org.drip.spline.stretch

Interface SingleSegmentSequence

All Known Subinterfaces:

MultiSegmentSequence

All Known Implementing Classes:

CalibratableMultiSegmentSequence, CurveStretch, SingleSegmentLagrangePolynomial

public interface SingleSegmentSequence

SingleSegmentSequence is the interface that exposes functionality that spans multiple segments. Its derived instances hold the ordered segment sequence, the segment control parameters, and, if available, the spanning Jacobian. SingleSegmentSequence exports the following group of functionality: - Construct adjoining segment sequences in accordance with the segment control parameters - Calibrate according to a varied set of (i.e., NATURAL/FINANCIAL) boundary conditions - Estimate both the value, the ordered derivatives, and the Jacobian (quote/coefficient) at the given ordinate - Compute the monotonicity details - segment/Stretch level monotonicity, co-monotonicity, local monotonicity. - Predictor Ordinate Details - identify the left/right predictor ordinate edges, and whether the given predictor ordinate is a knot

Author:

Lakshmi Krishnamurthy

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 iNodeIndex, 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
boolean	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.
R1ToR1	toAU() Convert the Segment Sequence into an AbstractUnivariate Instance

Method Detail

setup

boolean 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.

Parameters:

dblStretchLeadingResponse - Stretch Left-most Response

adblSegmentRightEdgeResponse - 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

responseValue

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

Calculate the Response Value at the given Predictor Ordinate

Parameters:

dblPredictorOrdinate - Predictor Ordinate

Returns:

The Response Value

Throws:

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

responseValueDerivative

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

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

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

WengertJacobian jackDResponseDCalibrationInput(double dblPredictorOrdinate,
                                               int iOrder)

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

Parameters:

dblPredictorOrdinate - Predictor Ordinate

iOrder - Order of Derivative desired

Returns:

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

jackDResponseDManifestMeasure

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

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

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

Monotonocity monotoneType(double dblPredictorOrdinate)

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

Parameters:

dblPredictorOrdinate - Predictor Ordinate

Returns:

Segment Monotone Type

isLocallyMonotone

boolean isLocallyMonotone()
                   throws java.lang.Exception

Indicate if all the comprising Segments are Monotone

Returns:

TRUE - Fully locally monotonic

Throws:

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

isCoMonotone

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

Verify whether the Stretch mini-max Behavior matches the Measurement

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

boolean isKnot(double dblPredictorOrdinate)

Is the given Predictor Ordinate a Knot Location

Parameters:

dblPredictorOrdinate - Predictor Ordinate

Returns:

TRUE - Given Predictor Ordinate corresponds to a Knot

resetNode

boolean resetNode(int iPredictorOrdinateNodeIndex,
                  double dblResetResponse)

Reset the Predictor Ordinate Node Index with the given Response

Parameters:

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

dblResetResponse - The Response to reset

Returns:

TRUE - Reset succeeded

resetNode

boolean resetNode(int iNodeIndex,
                  SegmentResponseValueConstraint srvcReset)

Reset the Predictor Ordinate Node Index with the given Segment Constraint

Parameters:

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

srvcReset - The Segment Constraint

Returns:

TRUE - Reset succeeded

getLeftPredictorOrdinateEdge

double getLeftPredictorOrdinateEdge()

Return the Left Predictor Ordinate Edge

Returns:

The Left Predictor Ordinate Edge

getRightPredictorOrdinateEdge

double getRightPredictorOrdinateEdge()

Return the Right Predictor Ordinate Edge

Returns:

The Right Predictor Ordinate Edge

toAU

R1ToR1 toAU()

Convert the Segment Sequence into an AbstractUnivariate Instance

Returns:

The AbstractUnivariate Instance