194.         return _prrsCalib.updateValue (dblValue);
  195.     }

  197.     /**
  198.      * Update the Constraint Value Sensitivity
  199.      * 
  200.      * @param strManifestMeasure The Manifest Measure
  201.      * @param dblDValueDManifestMeasure The Constraint Value Sensitivity Update Increment
  202.      * 
  203.      * @return TRUE - This Sensitivity Update Succeeded
  204.      */

  206.     public boolean updateDValueDManifestMeasure (
  207.         final java.lang.String strManifestMeasure,
  208.         final double dblDValueDManifestMeasure)
  209.     {
  210.         return getPRRS (strManifestMeasure).updateValue (dblDValueDManifestMeasure);
  211.     }

  213.     /**
  214.      * Retrieve the Constraint Value
  215.      * 
  216.      * @return The Constraint Value
  217.      */

  219.     public double getValue()
  220.     {
  221.         return _prrsCalib.getValue();
  222.     }

  224.     /**
  225.      * Retrieve the Constraint Value Sensitivity
  226.      * 
  227.      * @param strManifestMeasure The Manifest Measure
  228.      * 
  229.      * @return The Constraint Value Sensitivity
  230.      * 
  231.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  232.      */

  234.     public double getDValueDManifestMeasure (
  235.         final java.lang.String strManifestMeasure)
  236.         throws java.lang.Exception
  237.     {
  238.         if (!_mapPRRSSens.containsKey (strManifestMeasure))
  239.             throw new java.lang.Exception
  240.                 ("PredictorResponseWeightConstraint::getDValueDManifestMeasure => Cannot locate manifest measure "
  241.                     + strManifestMeasure);

  243.         return _mapPRRSSens.get (strManifestMeasure).getValue();
  244.     }

  246.     /**
  247.      * Add a Merging Latent State Label
  248.      * 
  249.      * @param lslMerge The Merging Latent State Label
  250.      * 
  251.      * @return TRUE - The Latent State Label Successfully Added
  252.      */

  254.     public boolean addMergeLabel (
  255.         final org.drip.state.identifier.LatentStateLabel lslMerge)
  256.     {
  257.         if (null == lslMerge) return false;

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

  261.         _setLSL.add (lslMerge);

  263.         return true;
  264.     }

  266.     /**
  267.      * Return the Set of Merged Latent State Labels
  268.      * 
  269.      * @return The Set of Merged Latent State Labels
  270.      */

  272.     public java.util.Set<org.drip.state.identifier.LatentStateLabel> mergeLabelSet()
  273.     {
  274.         return _setLSL;
  275.     }

  277.     /**
  278.      * Retrieve the Predictor To-From Response Weight Map
  279.      * 
  280.      * @return The Predictor To-From Response Weight Map
  281.      */

  283.     public java.util.TreeMap<java.lang.Double, java.lang.Double> getPredictorResponseWeight()
  284.     {
  285.         return _prrsCalib.getPredictorResponseWeight();
  286.     }

  288.     /**
  289.      * Retrieve the Predictor To-From Response Weight Sensitivity Map
  290.      * 
  291.      * @param strManifestMeasure The Manifest Measure
  292.      * 
  293.      * @return The Predictor To-From Response Weight Sensitivity Map
  294.      */

  296.     public java.util.TreeMap<java.lang.Double, java.lang.Double> getDResponseWeightDManifestMeasure (
  297.         final java.lang.String strManifestMeasure)
  298.     {
  299.         return !_mapPRRSSens.containsKey (strManifestMeasure) ? null : _mapPRRSSens.get
  300.             (strManifestMeasure).getPredictorResponseWeight();
  301.     }

  303.     /**
  304.      * "Absorb" the other PRWC Instance into the Current One
  305.      * 
  306.      * @param prwcOther The "Other" PRWC Instance
  307.      * 
  308.      * @return TRUE - At least one entry of the "Other" was absorbed
  309.      */

  311.     public boolean absorb (
  312.         final PredictorResponseWeightConstraint prwcOther)
  313.     {
  314.         if (null == prwcOther || !_prrsCalib.absorb (prwcOther._prrsCalib)) return false;

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

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

  323.                 if (prwcOther._mapPRRSSens.containsKey (strKey))
  324.                     me.getValue().absorb (prwcOther._mapPRRSSens.get (strKey));
  325.             }
  326.         }

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

  332.             if (!_mapPRRSSens.containsKey (strKey)) _mapPRRSSens.put (strKey, me.getValue());
  333.         }

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

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

  339.         for (org.drip.state.identifier.LatentStateLabel lsl : lsLSL) {
  340.             if (!addMergeLabel (lsl)) return false;
  341.         }

  343.         return true;
  344.     }

  346.     /**
  347.      * Return the Set of Available Sensitivities (if any)
  348.      * 
  349.      * @return The Set of Available Sensitivities
  350.      */

  352.     public java.util.Set<java.lang.String> sensitivityKeys()
  353.     {
  354.         return _mapPRRSSens.keySet();
  355.     }

  357.     /**
  358.      * Display the Constraints and the corresponding Weights
  359.      * 
  360.      * @param strComment The Prefix Comment
  361.      */

  363.     public void displayString (
  364.         final java.lang.String strComment)
  365.     {
  366.         java.util.Map<java.lang.Double, java.lang.Double> mapPRW = _prrsCalib.getPredictorResponseWeight();

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

  372.                 System.out.println ("\t\t" + strComment + " - " + new org.drip.analytics.date.JulianDate
  373.                     ((int) dblDate) + " => " + me.getValue());
  374.             }
  375.         }

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

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

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

  385.             System.out.println (strLabels);
  386.         }

  388.         System.out.flush();
  389.     }
  390. }
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