| Package | Description |
|---|---|
| org.drip.sample.stretch | |
| org.drip.spline.params | |
| org.drip.spline.pchip | |
| org.drip.spline.stretch | |
| org.drip.state.estimator | |
| org.drip.state.inference |
| Modifier and Type | Method and Description |
|---|---|
static MultiSegmentSequence |
CurvatureRoughnessPenaltyFit.BasisSplineStretchTest(double[] adblX,
double[] adblY,
SegmentCustomBuilderControl scbc,
StretchBestFitResponse sbfr) |
static MultiSegmentSequence |
CurvatureLengthRoughnessPenalty.BasisSplineStretchTest(double[] adblX,
double[] adblY,
SegmentCustomBuilderControl scbc,
StretchBestFitResponse rbfr) |
| Modifier and Type | Method and Description |
|---|---|
static StretchBestFitResponse |
StretchBestFitResponse.Create(double[] adblPredictorOrdinate,
double[] adblResponseValue)
Construct the StretchBestFitResponse Instance from the given Predictor Ordinate/Response Pairs, using
Uniform Weightings.
|
static StretchBestFitResponse |
StretchBestFitResponse.Create(double[] adblPredictorOrdinate,
double[] adblResponseValue,
double[] adblWeight)
Construct the StretchBestFitResponse Instance from the given Inputs
|
static StretchBestFitResponse |
StretchBestFitResponse.Create(int[] aiPredictorOrdinate,
double[] adblResponseValue,
double[] adblWeight)
Construct the StretchBestFitResponse Instance from the given Inputs
|
| Modifier and Type | Method and Description |
|---|---|
static MultiSegmentSequence |
LocalControlStretchBuilder.CreateAkimaStretch(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblResponseValue,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode,
boolean bEliminateSpuriousExtrema,
boolean bApplyMonotoneFilter)
Generate the local control C1 Slope using the Akima Cubic Algorithm.
|
static MultiSegmentSequence |
LocalControlStretchBuilder.CreateBesselCubicSplineStretch(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblResponseValue,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode,
boolean bEliminateSpuriousExtrema,
boolean bApplyMonotoneFilter)
Create Hermite/Bessel C1 Cubic Spline Stretch
|
static MultiSegmentSequence |
LocalControlStretchBuilder.CreateHarmonicMonotoneStretch(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblResponseValue,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode,
boolean bEliminateSpuriousExtrema,
boolean bApplyMonotoneFilter)
Create the Harmonic Monotone Preserving Stretch.
|
static MultiSegmentSequence |
LocalControlStretchBuilder.CreateHuynhLeFlochLimiterStretch(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblResponseValue,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode,
boolean bEliminateSpuriousExtrema,
boolean bApplyMonotoneFilter)
Create the Huynh Le Floch Limiter Stretch.
|
static MultiSegmentSequence |
LocalControlStretchBuilder.CreateHyman83MonotoneStretch(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblResponseValue,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode,
boolean bEliminateSpuriousExtrema,
boolean bApplyMonotoneFilter)
Create Hyman (1983) Monotone Preserving Stretch.
|
static MultiSegmentSequence |
LocalControlStretchBuilder.CreateHyman89MonotoneStretch(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblResponseValue,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode,
boolean bEliminateSpuriousExtrema,
boolean bApplyMonotoneFilter)
Create Hyman (1989) enhancement to the Hyman (1983) Monotone Preserving Stretch.
|
static MultiSegmentSequence |
LocalControlStretchBuilder.CreateKrugerStretch(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblResponseValue,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode,
boolean bEliminateSpuriousExtrema,
boolean bApplyMonotoneFilter)
Create the Kruger Stretch.
|
static MultiSegmentSequence |
LocalControlStretchBuilder.CreateMonotoneConvexStretch(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblObservation,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode,
boolean bLinearNodeInference,
boolean bEliminateSpuriousExtrema,
boolean bApplyMonotoneFilter)
Generate the local control C1 Slope using the Hagan-West Monotone Convex Algorithm.
|
static MultiSegmentSequence |
LocalControlStretchBuilder.CreateVanLeerLimiterStretch(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblResponseValue,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode,
boolean bEliminateSpuriousExtrema,
boolean bApplyMonotoneFilter)
Create the Van Leer Limiter Stretch.
|
static MultiSegmentSequence |
LocalControlStretchBuilder.CustomSlopeHermiteSpline(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblResponseValue,
double[] adblCustomSlope,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode)
Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response
Values, the Custom Slopes, and the Segment Builder Parameters.
|
static MultiSegmentSequence |
LocalControlStretchBuilder.CustomSlopeHermiteSpline(java.lang.String strName,
int[] aiPredictorOrdinate,
double[] adblResponseValue,
double[] adblCustomSlope,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
int iSetupMode)
Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response
Values, the Custom Slopes, and the Segment Builder Parameters.
|
| Modifier and Type | Method and Description |
|---|---|
double |
MultiSegmentSequence.bestFitDPE(StretchBestFitResponse sbfr)
Retrieve the Stretch Best Fit DPE
|
double |
CalibratableMultiSegmentSequence.bestFitDPE(StretchBestFitResponse rbfr) |
static MultiSegmentSequence |
MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator(java.lang.String strName,
double[] adblPredictorOrdinate,
double[] adblResponseValue,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse rbfr,
BoundarySettings bs,
int iCalibrationDetail)
Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response
Values using the specified Basis Splines.
|
static MultiSegmentSequence |
MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator(java.lang.String strName,
double[] adblPredictorOrdinate,
double dblResponseValue,
SegmentCustomBuilderControl scbc,
StretchBestFitResponse sbfr,
BoundarySettings bs,
int iCalibrationDetail)
Create a Calibrated Stretch Instance from the Array of Predictor Ordinates and a flat Response Value
|
static MultiSegmentSequence |
MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator(java.lang.String strName,
double[] adblPredictorOrdinate,
double dblStretchLeftResponseValue,
SegmentResponseValueConstraint[] aSRVC,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse rbfr,
BoundarySettings bs,
int iCalibrationDetail)
Create a calibrated Stretch Instance over the specified Predictor Ordinates, Response Values, and their
Constraints, using the specified Segment Builder Parameters.
|
static MultiSegmentSequence |
MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator(java.lang.String strName,
double[] adblPredictorOrdinate,
SegmentResponseValueConstraint srvcStretchLeft,
SegmentResponseValueConstraint[] aSRVC,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
BoundarySettings bs,
int iCalibrationDetail)
Create a calibrated Stretch Instance over the specified Predictor Ordinates and the Response Value
Constraints, with the Segment Builder Parameters.
|
static MultiSegmentSequence |
MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator(java.lang.String strName,
int[] aiPredictorOrdinate,
double[] adblResponseValue,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse rbfr,
BoundarySettings bs,
int iCalibrationDetail)
Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response
Values using the specified Basis Splines.
|
static MultiSegmentSequence |
MultiSegmentSequenceBuilder.CreateRegressionSplineEstimator(java.lang.String strName,
double[] adblKnotPredictorOrdinate,
SegmentCustomBuilderControl[] aSCBC,
StretchBestFitResponse sbfr,
BoundarySettings bs,
int iCalibrationDetail)
Create a Regression Spline Instance over the specified array of Predictor Ordinate Knot Points and the
Set of the Points to be Best Fit.
|
boolean |
MultiSegmentSequence.setLeftNode(double dblStretchLeftResponse,
double dblStretchLeftResponseSlope,
double dblStretchRightResponse,
StretchBestFitResponse sbfr)
Set the Slope at the left Edge of the Stretch
|
boolean |
CalibratableMultiSegmentSequence.setLeftNode(double dblStretchLeftResponse,
double dblStretchLeftResponseSlope,
double dblStretchRightResponse,
StretchBestFitResponse sbfr) |
boolean |
SingleSegmentSequence.setup(double dblStretchLeadingResponse,
double[] adblSegmentRightEdgeResponse,
StretchBestFitResponse sbfr,
BoundarySettings bs,
int iCalibrationDetail)
Set up (i.e., calibrate) the individual Segments in the Stretch to the Response Values corresponding
to each Segment Predictor right Ordinate.
|
boolean |
SingleSegmentLagrangePolynomial.setup(double dblYLeading,
double[] adblResponseValue,
StretchBestFitResponse rbfr,
BoundarySettings bs,
int iCalibrationDetail) |
boolean |
CalibratableMultiSegmentSequence.setup(double dblLeftStretchResponseValue,
double[] adblSegmentRightResponseValue,
StretchBestFitResponse sbfr,
BoundarySettings bs,
int iCalibrationDetail) |
boolean |
MultiSegmentSequence.setup(double dblStretchLeftResponseValue,
SegmentResponseValueConstraint[] aSRVC,
StretchBestFitResponse sbfr,
BoundarySettings bs,
int iCalibrationDetail)
Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge Response and
the Target Constraints.
|
boolean |
CalibratableMultiSegmentSequence.setup(double dblLeftStretchResponseValue,
SegmentResponseValueConstraint[] aSRVC,
StretchBestFitResponse sbfr,
BoundarySettings bs,
int iCalibrationDetail) |
boolean |
MultiSegmentSequence.setup(SegmentResponseValueConstraint srvcLeading,
SegmentResponseValueConstraint[] aSRVC,
StretchBestFitResponse sbfr,
BoundarySettings bs,
int iCalibrationDetail)
Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge and the Target
Constraints.
|
boolean |
CalibratableMultiSegmentSequence.setup(SegmentResponseValueConstraint srvcLeading,
SegmentResponseValueConstraint[] aSRVC,
StretchBestFitResponse sbfr,
BoundarySettings bs,
int iCalibrationDetail) |
boolean |
MultiSegmentSequence.setupHermite(SegmentPredictorResponseDerivative[] aSPRDLeft,
SegmentPredictorResponseDerivative[] aSPRDRight,
SegmentResponseValueConstraint[][] aaSRVC,
StretchBestFitResponse sbfr,
int iSetupMode)
Set up (i.e., calibrate) the individual Segment in the Stretch to the Target Segment Edge Values and
Constraints.
|
boolean |
CalibratableMultiSegmentSequence.setupHermite(SegmentPredictorResponseDerivative[] aSPRDLeft,
SegmentPredictorResponseDerivative[] aSPRDRight,
SegmentResponseValueConstraint[][] aaSRVC,
StretchBestFitResponse sbfr,
int iSetupMode) |
| Constructor and Description |
|---|
CkSegmentSequenceBuilder(SegmentResponseValueConstraint srvcLeading,
SegmentResponseValueConstraint[] aSRVC,
StretchBestFitResponse rbfr,
BoundarySettings bs)
CkSegmentSequenceBuilder constructor
|
| Modifier and Type | Method and Description |
|---|---|
StretchBestFitResponse |
SmoothingCurveStretchParams.bestFitWeightedResponse()
Retrieve the Best Fit Weighted Response
|
StretchBestFitResponse |
SmoothingCurveStretchParams.bestFitWeightedResponseSensitivity()
Retrieve the Best Fit Weighted Response Sensitivity
|
| Constructor and Description |
|---|
GlobalControlCurveParams(java.lang.String strSmootheningQuantificationMetric,
SegmentCustomBuilderControl prbp,
BoundarySettings bs,
int iCalibrationDetail,
StretchBestFitResponse sbfr,
StretchBestFitResponse sbfrSensitivity)
GlobalControlCurveParams constructor
|
LocalControlCurveParams(java.lang.String strC1GeneratorScheme,
java.lang.String strSmootheningQuantificationMetric,
SegmentCustomBuilderControl scbc,
int iCalibrationDetail,
StretchBestFitResponse sbfr,
StretchBestFitResponse sbfrSensitivity,
boolean bEliminateSpuriousExtrema,
boolean bApplyMonotoneFilter)
LocalControlCurveParams constructor
|
SmoothingCurveStretchParams(java.lang.String strSmootheningQuantificationMetric,
SegmentCustomBuilderControl scbcDefault,
int iCalibrationDetail,
StretchBestFitResponse sbfr,
StretchBestFitResponse sbfrSensitivity)
SmoothingCurveStretchParams constructor
|
| Constructor and Description |
|---|
LatentStateSequenceBuilder(double dblEpochResponse,
LatentStateStretchSpec stretchSpec,
ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
Span span,
StretchBestFitResponse sbfr,
CaseInsensitiveHashMap<PreceedingManifestSensitivityControl> mapPMSC,
StretchBestFitResponse sbfrQuoteSensitivity,
BoundarySettings bs)
LatentStateSequenceBuilder constructor
|
LinearLatentStateCalibrator(SegmentCustomBuilderControl scbc,
BoundarySettings bs,
int iCalibrationDetail,
StretchBestFitResponse sbfr,
StretchBestFitResponse sbfrSensitivity)
LinearLatentStateCalibrator constructor
|