SignificanceTestSetting.java
package org.drip.validation.hypothesis;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 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>SignificanceTestSetting</i> contains the Control Settings that determine the Success/Failure of the
* specified Statistical Hypothesis p-Test.
*
* <br><br>
* <ul>
* <li>
* Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for
* Back-testing Credit Exposure Models
* https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 <b>eSSRN</b>
* </li>
* <li>
* Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with
* Applications to Financial Risk Management, International Economic Review 39 (4) 863-883
* </li>
* <li>
* Kenyon, C., and R. Stamm (2012): Discounting, LIBOR, CVA, and Funding: Interest Rate and Credit
* Pricing, Palgrave Macmillan
* </li>
* <li>
* Wikipedia (2018): Probability Integral Transform
* https://en.wikipedia.org/wiki/Probability_integral_transform
* </li>
* <li>
* Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ModelValidationAnalyticsLibrary.md">Model Validation Analytics Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/validation/README.md">Risk Factor and Hypothesis Validation, Evidence Processing, and Model Testing</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/validation/hypothesis/README.md">Statistical Hypothesis Validation Test Suite</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class SignificanceTestSetting
{
/**
* Left Tail Significance Test
*/
public static final int LEFT_TAIL_CHECK = 0;
/**
* Right Tail Significance Test
*/
public static final int RIGHT_TAIL_CHECK = 1;
/**
* Double Tail Significance Test
*/
public static final int DOUBLE_TAIL_CHECK = 2;
/**
* Fisher (1925) Significance Test Threshold
*/
public static final double FISHER_1925_P_TEST_THRESHOLD = 0.05;
/**
* Anfuso, Karyampas, and Nawroth (2017) Significance Test Threshold
*/
public static final double ANFUSO_KARYAMPAS_NAWROTH_2017_P_TEST_THRESHOLD = 0.01;
private int _tailCheck = RIGHT_TAIL_CHECK;
private double _threshold = java.lang.Double.NaN;
/**
* Construct Right Tail Check Significance Test Setting using the Fisher Threshold
*
* @return The Right Tail Check Significance Test Setting
*/
public static final SignificanceTestSetting FisherRightTail()
{
try
{
return new SignificanceTestSetting (
FISHER_1925_P_TEST_THRESHOLD,
RIGHT_TAIL_CHECK
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct Left Tail Check Significance Test Setting using the Fisher Threshold
*
* @return The Left Tail Check Significance Test Setting
*/
public static final SignificanceTestSetting FisherLeftTail()
{
try
{
return new SignificanceTestSetting (
FISHER_1925_P_TEST_THRESHOLD,
LEFT_TAIL_CHECK
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct Double Tail Check Significance Test Setting using the Fisher Threshold
*
* @return The Double Tail Check Significance Test Setting
*/
public static final SignificanceTestSetting FisherDoubleTail()
{
try
{
return new SignificanceTestSetting (
2. * FISHER_1925_P_TEST_THRESHOLD,
DOUBLE_TAIL_CHECK
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* SignificanceTestSetting Constructor
*
* @param threshold The Test Threshold
* @param tailCheck Test Tail Check Flag
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public SignificanceTestSetting (
final double threshold,
final int tailCheck)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_threshold = threshold))
{
throw new java.lang.Exception ("SignificanceTestSetting Constructor => Invalid Inputs");
}
_tailCheck = tailCheck;
}
/**
* Retrieve the Test Tail Check
*
* @return The Test Tail Check
*/
public int tailCheck()
{
return _tailCheck;
}
/**
* Retrieve the Test Tail Threshold
*
* @return The Test Tail Threshold
*/
public double threshold()
{
return _threshold;
}
}