HypothesisSuiteAggregate.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>HypothesisSuiteAggregate</i> holds Indexed Hypothesis Ensembles across One/More Event Points.
  79.  *
  80.  *  <br><br>
  81.  *  <ul>
  82.  *      <li>
  83.  *          Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for
  84.  *              Back-testing Credit Exposure Models
  85.  *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 <b>eSSRN</b>
  86.  *      </li>
  87.  *      <li>
  88.  *          Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with
  89.  *              Applications to Financial Risk Management <i>International Economic Review</i> <b>39 (4)</b>
  90.  *              863-883
  91.  *      </li>
  92.  *      <li>
  93.  *          Kenyon, C., and R. Stamm (2012): <i>Discounting, LIBOR, CVA, and Funding: Interest Rate and
  94.  *              Credit Pricing</i> <b>Palgrave Macmillan</b>
  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/riskfactorsingle/README.md">Single Risk Factor Aggregate Tests</a></li>
  111.  *  </ul>
  112.  * <br><br>
  113.  *
  114.  * @author Lakshmi Krishnamurthy
  115.  */

  117. public class HypothesisSuiteAggregate
  118. {
  119.     private java.util.Map<java.lang.String, java.util.Map<java.lang.String,
  120.         org.drip.validation.evidence.Ensemble>> _hypothesisEventMap = new
  121.             org.drip.analytics.support.CaseInsensitiveHashMap<java.util.Map<java.lang.String,
  122.                 org.drip.validation.evidence.Ensemble>>();

  124.     /**
  125.      * Empty HypothesisSuiteAggregate Constructor
  126.      */

  128.     public HypothesisSuiteAggregate()
  129.     {
  130.     }

  132.     /**
  133.      * Retrieve the Hypothesis Event Map
  134.      * 
  135.      * @return The Hypothesis Event Map
  136.      */

  138.     public
  139.         java.util.Map<java.lang.String, java.util.Map<java.lang.String, org.drip.validation.evidence.Ensemble>>
  140.             hypothesisEventMap()
  141.     {
  142.         return _hypothesisEventMap;
  143.     }

  145.     /**
  146.      * Add the Specified Hypothesis with its ID and the Event
  147.      * 
  148.      * @param hypothesisID The Hypothesis ID
  149.      * @param eventID The Event ID
  150.      * @param hypothesis The Hypothesis
  151.      * 
  152.      * @return TRUE - The Hypothesis Successfully Added
  153.      */

  155.     public boolean add (
  156.         final java.lang.String hypothesisID,
  157.         final java.lang.String eventID,
  158.         final org.drip.validation.evidence.Ensemble hypothesis)
  159.     {
  160.         if (null == hypothesisID || hypothesisID.isEmpty() ||
  161.             null == eventID || eventID.isEmpty() ||
  162.             null == hypothesis)
  163.         {
  164.             return false;
  165.         }

  167.         if (_hypothesisEventMap.containsKey (hypothesisID))
  168.         {
  169.             _hypothesisEventMap.get (hypothesisID).put (
  170.                 eventID,
  171.                 hypothesis
  172.             );
  173.         }
  174.         else
  175.         {
  176.             java.util.Map<java.lang.String, org.drip.validation.evidence.Ensemble> eventMap = new
  177.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.validation.evidence.Ensemble>();

  179.             eventMap.put (
  180.                 eventID,
  181.                 hypothesis
  182.             );

  184.             _hypothesisEventMap.put (
  185.                 hypothesisID,
  186.                 eventMap
  187.             );
  188.         }

  190.         return true;
  191.     }

  193.     /**
  194.      * Indicate if the specified Hypothesis is Available
  195.      * 
  196.      * @param hypothesisID The Hypothesis ID
  197.      * @param eventID The Event ID
  198.      * 
  199.      * @return TRUE - The specified Hypothesis is Available
  200.      */

  202.     public boolean containsHypothesis (
  203.         final java.lang.String hypothesisID,
  204.         final java.lang.String eventID)
  205.     {
  206.         return null != hypothesisID && !hypothesisID.isEmpty() &&
  207.             null != eventID && !eventID.isEmpty() &&
  208.             _hypothesisEventMap.containsKey (hypothesisID) &&
  209.             _hypothesisEventMap.get (hypothesisID).containsKey (eventID);
  210.     }

  212.     /**
  213.      * Retrieve the Specified Hypothesis
  214.      * 
  215.      * @param hypothesisID The Hypothesis ID
  216.      * @param eventID The Event ID
  217.      * 
  218.      * @return The Specified Hypothesis
  219.      */

  221.     public org.drip.validation.evidence.Ensemble hypothesis (
  222.         final java.lang.String hypothesisID,
  223.         final java.lang.String eventID)
  224.     {
  225.         return containsHypothesis (
  226.             hypothesisID,
  227.             eventID
  228.         ) ? _hypothesisEventMap.get (hypothesisID).get (eventID) : null;
  229.     }
  230. }
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