DiscriminatoryPowerAnalyzer.java

  1. package org.drip.validation.riskfactorsingle;

  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>DiscriminatoryPowerAnalyzer</i> implements the Discriminatory Power Analyzer for the given Sample
  79.  * across the One/More Hypothesis at a Single Event.
  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 <i>International Economic Review</i> <b>39 (4)</b>
  91.  *              863-883
  92.  *      </li>
  93.  *      <li>
  94.  *          Kenyon, C., and R. Stamm (2012): <i>Discounting, LIBOR, CVA, and Funding: Interest Rate and
  95.  *              Credit Pricing</i> <b>Palgrave Macmillan</b>
  96.  *      </li>
  97.  *      <li>
  98.  *          Wikipedia (2018): Probability Integral Transform
  99.  *              https://en.wikipedia.org/wiki/Probability_integral_transform
  100.  *      </li>
  101.  *      <li>
  102.  *          Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value
  103.  *      </li>
  104.  *  </ul>
  105.  *
  106.  *  <br><br>
  107.  *  <ul>
  108.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  109.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ModelValidationAnalyticsLibrary.md">Model Validation Analytics Library</a></li>
  110.  *      <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>
  111.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/validation/riskfactorsingle/README.md">Single Risk Factor Aggregate Tests</a></li>
  112.  *  </ul>
  113.  * <br><br>
  114.  *
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class DiscriminatoryPowerAnalyzer
  119. {
  120.     private org.drip.validation.distance.GapTestSetting _gapTestSetting = null;
  121.     private org.drip.validation.hypothesis.ProbabilityIntegralTransform _sampleProbabilityIntegralTransform =
  122.         null;

  124.     /**
  125.      * Construct a DiscriminatoryPowerAnalyzer Instance from the Sample
  126.      * 
  127.      * @param sample The Sample Instance
  128.      * @param gapTestSetting The Distance Gap Test Setting
  129.      * 
  130.      * @return The DiscriminatoryPowerAnalyzer Instance
  131.      */

  133.     public static final DiscriminatoryPowerAnalyzer FromSample (
  134.         final org.drip.validation.evidence.Sample sample,
  135.         final org.drip.validation.distance.GapTestSetting gapTestSetting)
  136.     {
  137.         try
  138.         {
  139.             return null == sample ? null : new DiscriminatoryPowerAnalyzer (
  140.                 sample.nativeProbabilityIntegralTransform(),
  141.                 gapTestSetting
  142.             );
  143.         }
  144.         catch (java.lang.Exception e)
  145.         {
  146.             e.printStackTrace();
  147.         }

  149.         return null;
  150.     }

  152.     /**
  153.      * DiscriminatoryPowerAnalyzer Constructor
  154.      * 
  155.      * @param sampleProbabilityIntegralTransform Sample Probability Integral Transform
  156.      * @param gapTestSetting The Distance Gap Test Setting
  157.      * 
  158.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  159.      */

  161.     public DiscriminatoryPowerAnalyzer (
  162.         final org.drip.validation.hypothesis.ProbabilityIntegralTransform sampleProbabilityIntegralTransform,
  163.         final org.drip.validation.distance.GapTestSetting gapTestSetting)
  164.         throws java.lang.Exception
  165.     {
  166.         if (null == (_sampleProbabilityIntegralTransform = sampleProbabilityIntegralTransform) ||
  167.             null == (_gapTestSetting = gapTestSetting))
  168.         {
  169.             throw new java.lang.Exception ("DiscriminatoryPowerAnalyzer Constructor => Invalid Inputs");
  170.         }
  171.     }

  173.     /**
  174.      * Retrieve the Sample Probability Integral Transform
  175.      * 
  176.      * @return The Sample Probability Integral Transform
  177.      */

  179.     public org.drip.validation.hypothesis.ProbabilityIntegralTransform sampleProbabilityIntegralTransform()
  180.     {
  181.         return _sampleProbabilityIntegralTransform;
  182.     }

  184.     /**
  185.      * Retrieve the Gap Test Setting
  186.      * 
  187.      * @return The Gap Test Setting
  188.      */

  190.     public org.drip.validation.distance.GapTestSetting gapTestSetting()
  191.     {
  192.         return _gapTestSetting;
  193.     }

  195.     /**
  196.      * Run the Gap Test for the Hypothesis
  197.      * 
  198.      * @param hypothesis The Ensemble Hypothesis
  199.      * 
  200.      * @return The Sample-Hypothesis Gap Test Outcome
  201.      */

  203.     public org.drip.validation.distance.GapTestOutcome gapTest (
  204.         final org.drip.validation.evidence.Ensemble hypothesis)
  205.     {
  206.         try
  207.         {
  208.             return null == hypothesis ? null : new
  209.                 org.drip.validation.hypothesis.ProbabilityIntegralTransformTest (
  210.                     hypothesis.nativeProbabilityIntegralTransform()
  211.                 ).distanceTest (
  212.                     _sampleProbabilityIntegralTransform,
  213.                     _gapTestSetting
  214.                 );
  215.         }
  216.         catch (java.lang.Exception e)
  217.         {
  218.             e.printStackTrace();
  219.         }

  221.         return null;
  222.     }

  224.     /**
  225.      * Generate the Gap Test Outcomes for the specified Hypothesis Suite
  226.      * 
  227.      * @param hypothesisSuite The Hypothesis Suite
  228.      * 
  229.      * @return The Suite of Gap Test Outcomes
  230.      */

  232.     public org.drip.validation.distance.HypothesisOutcomeSuite hypothesisGapTest (
  233.         final org.drip.validation.distance.HypothesisSuite hypothesisSuite)
  234.     {
  235.         if (null == hypothesisSuite)
  236.         {
  237.             return null;
  238.         }

  240.         java.util.Map<java.lang.String, org.drip.validation.evidence.Ensemble> hypothesisMap =
  241.             hypothesisSuite.hypothesisMap();

  243.         if (0 == hypothesisMap.size())
  244.         {
  245.             return null;
  246.         }

  248.         org.drip.validation.distance.HypothesisOutcomeSuite hypothesisOutcomeSuite = new
  249.             org.drip.validation.distance.HypothesisOutcomeSuite();

  251.         for (java.util.Map.Entry<java.lang.String, org.drip.validation.evidence.Ensemble> hypothesisMapEntry
  252.             : hypothesisMap.entrySet())
  253.         {
  254.             org.drip.validation.distance.GapTestOutcome gapTestOutcome = gapTest
  255.                 (hypothesisMapEntry.getValue());

  257.             if (null == gapTestOutcome)
  258.             {
  259.                 continue;
  260.             }

  262.             hypothesisOutcomeSuite.add (
  263.                 hypothesisMapEntry.getKey(),
  264.                 gapTestOutcome
  265.             );
  266.         }

  268.         return hypothesisOutcomeSuite;
  269.     }
  270. }
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