org.drip.spline.stretch

Class CalibratableMultiSegmentSequence

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.spline.stretch.CalibratableMultiSegmentSequence

All Implemented Interfaces:

MultiSegmentSequence, SingleSegmentSequence

Direct Known Subclasses:

CurveStretch

public class CalibratableMultiSegmentSequence
extends R1ToR1
implements MultiSegmentSequence

CalibratableMultiSegmentSequence implements the MultiSegmentSequence span that spans multiple segments. It holds the ordered segment sequence, segment sequence builder, the segment control parameters, and, if available, the spanning Jacobian. It provides a variety of customization for the segment construction and state r4epresentation control.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields inherited from interface org.drip.spline.stretch.MultiSegmentSequence

CALIBRATE, CALIBRATE_JACOBIAN

Constructor Summary

Constructors

Constructor and Description
CalibratableMultiSegmentSequence(java.lang.String strName, LatentStateResponseModel[] aCS, SegmentCustomBuilderControl[] aSCBC) CalibratableMultiSegmentSequence constructor - Construct a sequence of Basis Spline Segments

Method Summary

Modifier and Type	Method and Description
double	bestFitDPE(StretchBestFitResponse rbfr) Retrieve the Stretch Best Fit DPE
double	calcLeftEdgeDerivative(int iOrder) Calculate the Derivative of the requested order at the Left Edge of the Stretch
double	calcRightEdgeDerivative(int iOrder) Calculate the Derivative of the requested order at the right Edge of the Stretch
SegmentPredictorResponseDerivative	calcSPRD(double dblPredictorOrdinate) Calculate the SPRD at the specified Predictor Ordinate
CalibratableMultiSegmentSequence	clipLeft(java.lang.String strName, double dblPredictorOrdinate) Generate a new Stretch by clipping all the Segments to the Left of the specified Predictor Ordinate.
CalibratableMultiSegmentSequence	clipRight(java.lang.String strName, double dblPredictorOrdinate) Generate a new Stretch by clipping all the Segments to the Right of the specified Predictor Ordinate.
int	containingIndex(double dblPredictorOrdinate, boolean bIncludeLeft, boolean bIncludeRight) Return the Index for the Segment containing specified Predictor Ordinate
double	curvatureDPE() Retrieve the Span Curvature DPE
java.lang.String	displayString() Display the Segments
double	evaluate(double dblLeftSlope) Evaluate for the given variate
double	getLeftPredictorOrdinateEdge() Return the Left Predictor Ordinate Edge
double	getRightPredictorOrdinateEdge() Return the Right Predictor Ordinate Edge
boolean	in(double dblPredictorOrdinate) Check if the Predictor Ordinate is in the Stretch Range
double	integrate(double dblBegin, double dblEnd) Integrate over the given range
boolean	isCoMonotone(double[] adblMeasuredResponse) Verify whether the Stretch mini-max Behavior matches the Measurement
boolean	isKnot(double dblPredictorOrdinate) Is the given Predictor Ordinate a Knot Location
boolean	isLocallyMonotone() Indicate if all the comprising Segments are Monotone
WengertJacobian	jackDResponseDCalibrationInput(double dblPredictorOrdinate, int iOrder) Calculate the Response Derivative to the Calibration Inputs at the specified Ordinate
WengertJacobian	jackDResponseDManifestMeasure(java.lang.String strManifestMeasure, double dblPredictorOrdinate, int iOrder) Calculate the Response Derivative to the Manifest Measure at the specified Ordinate
double	lengthDPE() Retrieve the Span Length DPE
Monotonocity	monotoneType(double dblPredictorOrdinate) Identify the Monotone Type for the Segment underlying the given Predictor Ordinate
MergeSubStretchManager	msm() Retrieve the Merge Stretch Manager if it exists.
java.lang.String	name() Retrieve the Stretch Name
boolean	resetNode(int iPredictorOrdinateIndex, double dblResponseReset) Reset the Predictor Ordinate Node Index with the given Response
boolean	resetNode(int iPredictorOrdinateIndex, SegmentResponseValueConstraint srvcReset) Reset the Predictor Ordinate Node Index with the given Segment Constraint
double	responseValue(double dblPredictorOrdinate) Calculate the Response Value at the given Predictor Ordinate
double	responseValueDerivative(double dblPredictorOrdinate, int iOrder) Calculate the Response Value Derivative at the given Predictor Ordinate for the specified order
SegmentCustomBuilderControl[]	segmentBuilderControl() Retrieve the Segment Builder Parameters
LatentStateResponseModel[]	segments() Retrieve the Stretch Segments
boolean	setLeftNode(double dblStretchLeftResponse, double dblStretchLeftResponseSlope, double dblStretchRightResponse, StretchBestFitResponse sbfr) Set the Slope at the left Edge of the Stretch
boolean	setup(double dblLeftStretchResponseValue, double[] adblSegmentRightResponseValue, 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	setup(double dblLeftStretchResponseValue, 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	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	setup(SegmentSequenceBuilder ssb, int iCalibrationDetail) Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Edge, the Target Constraints, and the custom segment sequence builder.
boolean	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.
R1ToR1	toAU() Convert the Segment Sequence into an AbstractUnivariate Instance

Methods inherited from class org.drip.function.definition.R1ToR1

derivative, differential, differential, maxima, maxima, minima, minima

Methods inherited from class java.lang.Object

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

Constructor Detail

CalibratableMultiSegmentSequence

public CalibratableMultiSegmentSequence(java.lang.String strName,
                                        LatentStateResponseModel[] aCS,
                                        SegmentCustomBuilderControl[] aSCBC)
                                 throws java.lang.Exception

CalibratableMultiSegmentSequence constructor - Construct a sequence of Basis Spline Segments

Parameters:

strName - Name of the Stretch

aCS - Array of Segments

aSCBC - Array of Segment Builder Parameters

Throws:

java.lang.Exception - Thrown if the inputs are invalid

Method Detail

name

public java.lang.String name()

Description copied from interface: MultiSegmentSequence

Retrieve the Stretch Name

Specified by:

name in interface MultiSegmentSequence

Returns:

The Stretch Name

segments

public LatentStateResponseModel[] segments()

Description copied from interface: MultiSegmentSequence

Retrieve the Stretch Segments

Specified by:

segments in interface MultiSegmentSequence

Returns:

The Stretch Segments

segmentBuilderControl

public SegmentCustomBuilderControl[] segmentBuilderControl()

Description copied from interface: MultiSegmentSequence

Retrieve the Segment Builder Parameters

Specified by:

segmentBuilderControl in interface MultiSegmentSequence

Returns:

The Segment Builder Parameters

setup

public boolean setup(SegmentSequenceBuilder ssb,
                     int iCalibrationDetail)

Description copied from interface: MultiSegmentSequence

Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Edge, the Target Constraints, and the custom segment sequence builder.

Specified by:

setup in interface MultiSegmentSequence

Parameters:

ssb - The Segment Sequence Builder Instance

iCalibrationDetail - The Calibration Detail

Returns:

TRUE - Set up was successful

setup

public boolean setup(SegmentResponseValueConstraint srvcLeading,
                     SegmentResponseValueConstraint[] aSRVC,
                     StretchBestFitResponse sbfr,
                     BoundarySettings bs,
                     int iCalibrationDetail)

Description copied from interface: MultiSegmentSequence

Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge and the Target Constraints.

Specified by:

setup in interface MultiSegmentSequence

Parameters:

srvcLeading - Stretch Left-most Segment Response Value Constraint

aSRVC - Array of Segment Response Value Constraints

sbfr - Stretch Fitness Weighted Response

bs - The Calibration Boundary Condition

iCalibrationDetail - The Calibration Detail

Returns:

TRUE - Set up was successful

setup

public boolean setup(double dblLeftStretchResponseValue,
                     SegmentResponseValueConstraint[] aSRVC,
                     StretchBestFitResponse sbfr,
                     BoundarySettings bs,
                     int iCalibrationDetail)

Description copied from interface: MultiSegmentSequence

Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge Response and the Target Constraints.

Specified by:

setup in interface MultiSegmentSequence

Parameters:

dblLeftStretchResponseValue - Stretch Left-most Response Value

aSRVC - Array of Segment Response Value Constraints

sbfr - Stretch Best Fit Weighted Response Values

bs - The Calibration Boundary Condition

iCalibrationDetail - The Calibration Detail

Returns:

TRUE - Set up was successful

setup

public boolean setup(double dblLeftStretchResponseValue,
                     double[] adblSegmentRightResponseValue,
                     StretchBestFitResponse sbfr,
                     BoundarySettings bs,
                     int iCalibrationDetail)

Description copied from interface: SingleSegmentSequence

Set up (i.e., calibrate) the individual Segments in the Stretch to the Response Values corresponding to each Segment Predictor right Ordinate.

Specified by:

setup in interface SingleSegmentSequence

Parameters:

dblLeftStretchResponseValue - Stretch Left-most Response

adblSegmentRightResponseValue - Array of Segment Right Edge Responses

sbfr - Stretch Fitness Weighted Response

bs - The Calibration Boundary Condition

iCalibrationDetail - The Calibration Detail

Returns:

TRUE - Set up was successful

setupHermite

public boolean setupHermite(SegmentPredictorResponseDerivative[] aSPRDLeft,
                            SegmentPredictorResponseDerivative[] aSPRDRight,
                            SegmentResponseValueConstraint[][] aaSRVC,
                            StretchBestFitResponse sbfr,
                            int iSetupMode)

Description copied from interface: MultiSegmentSequence

Set up (i.e., calibrate) the individual Segment in the Stretch to the Target Segment Edge Values and Constraints. This is also called the Hermite setup - where the segment boundaries are entirely locally set.

Specified by:

setupHermite in interface MultiSegmentSequence

Parameters:

aSPRDLeft - Array of Left Segment Edge Values

aSPRDRight - Array of Right Segment Edge Values

aaSRVC - Double Array of Constraints - Outer Index corresponds to Segment Index, and the Inner Index to Constraint Array within each Segment

sbfr - Stretch Fitness Weighted Response

iSetupMode - Set up Mode (i.e., set up ITEP only, or fully calibrate the Stretch, or calibrate Stretch plus compute Jacobian)

Returns:

TRUE - Set up was successful

evaluate

public double evaluate(double dblLeftSlope)
                throws java.lang.Exception

Description copied from class: R1ToR1

Evaluate for the given variate

Specified by:

evaluate in class R1ToR1

Parameters:

dblLeftSlope - Variate

Returns:

Returns the calculated value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

integrate

public double integrate(double dblBegin,
                        double dblEnd)
                 throws java.lang.Exception

Description copied from class: R1ToR1

Integrate over the given range

Overrides:

integrate in class R1ToR1

Parameters:

dblBegin - Range Begin

dblEnd - Range End

Returns:

The Integrated Value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

setLeftNode

public boolean setLeftNode(double dblStretchLeftResponse,
                           double dblStretchLeftResponseSlope,
                           double dblStretchRightResponse,
                           StretchBestFitResponse sbfr)

Description copied from interface: MultiSegmentSequence

Set the Slope at the left Edge of the Stretch

Specified by:

setLeftNode in interface MultiSegmentSequence

Parameters:

dblStretchLeftResponse - Response Value at the Left Edge of the Stretch

dblStretchLeftResponseSlope - Response Slope Value at the Left Edge of the Stretch

dblStretchRightResponse - Response Value at the Right Edge of the Stretch

sbfr - Stretch Fitness Weighted Response

Returns:

TRUE - Left slope successfully set

responseValue

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

Description copied from interface: SingleSegmentSequence

Calculate the Response Value at the given Predictor Ordinate

Specified by:

responseValue in interface SingleSegmentSequence

Parameters:

dblPredictorOrdinate - Predictor Ordinate

Returns:

The Response Value

Throws:

java.lang.Exception - Thrown if the Response Value cannot be calculated

responseValueDerivative

public double responseValueDerivative(double dblPredictorOrdinate,
                                      int iOrder)
                               throws java.lang.Exception

Description copied from interface: SingleSegmentSequence

Calculate the Response Value Derivative at the given Predictor Ordinate for the specified order

Specified by:

responseValueDerivative in interface SingleSegmentSequence

Parameters:

dblPredictorOrdinate - Predictor Ordinate

iOrder - Order the Derivative

Returns:

The Response Value

Throws:

java.lang.Exception - Thrown if the Response Value Derivative cannot be calculated

calcSPRD

public SegmentPredictorResponseDerivative calcSPRD(double dblPredictorOrdinate)

Description copied from interface: MultiSegmentSequence

Calculate the SPRD at the specified Predictor Ordinate

Specified by:

calcSPRD in interface MultiSegmentSequence

Parameters:

dblPredictorOrdinate - The Predictor Ordinate

Returns:

The Computed SPRD

jackDResponseDCalibrationInput

public WengertJacobian jackDResponseDCalibrationInput(double dblPredictorOrdinate,
                                                      int iOrder)

Description copied from interface: SingleSegmentSequence

Calculate the Response Derivative to the Calibration Inputs at the specified Ordinate

Specified by:

jackDResponseDCalibrationInput in interface SingleSegmentSequence

Parameters:

dblPredictorOrdinate - Predictor Ordinate

iOrder - Order of Derivative desired

Returns:

Jacobian of the Response Derivative to the Calibration Inputs at the Ordinate

jackDResponseDManifestMeasure

public WengertJacobian jackDResponseDManifestMeasure(java.lang.String strManifestMeasure,
                                                     double dblPredictorOrdinate,
                                                     int iOrder)

Description copied from interface: SingleSegmentSequence

Calculate the Response Derivative to the Manifest Measure at the specified Ordinate

Specified by:

jackDResponseDManifestMeasure in interface SingleSegmentSequence

Parameters:

strManifestMeasure - Manifest Measure whose Sensitivity is sought

dblPredictorOrdinate - Predictor Ordinate

iOrder - Order of Derivative desired

Returns:

Jacobian of the Response Derivative to the Quote at the Ordinate

monotoneType

public Monotonocity monotoneType(double dblPredictorOrdinate)

Description copied from interface: SingleSegmentSequence

Identify the Monotone Type for the Segment underlying the given Predictor Ordinate

Specified by:

monotoneType in interface SingleSegmentSequence

Parameters:

dblPredictorOrdinate - Predictor Ordinate

Returns:

Segment Monotone Type

isLocallyMonotone

public boolean isLocallyMonotone()
                          throws java.lang.Exception

Description copied from interface: SingleSegmentSequence

Indicate if all the comprising Segments are Monotone

Specified by:

isLocallyMonotone in interface SingleSegmentSequence

Returns:

TRUE - Fully locally monotonic

Throws:

java.lang.Exception - Thrown if the Segment Monotone Type could not be estimated

isCoMonotone

public boolean isCoMonotone(double[] adblMeasuredResponse)
                     throws java.lang.Exception

Description copied from interface: SingleSegmentSequence

Verify whether the Stretch mini-max Behavior matches the Measurement

Specified by:

isCoMonotone in interface SingleSegmentSequence

Parameters:

adblMeasuredResponse - The Array of Measured Responses

Returns:

TRUE - Stretch is co-monotonic with the measured Responses

Throws:

java.lang.Exception - Thrown if the Segment Monotone Type could not be estimated

isKnot

public boolean isKnot(double dblPredictorOrdinate)

Description copied from interface: SingleSegmentSequence

Is the given Predictor Ordinate a Knot Location

Specified by:

isKnot in interface SingleSegmentSequence

Parameters:

dblPredictorOrdinate - Predictor Ordinate

Returns:

TRUE - Given Predictor Ordinate corresponds to a Knot

calcLeftEdgeDerivative

public double calcLeftEdgeDerivative(int iOrder)
                              throws java.lang.Exception

Description copied from interface: MultiSegmentSequence

Calculate the Derivative of the requested order at the Left Edge of the Stretch

Specified by:

calcLeftEdgeDerivative in interface MultiSegmentSequence

Parameters:

iOrder - Order of the Derivative

Returns:

The Derivative of the requested order at the Left Edge of the Stretch

Throws:

java.lang.Exception - Thrown if the Derivative cannot be calculated

calcRightEdgeDerivative

public double calcRightEdgeDerivative(int iOrder)
                               throws java.lang.Exception

Description copied from interface: MultiSegmentSequence

Calculate the Derivative of the requested order at the right Edge of the Stretch

Specified by:

calcRightEdgeDerivative in interface MultiSegmentSequence

Parameters:

iOrder - Order of the Derivative

Returns:

The Derivative of the requested order at the right Edge of the Stretch

Throws:

java.lang.Exception - Thrown if the Derivative cannot be calculated

resetNode

public boolean resetNode(int iPredictorOrdinateIndex,
                         double dblResponseReset)

Description copied from interface: SingleSegmentSequence

Reset the Predictor Ordinate Node Index with the given Response

Specified by:

resetNode in interface SingleSegmentSequence

Parameters:

iPredictorOrdinateIndex - The Predictor Ordinate Node Index whose Response is to be reset

dblResponseReset - The Response to reset

Returns:

TRUE - Reset succeeded

resetNode

public boolean resetNode(int iPredictorOrdinateIndex,
                         SegmentResponseValueConstraint srvcReset)

Description copied from interface: SingleSegmentSequence

Reset the Predictor Ordinate Node Index with the given Segment Constraint

Specified by:

resetNode in interface SingleSegmentSequence

Parameters:

iPredictorOrdinateIndex - The Predictor Ordinate Node Index whose Response is to be reset

srvcReset - The Segment Constraint

Returns:

TRUE - Reset succeeded

toAU

public R1ToR1 toAU()

Description copied from interface: SingleSegmentSequence

Convert the Segment Sequence into an AbstractUnivariate Instance

Specified by:

toAU in interface SingleSegmentSequence

Returns:

The AbstractUnivariate Instance

in

public boolean in(double dblPredictorOrdinate)
           throws java.lang.Exception

Description copied from interface: MultiSegmentSequence

Check if the Predictor Ordinate is in the Stretch Range

Specified by:

in in interface MultiSegmentSequence

Parameters:

dblPredictorOrdinate - Predictor Ordinate

Returns:

TRUE - Predictor Ordinate is in the Range

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

getLeftPredictorOrdinateEdge

public double getLeftPredictorOrdinateEdge()

Description copied from interface: SingleSegmentSequence

Return the Left Predictor Ordinate Edge

Specified by:

getLeftPredictorOrdinateEdge in interface SingleSegmentSequence

Returns:

The Left Predictor Ordinate Edge

getRightPredictorOrdinateEdge

public double getRightPredictorOrdinateEdge()

Description copied from interface: SingleSegmentSequence

Return the Right Predictor Ordinate Edge

Specified by:

getRightPredictorOrdinateEdge in interface SingleSegmentSequence

Returns:

The Right Predictor Ordinate Edge

containingIndex

public int containingIndex(double dblPredictorOrdinate,
                           boolean bIncludeLeft,
                           boolean bIncludeRight)
                    throws java.lang.Exception

Description copied from interface: MultiSegmentSequence

Return the Index for the Segment containing specified Predictor Ordinate

Specified by:

containingIndex in interface MultiSegmentSequence

Parameters:

dblPredictorOrdinate - Predictor Ordinate

bIncludeLeft - TRUE - Less than or equal to the Left Predictor Ordinate

bIncludeRight - TRUE - Less than or equal to the Right Predictor Ordinate

Returns:

Index for the Segment containing specified Predictor Ordinate

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

clipLeft

public CalibratableMultiSegmentSequence clipLeft(java.lang.String strName,
                                                 double dblPredictorOrdinate)

Description copied from interface: MultiSegmentSequence

Generate a new Stretch by clipping all the Segments to the Left of the specified Predictor Ordinate. Smoothness Constraints will be maintained.

Specified by:

clipLeft in interface MultiSegmentSequence

Parameters:

strName - Name of the Clipped Stretch

dblPredictorOrdinate - Predictor Ordinate Left of which the Clipping is to be applied

Returns:

The Clipped Stretch

clipRight

public CalibratableMultiSegmentSequence clipRight(java.lang.String strName,
                                                  double dblPredictorOrdinate)

Description copied from interface: MultiSegmentSequence

Generate a new Stretch by clipping all the Segments to the Right of the specified Predictor Ordinate. Smoothness Constraints will be maintained.

Specified by:

clipRight in interface MultiSegmentSequence

Parameters:

strName - Name of the Clipped Stretch

dblPredictorOrdinate - Predictor Ordinate Right of which the Clipping is to be applied

Returns:

The Clipped Stretch

curvatureDPE

public double curvatureDPE()
                    throws java.lang.Exception

Description copied from interface: MultiSegmentSequence

Retrieve the Span Curvature DPE

Specified by:

curvatureDPE in interface MultiSegmentSequence

Returns:

The Span Curvature DPE

Throws:

java.lang.Exception - Thrown if the Span Curvature DPE cannot be computed

lengthDPE

public double lengthDPE()
                 throws java.lang.Exception

Description copied from interface: MultiSegmentSequence

Retrieve the Span Length DPE

Specified by:

lengthDPE in interface MultiSegmentSequence

Returns:

The Span Length DPE

Throws:

java.lang.Exception - Thrown if the Span Length DPE cannot be computed

bestFitDPE

public double bestFitDPE(StretchBestFitResponse rbfr)
                  throws java.lang.Exception

Description copied from interface: MultiSegmentSequence

Retrieve the Stretch Best Fit DPE

Specified by:

bestFitDPE in interface MultiSegmentSequence

Parameters:

rbfr - Stretch Best Fit Weighted Response Values

Returns:

The Stretch Best Fit DPE

Throws:

java.lang.Exception - Thrown if the Stretch Best Fit DPE cannot be computed

msm

public MergeSubStretchManager msm()

Description copied from interface: MultiSegmentSequence

Retrieve the Merge Stretch Manager if it exists.

Specified by:

msm in interface MultiSegmentSequence

Returns:

The Merge Stretch Manager

displayString

public java.lang.String displayString()

Description copied from interface: MultiSegmentSequence

Display the Segments

Specified by:

displayString in interface MultiSegmentSequence

Returns:

The Segements String