org.drip.spline.stretch

Class SingleSegmentLagrangePolynomial

java.lang.Object

org.drip.spline.stretch.SingleSegmentLagrangePolynomial

All Implemented Interfaces:

SingleSegmentSequence

public class SingleSegmentLagrangePolynomial
extends java.lang.Object
implements SingleSegmentSequence

SingleSegmentLagrangePolynomial implements the SingleSegmentSequence Stretch interface using the Lagrange Polynomial Estimator. As such it provides a perfect fit that travels through all the predictor/response pairs causing Runge's instability.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
SingleSegmentLagrangePolynomial(double[] adblPredictorOrdinate) SingleSegmentLagrangePolynomial constructor

Method Summary

Modifier and Type	Method and Description
double	getLeftPredictorOrdinateEdge() Return the Left Predictor Ordinate Edge
double	getRightPredictorOrdinateEdge() Return the Right Predictor Ordinate Edge
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
Monotonocity	monotoneType(double dblPredictorOrdinate) Identify the Monotone Type for the Segment underlying the given Predictor Ordinate
boolean	resetNode(int iPredictorOrdinateNodeIndex, double dblResetResponse) Reset the Predictor Ordinate Node Index with the given Response
boolean	resetNode(int iPredictorOrdinateNodeIndex, SegmentResponseValueConstraint sprcReset) 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
boolean	setup(double dblYLeading, double[] adblResponseValue, StretchBestFitResponse rbfr, 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.
R1ToR1	toAU() Convert the Segment Sequence into an AbstractUnivariate Instance

Methods inherited from class java.lang.Object

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

Constructor Detail

SingleSegmentLagrangePolynomial

public SingleSegmentLagrangePolynomial(double[] adblPredictorOrdinate)
                                throws java.lang.Exception

SingleSegmentLagrangePolynomial constructor

Parameters:

adblPredictorOrdinate - Array of Predictor Ordinates

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Detail

setup

public boolean setup(double dblYLeading,
                     double[] adblResponseValue,
                     StretchBestFitResponse rbfr,
                     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:

dblYLeading - Stretch Left-most Response

adblResponseValue - Array of Segment Right Edge Responses

rbfr - Stretch Fitness Weighted Response

bs - The Calibration Boundary Condition

iCalibrationDetail - The Calibration Detail

Returns:

TRUE - Set up was successful

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

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

resetNode

public boolean resetNode(int iPredictorOrdinateNodeIndex,
                         double dblResetResponse)

Description copied from interface: SingleSegmentSequence

Reset the Predictor Ordinate Node Index with the given Response

Specified by:

resetNode in interface SingleSegmentSequence

Parameters:

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

dblResetResponse - The Response to reset

Returns:

TRUE - Reset succeeded

resetNode

public boolean resetNode(int iPredictorOrdinateNodeIndex,
                         SegmentResponseValueConstraint sprcReset)

Description copied from interface: SingleSegmentSequence

Reset the Predictor Ordinate Node Index with the given Segment Constraint

Specified by:

resetNode in interface SingleSegmentSequence

Parameters:

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

sprcReset - 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

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