SignificanceTestSetting.java

  1. package org.drip.validation.hypothesis;

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

  77. /**
  78.  * <i>SignificanceTestSetting</i> contains the Control Settings that determine the Success/Failure of the
  79.  * specified Statistical Hypothesis p-Test.
  80.  *
  81.  *  <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for
  85.  *              Back-testing Credit Exposure Models
  86.  *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 <b>eSSRN</b>
  87.  *      </li>
  88.  *      <li>
  89.  *          Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with
  90.  *              Applications to Financial Risk Management, International Economic Review 39 (4) 863-883
  91.  *      </li>
  92.  *      <li>
  93.  *          Kenyon, C., and R. Stamm (2012): Discounting, LIBOR, CVA, and Funding: Interest Rate and Credit
  94.  *              Pricing, Palgrave Macmillan
  95.  *      </li>
  96.  *      <li>
  97.  *          Wikipedia (2018): Probability Integral Transform
  98.  *              https://en.wikipedia.org/wiki/Probability_integral_transform
  99.  *      </li>
  100.  *      <li>
  101.  *          Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value
  102.  *      </li>
  103.  *  </ul>
  104.  *
  105.  *  <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ModelValidationAnalyticsLibrary.md">Model Validation Analytics Library</a></li>
  109.  *      <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>
  110.  *      <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>
  111.  *  </ul>
  112.  * <br><br>
  113.  *
  114.  * @author Lakshmi Krishnamurthy
  115.  */

  117. public class SignificanceTestSetting
  118. {

  120.     /**
  121.      * Left Tail Significance Test
  122.      */

  124.     public static final int LEFT_TAIL_CHECK = 0;

  126.     /**
  127.      * Right Tail Significance Test
  128.      */

  130.     public static final int RIGHT_TAIL_CHECK = 1;

  132.     /**
  133.      * Double Tail Significance Test
  134.      */

  136.     public static final int DOUBLE_TAIL_CHECK = 2;

  138.     /**
  139.      * Fisher (1925) Significance Test Threshold
  140.      */

  142.     public static final double FISHER_1925_P_TEST_THRESHOLD = 0.05;

  144.     /**
  145.      * Anfuso, Karyampas, and Nawroth (2017) Significance Test Threshold
  146.      */

  148.     public static final double ANFUSO_KARYAMPAS_NAWROTH_2017_P_TEST_THRESHOLD = 0.01;

  150.     private int _tailCheck = RIGHT_TAIL_CHECK;
  151.     private double _threshold = java.lang.Double.NaN;

  153.     /**
  154.      * Construct Right Tail Check Significance Test Setting using the Fisher Threshold
  155.      * 
  156.      * @return The Right Tail Check Significance Test Setting
  157.      */

  159.     public static final SignificanceTestSetting FisherRightTail()
  160.     {
  161.         try
  162.         {
  163.             return new SignificanceTestSetting (
  164.                 FISHER_1925_P_TEST_THRESHOLD,
  165.                 RIGHT_TAIL_CHECK
  166.             );
  167.         }
  168.         catch (java.lang.Exception e)
  169.         {
  170.             e.printStackTrace();
  171.         }

  173.         return null;
  174.     }

  176.     /**
  177.      * Construct Left Tail Check Significance Test Setting using the Fisher Threshold
  178.      * 
  179.      * @return The Left Tail Check Significance Test Setting
  180.      */

  182.     public static final SignificanceTestSetting FisherLeftTail()
  183.     {
  184.         try
  185.         {
  186.             return new SignificanceTestSetting (
  187.                 FISHER_1925_P_TEST_THRESHOLD,
  188.                 LEFT_TAIL_CHECK
  189.             );
  190.         }
  191.         catch (java.lang.Exception e)
  192.         {
  193.             e.printStackTrace();
  194.         }

  196.         return null;
  197.     }

  199.     /**
  200.      * Construct Double Tail Check Significance Test Setting using the Fisher Threshold
  201.      * 
  202.      * @return The Double Tail Check Significance Test Setting
  203.      */

  205.     public static final SignificanceTestSetting FisherDoubleTail()
  206.     {
  207.         try
  208.         {
  209.             return new SignificanceTestSetting (
  210.                 2. * FISHER_1925_P_TEST_THRESHOLD,
  211.                 DOUBLE_TAIL_CHECK
  212.             );
  213.         }
  214.         catch (java.lang.Exception e)
  215.         {
  216.             e.printStackTrace();
  217.         }

  219.         return null;
  220.     }

  222.     /**
  223.      * SignificanceTestSetting Constructor
  224.      * 
  225.      * @param threshold The Test Threshold
  226.      * @param tailCheck Test Tail Check Flag
  227.      * 
  228.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  229.      */

  231.     public SignificanceTestSetting (
  232.         final double threshold,
  233.         final int tailCheck)
  234.         throws java.lang.Exception
  235.     {
  236.         if (!org.drip.numerical.common.NumberUtil.IsValid (_threshold = threshold))
  237.         {
  238.             throw new java.lang.Exception ("SignificanceTestSetting Constructor => Invalid Inputs");
  239.         }

  241.         _tailCheck = tailCheck;
  242.     }

  244.     /**
  245.      * Retrieve the Test Tail Check
  246.      * 
  247.      * @return The Test Tail Check
  248.      */

  250.     public int tailCheck()
  251.     {
  252.         return _tailCheck;
  253.     }

  255.     /**
  256.      * Retrieve the Test Tail Threshold
  257.      * 
  258.      * @return The Test Tail Threshold
  259.      */

  261.     public double threshold()
  262.     {
  263.         return _threshold;
  264.     }
  265. }
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