DiscriminatoryPowerAnalyzerAggregate.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>DiscriminatoryPowerAnalyzerAggregate</i> implements the Discriminatory Power Analyzer for the given
  79.  * Sample across the One/More Hypothesis and Multiple Events.
  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 DiscriminatoryPowerAnalyzerAggregate
  119. {
  120.     private org.drip.validation.distance.GapTestSetting _gapTestSetting = null;
  121.     private org.drip.validation.riskfactorsingle.EventAggregationWeightFunction _eventAggregationWeightFunction =
  122.         null;

  124.     private java.util.Map<java.lang.String, org.drip.validation.hypothesis.ProbabilityIntegralTransform>
  125.         _eventSamplePITMap = new
  126.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.validation.hypothesis.ProbabilityIntegralTransform>();

  128.     /**
  129.      * DiscriminatoryPowerAnalyzerAggregate Constructor
  130.      * 
  131.      * @param eventSamplePITMap Event Sample PIT Map
  132.      * @param gapTestSetting The Distance Gap Test Setting
  133.      * @param eventAggregationWeightFunction Event Aggregation Weight Function
  134.      * 
  135.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  136.      */

  138.     public DiscriminatoryPowerAnalyzerAggregate (
  139.         final java.util.Map<java.lang.String, org.drip.validation.hypothesis.ProbabilityIntegralTransform>
  140.             eventSamplePITMap,
  141.         final org.drip.validation.distance.GapTestSetting gapTestSetting,
  142.         final org.drip.validation.riskfactorsingle.EventAggregationWeightFunction eventAggregationWeightFunction)
  143.         throws java.lang.Exception
  144.     {
  145.         if (null == (_eventSamplePITMap = eventSamplePITMap) || 0 == _eventSamplePITMap.size() ||
  146.             null == (_gapTestSetting = gapTestSetting) ||
  147.             null == (_eventAggregationWeightFunction = eventAggregationWeightFunction))
  148.         {
  149.             throw new java.lang.Exception
  150.                 ("DiscriminatoryPowerAnalyzerAggregate Constructor => Invalid Inputs");
  151.         }
  152.     }

  154.     /**
  155.      * Retrieve the Gap Test Setting
  156.      * 
  157.      * @return The Gap Test Setting
  158.      */

  160.     public org.drip.validation.distance.GapTestSetting gapTestSetting()
  161.     {
  162.         return _gapTestSetting;
  163.     }

  165.     /**
  166.      * Retrieve the Event Aggregation Weight Function
  167.      *
  168.      * @return The Event Aggregation Weight Function
  169.      */

  171.     public org.drip.validation.riskfactorsingle.EventAggregationWeightFunction eventAggregationWeightFunction()
  172.     {
  173.         return _eventAggregationWeightFunction;
  174.     }

  176.     /**
  177.      * Retrieve the Event Sample PIT Map
  178.      * 
  179.      * @return The Event Sample PIT Map
  180.      */

  182.     public java.util.Map<java.lang.String, org.drip.validation.hypothesis.ProbabilityIntegralTransform>
  183.         eventSamplePITMap()
  184.     {
  185.         return _eventSamplePITMap;
  186.     }

  188.     private org.drip.validation.riskfactorsingle.GapTestOutcomeAggregate eventOutcomeAggregate (
  189.         final java.lang.String hypothesisID,
  190.         final java.util.Map<java.lang.String, org.drip.validation.evidence.Ensemble> eventEnsembleMap)
  191.     {
  192.         double distanceAggregate = 0.;

  194.         java.util.Map<java.lang.String, org.drip.validation.distance.GapTestOutcome> eventOutcomeMap = new
  195.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.validation.distance.GapTestOutcome>();

  197.         try
  198.         {
  199.             for (java.util.Map.Entry<java.lang.String, org.drip.validation.evidence.Ensemble> eventEnsemble :
  200.                 eventEnsembleMap.entrySet())
  201.             {
  202.                 java.lang.String eventID = eventEnsemble.getKey();

  204.                 if (!_eventSamplePITMap.containsKey (eventID))
  205.                 {
  206.                     return null;
  207.                 }

  209.                 DiscriminatoryPowerAnalyzer discriminatoryPowerAnalyzer = new DiscriminatoryPowerAnalyzer
  210.                 (
  211.                     _eventSamplePITMap.get (eventID),
  212.                     _gapTestSetting
  213.                 );

  215.                 org.drip.validation.distance.GapTestOutcome gapTestOutcome =
  216.                     discriminatoryPowerAnalyzer.gapTest (eventEnsemble.getValue());

  218.                 if (null == gapTestOutcome)
  219.                 {
  220.                     return null;
  221.                 }

  223.                 distanceAggregate = distanceAggregate + gapTestOutcome.distance() *
  224.                     _eventAggregationWeightFunction.loading (eventID);

  226.                 eventOutcomeMap.put (
  227.                     eventID,
  228.                     gapTestOutcome
  229.                 );
  230.             }

  232.             return new org.drip.validation.riskfactorsingle.GapTestOutcomeAggregate (
  233.                 eventOutcomeMap,
  234.                 distanceAggregate
  235.             );
  236.         }
  237.         catch (java.lang.Exception e)
  238.         {
  239.             e.printStackTrace();

  241.             return null;
  242.         }
  243.     }

  245.     /**
  246.      * Generate the Hypotheses Outcome Suite Aggregate for the specified Hypothesis Suite Aggregate
  247.      * 
  248.      * @param hypothesisSuiteAggregate The Hypothesis Suite Aggregate
  249.      * 
  250.      * @return The Suite of Gap Test Outcomes
  251.      */

  253.     public org.drip.validation.riskfactorsingle.HypothesisOutcomeSuiteAggregate hypothesisGapTest (
  254.         final org.drip.validation.riskfactorsingle.HypothesisSuiteAggregate hypothesisSuiteAggregate)
  255.     {
  256.         if (null == hypothesisSuiteAggregate)
  257.         {
  258.             return null;
  259.         }

  261.         java.util.Map<java.lang.String, java.util.Map<java.lang.String,
  262.             org.drip.validation.evidence.Ensemble>> hypothesisEventMap =
  263.                 hypothesisSuiteAggregate.hypothesisEventMap();

  265.         if (0 == hypothesisEventMap.size())
  266.         {
  267.             return null;
  268.         }

  270.         org.drip.validation.riskfactorsingle.HypothesisOutcomeSuiteAggregate hypothesisOutcomeSuiteAggregate = new
  271.             org.drip.validation.riskfactorsingle.HypothesisOutcomeSuiteAggregate();

  273.         for (java.util.Map.Entry<java.lang.String, java.util.Map<java.lang.String,
  274.             org.drip.validation.evidence.Ensemble>> hypothesisEvent : hypothesisEventMap.entrySet())
  275.         {
  276.             java.lang.String hypothesisID = hypothesisEvent.getKey();

  278.             if (!hypothesisOutcomeSuiteAggregate.add (
  279.                 hypothesisID,
  280.                 eventOutcomeAggregate (
  281.                     hypothesisID,
  282.                     hypothesisEvent.getValue()
  283.                 )
  284.             ))
  285.             {
  286.                 return null;
  287.             }
  288.         }

  290.         return hypothesisOutcomeSuiteAggregate;
  291.     }
  292. }
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