PlottingPositionGeneratorHeuristic.java

  1. package org.drip.validation.quantile;

  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>PlottingPositionGeneratorHeuristic</i> holds the Expected Order Statistic Based Heuristic Plotting
  79.  * Position Generation Schemes.
  80.  *
  81.  *  <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Filliben, J. J. (1975): The Probability Plot Correlation Coefficient Test for Normality
  85.  *              <i>Technometrics, American Society for Quality</i> <b>17 (1)</b> 111-117
  86.  *      </li>
  87.  *      <li>
  88.  *          Gibbons, J. D., and S. Chakraborti (2003): <i>Non-parametric Statistical Inference 4th
  89.  *              Edition</i> <b>CRC Press</b>
  90.  *      </li>
  91.  *      <li>
  92.  *          Gnanadesikan, R. (1977): <i>Methods for Statistical Analysis of Multivariate Observations</i>
  93.  *              <b>Wiley</b>
  94.  *      </li>
  95.  *      <li>
  96.  *          Thode, H. C. (2002): <i>Testing for Normality</i> <b>Marcel Dekker</b> New York
  97.  *      </li>
  98.  *      <li>
  99.  *          Wikipedia (2018): Q-Q Plot https://en.wikipedia.org/wiki/Q%E2%80%93Q_plot
  100.  *      </li>
  101.  *  </ul>
  102.  *
  103.  *  <br><br>
  104.  *  <ul>
  105.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  106.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ModelValidationAnalyticsLibrary.md">Model Validation Analytics Library</a></li>
  107.  *      <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>
  108.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/validation/quantile/README.md">Quantile Based Graphical Numerical Validators</a></li>
  109.  *  </ul>
  110.  * <br><br>
  111.  *
  112.  * @author Lakshmi Krishnamurthy
  113.  */

  115. public class PlottingPositionGeneratorHeuristic extends
  116.     org.drip.validation.quantile.PlottingPositionGenerator
  117. {

  119.     /**
  120.      * Standard Heuristic
  121.      */

  123.     public static final double RELIEF_STANDARD = 0.;

  125.     /**
  126.      * Bernard and Bos-Levenbach (1953) Heuristic
  127.      */

  129.     public static final double RELIEF_BERNARD_BOS_LEVENBACH_1953 = 0.3;

  131.     /**
  132.      * NIST (2013) Heuristic
  133.      */

  135.     public static final double RELIEF_NIST_2013 = 0.3175;

  137.     /**
  138.      * Yu and Huang (2001) Heuristic
  139.      */

  141.     public static final double RELIEF_YU_HUANG_2001 = 0.326;

  143.     /**
  144.      * BMDP (2018) Heuristic
  145.      */

  147.     public static final double RELIEF_BMDP_2018 = 0.333333;

  149.     /**
  150.      * Blom (1958) Heuristic
  151.      */

  153.     public static final double RELIEF_BLOM_1958 = 0.375;

  155.     /**
  156.      * Cunnane (1978) Heuristic
  157.      */

  159.     public static final double RELIEF_CUNNANE_1978 = 0.4;

  161.     /**
  162.      * Gringorten (1963) Heuristic
  163.      */

  165.     public static final double RELIEF_GRINGORTEN_1963 = 0.44;

  167.     /**
  168.      * Hazen (1913) Heuristic
  169.      */

  171.     public static final double RELIEF_HAZEN_1913 = 0.5;

  173.     /**
  174.      * Larsen, Currant, and Hunt (1980) Heuristic
  175.      */

  177.     public static final double RELIEF_LARSEN_CURRANT_HUNT_1980 = 0.567;

  179.     /**
  180.      * Filliben (1975) Heuristic
  181.      */

  183.     public static final double RELIEF_FILLIBEN_1975 = 1.;

  185.     /**
  186.      * Construct the Standard Version of the PlottingPositionGeneratorHeuristic
  187.      * 
  188.      * @param orderStatisticCount The Order Statistic Count
  189.      * 
  190.      * @return Standard Version of the PlottingPositionGeneratorHeuristic
  191.      */

  193.     public static final PlottingPositionGeneratorHeuristic Standard (
  194.         final int orderStatisticCount)
  195.     {
  196.         try
  197.         {
  198.             return new PlottingPositionGeneratorHeuristic (
  199.                 orderStatisticCount,
  200.                 RELIEF_STANDARD
  201.             );
  202.         }
  203.         catch (java.lang.Exception e)
  204.         {
  205.             e.printStackTrace();
  206.         }

  208.         return null;
  209.     }

  211.     /**
  212.      * Construct the Bernard Bos-Levenbach (1953) Version of the PlottingPositionGeneratorHeuristic
  213.      * 
  214.      * @param orderStatisticCount The Order Statistic Count
  215.      * 
  216.      * @return Bernard Bos-Levenbach (1953) Version of the PlottingPositionGeneratorHeuristic
  217.      */

  219.     public static final PlottingPositionGeneratorHeuristic BernardBosLevenbach1953 (
  220.         final int orderStatisticCount)
  221.     {
  222.         try
  223.         {
  224.             return new PlottingPositionGeneratorHeuristic (
  225.                 orderStatisticCount,
  226.                 RELIEF_BERNARD_BOS_LEVENBACH_1953
  227.             );
  228.         }
  229.         catch (java.lang.Exception e)
  230.         {
  231.             e.printStackTrace();
  232.         }

  234.         return null;
  235.     }

  237.     /**
  238.      * Construct the NIST (2013) Version of the PlottingPositionGeneratorHeuristic
  239.      * 
  240.      * @param orderStatisticCount The Order Statistic Count
  241.      * 
  242.      * @return NIST (2013) Version of the PlottingPositionGeneratorHeuristic
  243.      */

  245.     public static final PlottingPositionGeneratorHeuristic NIST2013 (
  246.         final int orderStatisticCount)
  247.     {
  248.         try
  249.         {
  250.             return new PlottingPositionGeneratorHeuristic (
  251.                 orderStatisticCount,
  252.                 RELIEF_NIST_2013
  253.             );
  254.         }
  255.         catch (java.lang.Exception e)
  256.         {
  257.             e.printStackTrace();
  258.         }

  260.         return null;
  261.     }

  263.     /**
  264.      * Construct the Yu and Huang (2001) Version of the PlottingPositionGeneratorHeuristic
  265.      * 
  266.      * @param orderStatisticCount The Order Statistic Count
  267.      * 
  268.      * @return Yu and Huang (2001) Version of the PlottingPositionGeneratorHeuristic
  269.      */

  271.     public static final PlottingPositionGeneratorHeuristic YuHuang2001 (
  272.         final int orderStatisticCount)
  273.     {
  274.         try
  275.         {
  276.             return new PlottingPositionGeneratorHeuristic (
  277.                 orderStatisticCount,
  278.                 RELIEF_YU_HUANG_2001
  279.             );
  280.         }
  281.         catch (java.lang.Exception e)
  282.         {
  283.             e.printStackTrace();
  284.         }

  286.         return null;
  287.     }

  289.     /**
  290.      * Construct the BMDP (2018) Version of the PlottingPositionGeneratorHeuristic
  291.      * 
  292.      * @param orderStatisticCount The Order Statistic Count
  293.      * 
  294.      * @return BMDP (2018) Version of the PlottingPositionGeneratorHeuristic
  295.      */

  297.     public static final PlottingPositionGeneratorHeuristic BMDP2018 (
  298.         final int orderStatisticCount)
  299.     {
  300.         try
  301.         {
  302.             return new PlottingPositionGeneratorHeuristic (
  303.                 orderStatisticCount,
  304.                 RELIEF_BMDP_2018
  305.             );
  306.         }
  307.         catch (java.lang.Exception e)
  308.         {
  309.             e.printStackTrace();
  310.         }

  312.         return null;
  313.     }

  315.     /**
  316.      * Construct the Blom (1958) Version of the PlottingPositionGeneratorHeuristic
  317.      * 
  318.      * @param orderStatisticCount The Order Statistic Count
  319.      * 
  320.      * @return Blom (1958) Version of the PlottingPositionGeneratorHeuristic
  321.      */

  323.     public static final PlottingPositionGeneratorHeuristic Blom1958 (
  324.         final int orderStatisticCount)
  325.     {
  326.         try
  327.         {
  328.             return new PlottingPositionGeneratorHeuristic (
  329.                 orderStatisticCount,
  330.                 RELIEF_BLOM_1958
  331.             );
  332.         }
  333.         catch (java.lang.Exception e)
  334.         {
  335.             e.printStackTrace();
  336.         }

  338.         return null;
  339.     }

  341.     /**
  342.      * Construct the Cunnane (1978) Version of the PlottingPositionGeneratorHeuristic
  343.      * 
  344.      * @param orderStatisticCount The Order Statistic Count
  345.      * 
  346.      * @return Cunnane (1978) Version of the PlottingPositionGeneratorHeuristic
  347.      */

  349.     public static final PlottingPositionGeneratorHeuristic Cunnane1978 (
  350.         final int orderStatisticCount)
  351.     {
  352.         try
  353.         {
  354.             return new PlottingPositionGeneratorHeuristic (
  355.                 orderStatisticCount,
  356.                 RELIEF_CUNNANE_1978
  357.             );
  358.         }
  359.         catch (java.lang.Exception e)
  360.         {
  361.             e.printStackTrace();
  362.         }

  364.         return null;
  365.     }

  367.     /**
  368.      * Construct the Gringorten (1963) Version of the PlottingPositionGeneratorHeuristic
  369.      * 
  370.      * @param orderStatisticCount The Order Statistic Count
  371.      * 
  372.      * @return Gringorten (1963) Version of the PlottingPositionGeneratorHeuristic
  373.      */

  375.     public static final PlottingPositionGeneratorHeuristic Gringorten1963 (
  376.         final int orderStatisticCount)
  377.     {
  378.         try
  379.         {
  380.             return new PlottingPositionGeneratorHeuristic (
  381.                 orderStatisticCount,
  382.                 RELIEF_GRINGORTEN_1963
  383.             );
  384.         }
  385.         catch (java.lang.Exception e)
  386.         {
  387.             e.printStackTrace();
  388.         }

  390.         return null;
  391.     }

  393.     /**
  394.      * Construct the Hazen (1913) Version of the PlottingPositionGeneratorHeuristic
  395.      * 
  396.      * @param orderStatisticCount The Order Statistic Count
  397.      * 
  398.      * @return Hazen (1913) Version of the PlottingPositionGeneratorHeuristic
  399.      */

  401.     public static final PlottingPositionGeneratorHeuristic Hazen1913 (
  402.         final int orderStatisticCount)
  403.     {
  404.         try
  405.         {
  406.             return new PlottingPositionGeneratorHeuristic (
  407.                 orderStatisticCount,
  408.                 RELIEF_HAZEN_1913
  409.             );
  410.         }
  411.         catch (java.lang.Exception e)
  412.         {
  413.             e.printStackTrace();
  414.         }

  416.         return null;
  417.     }

  419.     /**
  420.      * Construct the Larsen, Currant, and Hunt (1980) Version of the PlottingPositionGeneratorHeuristic
  421.      * 
  422.      * @param orderStatisticCount The Order Statistic Count
  423.      * 
  424.      * @return Larsen, Currant, and Hunt (1980) Version of the PlottingPositionGeneratorHeuristic
  425.      */

  427.     public static final PlottingPositionGeneratorHeuristic LarsenCurrantHunt1980 (
  428.         final int orderStatisticCount)
  429.     {
  430.         try
  431.         {
  432.             return new PlottingPositionGeneratorHeuristic (
  433.                 orderStatisticCount,
  434.                 RELIEF_LARSEN_CURRANT_HUNT_1980
  435.             );
  436.         }
  437.         catch (java.lang.Exception e)
  438.         {
  439.             e.printStackTrace();
  440.         }

  442.         return null;
  443.     }

  445.     /**
  446.      * Construct the Filliben (1975) Version of the PlottingPositionGeneratorHeuristic
  447.      * 
  448.      * @param orderStatisticCount The Order Statistic Count
  449.      * 
  450.      * @return Filliben (1975) Version of the PlottingPositionGeneratorHeuristic
  451.      */

  453.     public static final PlottingPositionGeneratorHeuristic Filliben1975 (
  454.         final int orderStatisticCount)
  455.     {
  456.         try
  457.         {
  458.             return new PlottingPositionGeneratorHeuristic (
  459.                 orderStatisticCount,
  460.                 RELIEF_FILLIBEN_1975
  461.             );
  462.         }
  463.         catch (java.lang.Exception e)
  464.         {
  465.             e.printStackTrace();
  466.         }

  468.         return null;
  469.     }

  471.     private double _relief = java.lang.Double.NaN;

  473.     /**
  474.      * PlottingPositionGeneratorHeuristic Constructor
  475.      * 
  476.      * @param orderStatisticCount Count of Order Statistics
  477.      * @param relief Leading Relief
  478.      * 
  479.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  480.      */

  482.     public PlottingPositionGeneratorHeuristic (
  483.         final int orderStatisticCount,
  484.         final double relief)
  485.         throws java.lang.Exception
  486.     {
  487.         super (orderStatisticCount);

  489.         if (!org.drip.numerical.common.NumberUtil.IsValid (_relief = relief) || 0. > _relief || 1. < _relief)
  490.         {
  491.             throw new java.lang.Exception
  492.                 ("PlottingPositionGeneratorHeuristic Constructor => Invalid Inputs");
  493.         }
  494.     }

  496.     /**
  497.      * Retrieve the Leading Relief
  498.      * 
  499.      * @return The Leading Relief
  500.      */

  502.     public double relief()
  503.     {
  504.         return _relief;
  505.     }

  507.     @Override public org.drip.validation.quantile.PlottingPosition[] generate()
  508.     {
  509.         int orderStatisticCount = orderStatisticCount();

  511.         org.drip.validation.quantile.PlottingPosition[] plottingPositionArray = new
  512.             org.drip.validation.quantile.PlottingPosition[orderStatisticCount];

  514.         for (int orderStatisticIndex = 1; orderStatisticIndex <= orderStatisticCount; ++orderStatisticIndex)
  515.         {
  516.             try
  517.             {
  518.                 plottingPositionArray[orderStatisticIndex - 1] =
  519.                     new org.drip.validation.quantile.PlottingPosition (
  520.                         orderStatisticIndex,
  521.                         (((double) orderStatisticIndex) - _relief) /
  522.                             (1. + orderStatisticCount - 2. * _relief)
  523.                     );
  524.             }
  525.             catch (java.lang.Exception e)
  526.             {
  527.                 e.printStackTrace();

  529.                 return null;
  530.             }
  531.         }

  533.         return plottingPositionArray;
  534.     }
  535. }
Created with JaCoCo 0.7.9.201702052155