org.drip.spline.pchip

Class LocalControlStretchBuilder

java.lang.Object

org.drip.spline.pchip.LocalControlStretchBuilder

public class LocalControlStretchBuilder
extends java.lang.Object

LocalControlStretchBuilder exports Stretch creation/calibration methods to generate customized basis splines, with customized segment behavior using the segment control. It provides the following local-control functionality: - Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response Values, the Custom Slopes, and the Segment Builder Parameters. - Create Hermite/Bessel C1 Cubic Spline Stretch. - Create Hyman (1983) Monotone Preserving Stretch. - Create Hyman (1989) enhancement to the Hyman (1983) Monotone Preserving Stretch. - Create the Harmonic Monotone Preserving Stretch. - Create the Van Leer Limiter Stretch. - Create the Huynh Le Floch Limiter Stretch. - Generate the local control C1 Slope using the Akima Cubic Algorithm. - Generate the local control C1 Slope using the Hagan-West Monotone Convex Algorithm.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
LocalControlStretchBuilder()

Method Summary

Modifier and Type	Method and Description
static MultiSegmentSequence	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	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	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	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	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	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	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	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	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	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	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.

Methods inherited from class java.lang.Object

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

Constructor Detail

LocalControlStretchBuilder

public LocalControlStretchBuilder()

Method Detail

CustomSlopeHermiteSpline

public static final MultiSegmentSequence 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.

Parameters:

strName - Stretch Name

adblPredictorOrdinate - Array of Predictor Ordinates

adblResponseValue - Array of Response Values

adblCustomSlope - Array of Custom Slopes

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Calibration Set up Mode NATURAL | FINANCIAL | FLOATING | NOTAKNOT

Returns:

The Instance of the Hermite Spline Stretch

CustomSlopeHermiteSpline

public static final MultiSegmentSequence 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.

Parameters:

strName - Stretch Name

aiPredictorOrdinate - Array of Predictor Ordinates

adblResponseValue - Array of Response Values

adblCustomSlope - Array of Custom Slopes

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Calibration Set up Mode NATURAL | FINANCIAL | FLOATING | NOTAKNOT

Returns:

The Instance of the Hermite Spline Stretch

CreateBesselCubicSplineStretch

public static final MultiSegmentSequence 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

Parameters:

strName - Stretch Name

adblPredictorOrdinate - Array of Predictor Ordinates

adblResponseValue - Array of Response Values

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Segment Setup Mode

bEliminateSpuriousExtrema - TRUE - Eliminate Spurious Extrema

bApplyMonotoneFilter - TRUE - Apply Monotone Filter

Returns:

Hermite/Bessel C1 Cubic Spline Stretch

CreateHyman83MonotoneStretch

public static final MultiSegmentSequence 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. The reference is: Hyman (1983) Accurate Monotonicity Preserving Cubic Interpolation - SIAM J on Numerical Analysis 4 (4), 645-654.

Parameters:

strName - Stretch Name

adblPredictorOrdinate - Array of Predictor Ordinates

adblResponseValue - Array of Response Values

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Segment Setup Mode

bEliminateSpuriousExtrema - TRUE - Eliminate Spurious Extrema

bApplyMonotoneFilter - TRUE - Apply Monotone Filter

Returns:

Hyman (1983) Monotone Preserving Stretch

CreateHyman89MonotoneStretch

public static final MultiSegmentSequence 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. The reference is: Doherty, Edelman, and Hyman (1989) Non-negative, monotonic, or convexity preserving cubic and quintic Hermite interpolation - Mathematics of Computation 52 (186), 471-494.

Parameters:

strName - Stretch Name

adblPredictorOrdinate - Array of Predictor Ordinates

adblResponseValue - Array of Response Values

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Segment Setup Mode

bEliminateSpuriousExtrema - TRUE - Eliminate Spurious Extrema

bApplyMonotoneFilter - TRUE - Apply Monotone Filter

Returns:

Hyman (1989) Monotone Preserving Stretch

CreateHarmonicMonotoneStretch

public static final MultiSegmentSequence 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. The reference is: Fritcsh and Butland (1984) A Method for constructing local monotonic piece-wise cubic interpolants - SIAM J on Scientific and Statistical Computing 5, 300-304.

Parameters:

strName - Stretch Name

adblPredictorOrdinate - Array of Predictor Ordinates

adblResponseValue - Array of Response Values

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Segment Setup Mode

bEliminateSpuriousExtrema - TRUE - Eliminate Spurious Extrema

bApplyMonotoneFilter - TRUE - Apply Monotone Filter

Returns:

Harmonic Monotone Preserving Stretch

CreateVanLeerLimiterStretch

public static final MultiSegmentSequence 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. The reference is: Van Leer (1974) Towards the Ultimate Conservative Difference Scheme. II - Monotonicity and Conservation combined in a Second-Order Scheme, Journal of Computational Physics 14 (4), 361-370.

Parameters:

strName - Stretch Name

adblPredictorOrdinate - Array of Predictor Ordinates

adblResponseValue - Array of Response Values

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Segment Setup Mode

bEliminateSpuriousExtrema - TRUE - Eliminate Spurious Extrema

bApplyMonotoneFilter - TRUE - Apply Monotone Filter

Returns:

The Van Leer Limiter Stretch

CreateKrugerStretch

public static final MultiSegmentSequence CreateKrugerStretch(java.lang.String strName,
                                                             double[] adblPredictorOrdinate,
                                                             double[] adblResponseValue,
                                                             SegmentCustomBuilderControl[] aSCBC,
                                                             StretchBestFitResponse sbfr,
                                                             int iSetupMode,
                                                             boolean bEliminateSpuriousExtrema,
                                                             boolean bApplyMonotoneFilter)

Create the Kruger Stretch. The reference is: Kruger (2002) Constrained Cubic Spline Interpolations for Chemical Engineering Application, http://www.korf.co.uk/spline.pdf

Parameters:

strName - Stretch Name

adblPredictorOrdinate - Array of Predictor Ordinates

adblResponseValue - Array of Response Values

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Segment Setup Mode

bEliminateSpuriousExtrema - TRUE - Eliminate Spurious Extrema

bApplyMonotoneFilter - TRUE - Apply Monotone Filter

Returns:

The Kruger Stretch

CreateHuynhLeFlochLimiterStretch

public static final MultiSegmentSequence 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. The reference is: Huynh (1993) Accurate Monotone Cubic Interpolation, SIAM J on Numerical Analysis 30 (1), 57-100.

Parameters:

strName - Stretch Name

adblPredictorOrdinate - Array of Predictor Ordinates

adblResponseValue - Array of Response Values

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Segment Setup Mode

bEliminateSpuriousExtrema - TRUE - Eliminate Spurious Extrema

bApplyMonotoneFilter - TRUE - Apply Monotone Filter

Returns:

The Huynh Le Floch Limiter Stretch

CreateAkimaStretch

public static final MultiSegmentSequence 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. The reference is: Akima (1970): A New Method of Interpolation and Smooth Curve Fitting based on Local Procedures, Journal of the Association for the Computing Machinery 17 (4), 589-602.

Parameters:

strName - Stretch Name

adblPredictorOrdinate - Array of Predictor Ordinates

adblResponseValue - Array of Response Values

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Segment Setup Mode

bEliminateSpuriousExtrema - TRUE - Eliminate Spurious Extrema

bApplyMonotoneFilter - TRUE - Apply Monotone Filter

Returns:

The Akima Local Control Stretch Instance

CreateMonotoneConvexStretch

public static final MultiSegmentSequence 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. The references are: Hagan, P., and G. West (2006): Interpolation Methods for Curve Construction, Applied Mathematical Finance 13 (2): 89-129. Hagan, P., and G. West (2008): Methods for Curve a Yield Curve, Wilmott Magazine: 70-81.

Parameters:

strName - Stretch Name

adblPredictorOrdinate - Array of Predictor Ordinates

adblObservation - Array of Observations

aSCBC - Array of Segment Builder Parameters

sbfr - Stretch Fitness Weighted Response

iSetupMode - Segment Setup Mode

bLinearNodeInference - Apply Linear Node Inference from Observations

bEliminateSpuriousExtrema - TRUE - Eliminate Spurious Extrema

bApplyMonotoneFilter - TRUE - Apply Monotone Filter

Returns:

The Monotone-Convex Local Control Stretch Instance