org.drip.state.estimator

Class PredictorResponseRelationSetup

java.lang.Object

org.drip.state.estimator.PredictorResponseRelationSetup

public class PredictorResponseRelationSetup
extends java.lang.Object

PredictorResponseRelationSetup holds the Linearized Constraints (and, optionally, their quote sensitivities) necessary needed for the Linear Calibration. Linearized Constraints are expressed as Sum_i[Predictor Weight_i * Function (Response_i)] = Constraint Value where Function can either be univariate function, or weighted spline basis set. To this end, it implements the following functionality: - Update/Retrieve Predictor/Response Weights and their Quote Sensitivities - Update/Retrieve Predictor/Response Constraint Values and their Quote Sensitivities - Display the contents of PredictorResponseRelationSetup

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
PredictorResponseRelationSetup() Empty PredictorResponseRelationSetup constructor

Method Summary

Modifier and Type	Method and Description
boolean	absorb(PredictorResponseRelationSetup prrsOther) Absorb the "Other" PRRS onto the current one
boolean	addPredictorResponseWeight(double dblPredictor, double dblResponseWeight) Add a Predictor/Response Weight entry to the Linearized Constraint
java.util.TreeMap<java.lang.Double,java.lang.Double>	getPredictorResponseWeight() Retrieve the Predictor To-From Response Weight Map
double	getValue() Retrieve the Constraint Value
boolean	updateValue(double dblValue) Update the Constraint Value

Methods inherited from class java.lang.Object

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

Constructor Detail

PredictorResponseRelationSetup

public PredictorResponseRelationSetup()

Empty PredictorResponseRelationSetup constructor

Method Detail

updateValue

public boolean updateValue(double dblValue)

Update the Constraint Value

Parameters:

dblValue - The Constraint Value Update Increment

Returns:

TRUE - This Update Succeeded

addPredictorResponseWeight

public boolean addPredictorResponseWeight(double dblPredictor,
                                          double dblResponseWeight)

Add a Predictor/Response Weight entry to the Linearized Constraint

Parameters:

dblPredictor - The Predictor Node

dblResponseWeight - The Response Weight at the Node

Returns:

TRUE - Successfully added

getValue

public double getValue()

Retrieve the Constraint Value

Returns:

The Constraint Value

getPredictorResponseWeight

public java.util.TreeMap<java.lang.Double,java.lang.Double> getPredictorResponseWeight()

Retrieve the Predictor To-From Response Weight Map

Returns:

The Predictor To-From Response Weight Map

absorb

public boolean absorb(PredictorResponseRelationSetup prrsOther)

Absorb the "Other" PRRS onto the current one

Parameters:

prrsOther - The "Other" PRRS

Returns:

TRUE - At least one Entry was absorbed