org.drip.regression.spline

Class BasisSplineRegressor

java.lang.Object

org.drip.regression.core.UnitRegressionExecutor

org.drip.regression.spline.BasisSplineRegressor

All Implemented Interfaces:

UnitRegressor

Direct Known Subclasses:

HermiteBasisSplineRegressor

public class BasisSplineRegressor
extends UnitRegressionExecutor

BasisSplineRegressor implements the custom basis spline regressor for the given basis spline. As part of the regression run, it executes the following: - Calibrate and compute the left and the right Jacobian. - Reset right node and re-run calibration. - Compute an intermediate value Jacobian.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
static BasisSplineRegressor	CreateBernsteinPolynomialSplineRegressor(java.lang.String strName, java.lang.String strScenarioName, int iNumBasis, int iCk) Create an instance of Bernstein Polynomial BasisSplineRegressor
static BasisSplineRegressor	CreateExponentialTensionSplineRegressor(java.lang.String strName, java.lang.String strScenarioName, double dblTension) Create an instance of Exponential BasisSplineRegressor
static BasisSplineRegressor	CreateHyperbolicTensionSplineRegressor(java.lang.String strName, java.lang.String strScenarioName, double dblTension) Create an instance of Hyperbolic BasisSplineRegressor
static BasisSplineRegressor	CreateKaklisPandelisSplineRegressor(java.lang.String strName, java.lang.String strScenarioName, int iKPPolynomialTension) Create an instance of the Kaklis-Pandelis BasisSplineRegressor
static BasisSplineRegressor	CreatePolynomialSplineRegressor(java.lang.String strName, java.lang.String strScenarioName, int iNumBasis, int iCk) Create an instance of Polynomial BasisSplineRegressor
boolean	execRegression() Execute the regression call within this function
boolean	postRegression(RegressionRunDetail rnvd) Clean-up of the objects set-up for the regression
boolean	preRegression() One-time initialization to set up the objects needed for the regression

Methods inherited from class org.drip.regression.core.UnitRegressionExecutor

getName, regress

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

CreatePolynomialSplineRegressor

public static final BasisSplineRegressor CreatePolynomialSplineRegressor(java.lang.String strName,
                                                                         java.lang.String strScenarioName,
                                                                         int iNumBasis,
                                                                         int iCk)

Create an instance of Polynomial BasisSplineRegressor

Parameters:

strName - Regressor Name

strScenarioName - Regressor Scenario Name

iNumBasis - Number of Basis Functions

iCk - Ck

Returns:

The BasisSplineRegressor Instance

CreateBernsteinPolynomialSplineRegressor

public static final BasisSplineRegressor CreateBernsteinPolynomialSplineRegressor(java.lang.String strName,
                                                                                  java.lang.String strScenarioName,
                                                                                  int iNumBasis,
                                                                                  int iCk)

Create an instance of Bernstein Polynomial BasisSplineRegressor

Parameters:

strName - Regressor Name

strScenarioName - Regressor Scenario Name

iNumBasis - Number of Basis Functions

iCk - Ck

Returns:

The BasisSplineRegressor Instance

CreateExponentialTensionSplineRegressor

public static final BasisSplineRegressor CreateExponentialTensionSplineRegressor(java.lang.String strName,
                                                                                 java.lang.String strScenarioName,
                                                                                 double dblTension)

Create an instance of Exponential BasisSplineRegressor

Parameters:

strName - Regressor Name

strScenarioName - Regressor Scenario Name

dblTension - Tension Parameter

Returns:

The BasisSplineRegressor Instance

CreateHyperbolicTensionSplineRegressor

public static final BasisSplineRegressor CreateHyperbolicTensionSplineRegressor(java.lang.String strName,
                                                                                java.lang.String strScenarioName,
                                                                                double dblTension)

Create an instance of Hyperbolic BasisSplineRegressor

Parameters:

strName - Regressor Name

strScenarioName - Regressor Scenario Name

dblTension - Tension Parameter

Returns:

The BasisSplineRegressor Instance

CreateKaklisPandelisSplineRegressor

public static final BasisSplineRegressor CreateKaklisPandelisSplineRegressor(java.lang.String strName,
                                                                             java.lang.String strScenarioName,
                                                                             int iKPPolynomialTension)

Create an instance of the Kaklis-Pandelis BasisSplineRegressor

Parameters:

strName - Regressor Name

strScenarioName - Regressor Scenario Name

iKPPolynomialTension - KP Polynomial Tension Parameter

Returns:

The BasisSplineRegressor Instance

preRegression

public boolean preRegression()

Description copied from class: UnitRegressionExecutor

One-time initialization to set up the objects needed for the regression

Overrides:

preRegression in class UnitRegressionExecutor

Returns:

TRUE - Initialization successful

execRegression

public boolean execRegression()

Description copied from class: UnitRegressionExecutor

Execute the regression call within this function

Specified by:

execRegression in class UnitRegressionExecutor

Returns:

The result of the regression

postRegression

public boolean postRegression(RegressionRunDetail rnvd)

Description copied from class: UnitRegressionExecutor

Clean-up of the objects set-up for the regression

Overrides:

postRegression in class UnitRegressionExecutor

Parameters:

rnvd - Regression Run Detail object to capture the regression details

Returns:

TRUE - Clean-up successful