LatentStateSequenceBuilder.java

  1. package org.drip.state.inference;

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

  82. /**
  83.  * <i>LatentStateSequenceBuilder</i> holds the logic behind building the bootstrap segments contained in the
  84.  * given Stretch.
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  90.  *      <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>
  91.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/inference/README.md">Latent State Stretch Sequence Inference</a></li>
  92.  *  </ul>
  93.  * <br><br>
  94.  * 
  95.  * It extends SegmentSequenceBuilder by implementing/customizing the calibration of the starting as well as
  96.  *  the subsequent segments.
  97.  *
  98.  * @author Lakshmi Krishnamurthy
  99.  */

  101. public class LatentStateSequenceBuilder implements org.drip.spline.stretch.SegmentSequenceBuilder {
  102.     private org.drip.spline.grid.Span _span = null;
  103.     private double _dblEpochResponse = java.lang.Double.NaN;
  104.     private org.drip.spline.stretch.BoundarySettings _bs = null;
  105.     private org.drip.state.estimator.CurveStretch _stretch = null;
  106.     private org.drip.param.pricer.CreditPricerParams _pricerParams = null;
  107.     private org.drip.param.market.CurveSurfaceQuoteContainer _csqs = null;
  108.     private org.drip.param.valuation.ValuationParams _valParams = null;
  109.     private org.drip.spline.params.StretchBestFitResponse _sbfr = null;
  110.     private org.drip.param.valuation.ValuationCustomizationParams _vcp = null;
  111.     private org.drip.state.inference.LatentStateStretchSpec _stretchSpec = null;
  112.     private org.drip.spline.params.StretchBestFitResponse _sbfrQuoteSensitivity = null;
  113.     private
  114.         org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.spline.params.PreceedingManifestSensitivityControl>
  115.             _mapPMSC = null;

  117.     private java.util.Map<java.lang.Double, org.drip.spline.params.ResponseValueSensitivityConstraint>
  118.         _mapRVSC = new
  119.             java.util.HashMap<java.lang.Double, org.drip.spline.params.ResponseValueSensitivityConstraint>();

  121.     private org.drip.spline.params.PreceedingManifestSensitivityControl getPMSC (
  122.         final java.lang.String strManifestMeasure)
  123.     {
  124.         return _mapPMSC.containsKey (strManifestMeasure) ? _mapPMSC.get (strManifestMeasure) : null;
  125.     }

  127.     private org.drip.spline.params.SegmentResponseValueConstraint segmentCalibResponseConstraint (
  128.         final org.drip.state.estimator.PredictorResponseWeightConstraint prwc)
  129.     {
  130.         java.util.TreeMap<java.lang.Double, java.lang.Double> mapPredictorLSQMLoading =
  131.             prwc.getPredictorResponseWeight();

  133.         if (null == mapPredictorLSQMLoading || 0 == mapPredictorLSQMLoading.size()) return null;

  135.         java.util.Set<java.util.Map.Entry<java.lang.Double, java.lang.Double>> esPredictorLSQMLoading =
  136.             mapPredictorLSQMLoading.entrySet();

  138.         if (null == esPredictorLSQMLoading || 0 == esPredictorLSQMLoading.size()) return null;

  140.         double dblConstraint = 0.;

  142.         java.util.List<java.lang.Double> lsPredictor = new java.util.ArrayList<java.lang.Double>();

  144.         java.util.List<java.lang.Double> lsResponseLSQMLoading = new java.util.ArrayList<java.lang.Double>();

  146.         for (java.util.Map.Entry<java.lang.Double, java.lang.Double> me : esPredictorLSQMLoading) {
  147.             if (null == me) return null;

  149.             double dblPredictorDate = me.getKey();

  151.             try {
  152.                 if (null != _span && _span.in (dblPredictorDate))
  153.                     dblConstraint -= _span.calcResponseValue (dblPredictorDate) * me.getValue();
  154.                 else if (_stretch.inBuiltRange (dblPredictorDate))
  155.                     dblConstraint -= _stretch.responseValue (dblPredictorDate) * me.getValue();
  156.                 else {
  157.                     lsPredictor.add (dblPredictorDate);

  159.                     lsResponseLSQMLoading.add (me.getValue());
  160.                 }
  161.             } catch (java.lang.Exception e) {
  162.                 e.printStackTrace();

  164.                 return null;
  165.             }
  166.         }

  168.         int iSize = lsPredictor.size();

  170.         double[] adblPredictor = new double[iSize];
  171.         double[] adblResponseLSQMLoading = new double[iSize];

  173.         for (int i = 0; i < iSize; ++i) {
  174.             adblPredictor[i] = lsPredictor.get (i);

  176.             adblResponseLSQMLoading[i] = lsResponseLSQMLoading.get (i);
  177.         }

  179.         try {
  180.             return new org.drip.spline.params.SegmentResponseValueConstraint (adblPredictor,
  181.                 adblResponseLSQMLoading, (prwc.getValue()) + dblConstraint);
  182.         } catch (java.lang.Exception e) {
  183.             e.printStackTrace();
  184.         }

  186.         return null;
  187.     }

  189.     private org.drip.spline.params.SegmentResponseValueConstraint segmentSensResponseConstraint (
  190.         final org.drip.state.estimator.PredictorResponseWeightConstraint prwc,
  191.         final java.lang.String strManifestMeasure)
  192.     {
  193.         java.util.TreeMap<java.lang.Double, java.lang.Double> mapPredictorSensLoading =
  194.             prwc.getDResponseWeightDManifestMeasure (strManifestMeasure);

  196.         if (null == mapPredictorSensLoading || 0 == mapPredictorSensLoading.size()) return null;

  198.         java.util.Set<java.util.Map.Entry<java.lang.Double, java.lang.Double>> esPredictorSensLoading =
  199.             mapPredictorSensLoading.entrySet();

  201.         if (null == esPredictorSensLoading || 0 == esPredictorSensLoading.size()) return null;

  203.         double dblSensLoadingConstraint = 0.;

  205.         java.util.List<java.lang.Double> lsPredictor = new java.util.ArrayList<java.lang.Double>();

  207.         java.util.List<java.lang.Double> lsSensLoading = new java.util.ArrayList<java.lang.Double>();

  209.         for (java.util.Map.Entry<java.lang.Double, java.lang.Double> me : esPredictorSensLoading) {
  210.             if (null == me) return null;

  212.             double dblPredictorDate = me.getKey();

  214.             try {
  215.                 if (null != _span && _span.in (dblPredictorDate))
  216.                     dblSensLoadingConstraint -= _span.calcResponseValue (dblPredictorDate) * me.getValue();
  217.                 else if (_stretch.inBuiltRange (dblPredictorDate))
  218.                     dblSensLoadingConstraint -= _stretch.responseValue (dblPredictorDate) * me.getValue();
  219.                 else {
  220.                     lsPredictor.add (dblPredictorDate);

  222.                     lsSensLoading.add (me.getValue());
  223.                 }
  224.             } catch (java.lang.Exception e) {
  225.                 e.printStackTrace();

  227.                 return null;
  228.             }
  229.         }

  231.         int iSize = lsPredictor.size();

  233.         double[] adblPredictor = new double[iSize];
  234.         double[] adblSensLoading = new double[iSize];

  236.         for (int i = 0; i < iSize; ++i) {
  237.             adblPredictor[i] = lsPredictor.get (i);

  239.             adblSensLoading[i] = lsSensLoading.get (i);
  240.         }

  242.         try {
  243.             return new org.drip.spline.params.SegmentResponseValueConstraint (adblPredictor, adblSensLoading,
  244.                 prwc.getDValueDManifestMeasure (strManifestMeasure) + dblSensLoadingConstraint);
  245.         } catch (java.lang.Exception e) {
  246.             e.printStackTrace();
  247.         }

  249.         return null;
  250.     }

  252.     private boolean generateSegmentConstraintSet (
  253.         final double dblSegmentRight,
  254.         final org.drip.state.estimator.PredictorResponseWeightConstraint prwc)
  255.     {
  256.         org.drip.spline.params.SegmentResponseValueConstraint srvcBase = segmentCalibResponseConstraint
  257.             (prwc);

  259.         if (null == srvcBase) return false;

  261.         org.drip.spline.params.ResponseValueSensitivityConstraint rvsc = null;

  263.         try {
  264.             rvsc = new org.drip.spline.params.ResponseValueSensitivityConstraint (srvcBase);
  265.         } catch (java.lang.Exception e) {
  266.             e.printStackTrace();

  268.             return false;
  269.         }

  271.         java.util.Set<java.lang.String> setstrSensitivity = prwc.sensitivityKeys();

  273.         if (null == setstrSensitivity || 0 == setstrSensitivity.size()) {
  274.             _mapRVSC.put (dblSegmentRight, rvsc);

  276.             return true;
  277.         }

  279.         for (java.lang.String strManifestMeasure : setstrSensitivity) {
  280.             org.drip.spline.params.SegmentResponseValueConstraint srvcSensitivity =
  281.                 segmentSensResponseConstraint (prwc, strManifestMeasure);

  283.             if (null == srvcSensitivity || !rvsc.addManifestMeasureSensitivity (strManifestMeasure,
  284.                 srvcSensitivity))
  285.                 continue;
  286.         }

  288.         _mapRVSC.put (dblSegmentRight, rvsc);

  290.         return true;
  291.     }

  293.     /**
  294.      * LatentStateSequenceBuilder constructor
  295.      * 
  296.      * @param dblEpochResponse Segment Sequence Left-most Response Value
  297.      * @param stretchSpec The Latent State Stretch Specification
  298.      * @param valParams Valuation Parameter
  299.      * @param pricerParams Pricer Parameter
  300.      * @param csqs The Market Parameter Set
  301.      * @param vcp Valuation Customization Parameters
  302.      * @param span The Containing Span this Stretch will become a part of
  303.      * @param sbfr Stretch Fitness Weighted Response
  304.      * @param mapPMSC Map of Preceeding Manifest Sensitivity Control Parameters
  305.      * @param sbfrQuoteSensitivity Stretch Fitness Weighted Response Quote Sensitivity
  306.      * @param bs The Calibration Boundary Condition
  307.      * 
  308.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  309.      */

  311.     public LatentStateSequenceBuilder (
  312.         final double dblEpochResponse,
  313.         final org.drip.state.inference.LatentStateStretchSpec stretchSpec,
  314.         final org.drip.param.valuation.ValuationParams valParams,
  315.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  316.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  317.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  318.         final org.drip.spline.grid.Span span,
  319.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  320.         final
  321.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.spline.params.PreceedingManifestSensitivityControl>
  322.                 mapPMSC,
  323.         final org.drip.spline.params.StretchBestFitResponse sbfrQuoteSensitivity,
  324.         final org.drip.spline.stretch.BoundarySettings bs)
  325.         throws java.lang.Exception
  326.     {
  327.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblEpochResponse = dblEpochResponse) || null ==
  328.             (_stretchSpec = stretchSpec) || null == (_valParams = valParams) || null == (_bs = bs) || null ==
  329.                 (_mapPMSC = mapPMSC))
  330.             throw new java.lang.Exception ("LatentStateSequenceBuilder ctr: Invalid Inputs");

  332.         _vcp = vcp;
  333.         _csqs = csqs;
  334.         _sbfr = sbfr;
  335.         _span = span;
  336.         _pricerParams = pricerParams;
  337.         _sbfrQuoteSensitivity = sbfrQuoteSensitivity;
  338.     }

  340.     @Override public boolean setStretch (
  341.         final org.drip.spline.stretch.MultiSegmentSequence mss)
  342.     {
  343.         if (null == mss || !(mss instanceof org.drip.state.estimator.CurveStretch)) return false;

  345.         _stretch = (org.drip.state.estimator.CurveStretch) mss;

  347.         org.drip.spline.segment.LatentStateResponseModel[] aLSRM = _stretch.segments();

  349.         if (null == aLSRM || aLSRM.length != _stretchSpec.segmentSpec().length) return false;

  351.         return true;
  352.     }

  354.     @Override public org.drip.spline.stretch.BoundarySettings getCalibrationBoundaryCondition()
  355.     {
  356.         return _bs;
  357.     }

  359.     @Override public boolean calibStartingSegment (
  360.         final double dblLeftSlope)
  361.     {
  362.         if (null == _stretch || !_stretch.clearBuiltRange()) return false;

  364.         org.drip.product.definition.CalibratableComponent cfic =
  365.             _stretchSpec.segmentSpec()[0].component();

  367.         if (null == cfic) return false;

  369.         org.drip.spline.segment.LatentStateResponseModel[] aLSRM = _stretch.segments();

  371.         if (null == aLSRM || 0 == aLSRM.length) return false;

  373.         org.drip.state.estimator.PredictorResponseWeightConstraint prwc = cfic.calibPRWC (_valParams,
  374.             _pricerParams, _csqs, _vcp, _stretchSpec.segmentSpec()[0].manifestMeasures());

  376.         double dblSegmentRight = aLSRM[0].right();

  378.         if (null == prwc || !generateSegmentConstraintSet (dblSegmentRight, prwc)) return false;

  380.         org.drip.spline.params.SegmentResponseValueConstraint rvcLeading =
  381.             org.drip.spline.params.SegmentResponseValueConstraint.FromPredictorResponsePair
  382.                 (_valParams.valueDate(), _dblEpochResponse);

  384.         if (null == rvcLeading) return false;

  386.         return aLSRM[0].calibrate (rvcLeading, dblLeftSlope, _mapRVSC.get (dblSegmentRight).base(), null ==
  387.             _sbfr ? null : _sbfr.sizeToSegment (aLSRM[0])) && _stretch.markSegmentBuilt (0,
  388.                 prwc.mergeLabelSet());
  389.     }

  391.     @Override public boolean calibSegmentSequence (
  392.         final int iStartingSegment)
  393.     {
  394.         org.drip.spline.segment.LatentStateResponseModel[] aLSRM = _stretch.segments();

  396.         org.drip.state.inference.LatentStateSegmentSpec[] aLSSS = _stretchSpec.segmentSpec();

  398.         int iNumSegment = aLSRM.length;

  400.         if (null == aLSSS || aLSSS.length != iNumSegment) return false;

  402.         for (int iSegment = iStartingSegment; iSegment < iNumSegment; ++iSegment) {
  403.             org.drip.product.definition.CalibratableComponent cfic = aLSSS[iSegment].component();

  405.             if (null == cfic) return false;

  407.             org.drip.state.estimator.PredictorResponseWeightConstraint prwc = cfic.calibPRWC (_valParams,
  408.                 _pricerParams, _csqs, _vcp, aLSSS[iSegment].manifestMeasures());

  410.             double dblSegmentRight = aLSRM[iSegment].right();

  412.             if (null == prwc || !generateSegmentConstraintSet (dblSegmentRight, prwc)) return false;

  414.             if (!aLSRM[iSegment].calibrate (0 == iSegment ? null : aLSRM[iSegment - 1], _mapRVSC.get
  415.                 (dblSegmentRight).base(), null == _sbfr ? null : _sbfr.sizeToSegment (aLSRM[iSegment])) ||
  416.                     !_stretch.markSegmentBuilt (iSegment, prwc.mergeLabelSet()))
  417.                 return false;
  418.         }

  420.         return true;
  421.     }

  423.     @Override public boolean manifestMeasureSensitivity (
  424.         final double dblLeftSlopeSensitivity)
  425.     {
  426.         org.drip.spline.segment.LatentStateResponseModel[] aLSRM = _stretch.segments();

  428.         int iNumSegment = aLSRM.length;

  430.         for (int iSegment = 0; iSegment < iNumSegment; ++iSegment) {
  431.             double dblSegmentRight = aLSRM[iSegment].right();

  433.             org.drip.spline.params.ResponseValueSensitivityConstraint rvsc = _mapRVSC.get (dblSegmentRight);

  435.             java.util.Set<java.lang.String> setstrManifestMeasures = rvsc.manifestMeasures();

  437.             if (null == setstrManifestMeasures || 0 == setstrManifestMeasures.size()) return false;

  439.             for (java.lang.String strManifestMeasure : setstrManifestMeasures) {
  440.                 if (!aLSRM[iSegment].setPreceedingManifestSensitivityControl (strManifestMeasure, getPMSC
  441.                     (strManifestMeasure)))
  442.                     return false;

  444.                 if (0 == iSegment) {
  445.                     if (!aLSRM[0].manifestMeasureSensitivity (strManifestMeasure,
  446.                         org.drip.spline.params.SegmentResponseValueConstraint.FromPredictorResponsePair
  447.                             (_valParams.valueDate(), _dblEpochResponse), rvsc.base(),
  448.                                 dblLeftSlopeSensitivity,
  449.                                     org.drip.spline.params.SegmentResponseValueConstraint.FromPredictorResponsePair
  450.                         (_valParams.valueDate(), 0.), rvsc.manifestMeasureSensitivity (strManifestMeasure),
  451.                             null == _sbfrQuoteSensitivity ? null : _sbfrQuoteSensitivity.sizeToSegment
  452.                                 (aLSRM[0])))
  453.                         return false;
  454.                 } else {
  455.                     if (!aLSRM[iSegment].manifestMeasureSensitivity (aLSRM[iSegment - 1], strManifestMeasure,
  456.                         rvsc.base(), rvsc.manifestMeasureSensitivity (strManifestMeasure), null ==
  457.                             _sbfrQuoteSensitivity ? null : _sbfrQuoteSensitivity.sizeToSegment
  458.                                 (aLSRM[iSegment])))
  459.                         return false;
  460.                 }
  461.             }
  462.         }

  464.         return true;
  465.     }
  466. }
Created with JaCoCo 0.7.9.201702052155