org.drip.spline.pchip

Class MinimalQuadraticHaganWest

java.lang.Object

org.drip.spline.pchip.MinimalQuadraticHaganWest

public class MinimalQuadraticHaganWest
extends java.lang.Object

This class implements the regime using the Hagan and West (2006) Minimal Quadratic Estimator.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
double[]	calcConservedConstraint()
static MinimalQuadraticHaganWest	Create(double[] adblPredictorOrdinate, double[] adblObservation, double dblWeight) Create an instance of MinimalQuadraticHaganWest
static void	main(java.lang.String[] astrArgs)
double	responseValue(double dblPredictorOrdinate) Calculate the Response Value given the Predictor Ordinate

Methods inherited from class java.lang.Object

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

Method Detail

Create

public static final MinimalQuadraticHaganWest Create(double[] adblPredictorOrdinate,
                                                     double[] adblObservation,
                                                     double dblWeight)

Create an instance of MinimalQuadraticHaganWest

Parameters:

adblPredictorOrdinate - Array of Predictor Ordinates

adblObservation - Array of Observations

dblWeight - Relative Weights applied across the first and the second derivatives

Returns:

Instance of MinimalQuadraticHaganWest

responseValue

public double responseValue(double dblPredictorOrdinate)
                     throws java.lang.Exception

Calculate the Response Value given the Predictor Ordinate

Parameters:

dblPredictorOrdinate - The Predictor Ordinate

Returns:

The Response Value

Throws:

java.lang.Exception - Thrown if the input is invalid

calcConservedConstraint

public double[] calcConservedConstraint()

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception