org.drip.state.estimator

Class PredictorResponseWeightConstraint

java.lang.Object

org.drip.state.estimator.PredictorResponseWeightConstraint

public class PredictorResponseWeightConstraint
extends java.lang.Object

PredictorResponseWeightConstraint 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 PredictorResponseWeightConstraint

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
PredictorResponseWeightConstraint() Empty PredictorResponseWeightConstraint constructor

Method Summary

Modifier and Type	Method and Description
boolean	absorb(PredictorResponseWeightConstraint prwcOther) "Absorb" the other PRWC Instance into the Current One
boolean	addDResponseWeightDManifestMeasure(java.lang.String strManifestMeasure, double dblPredictor, double dblDResponseWeightDManifestMeasure) Add a Predictor/Response Weight entry to the Linearized Constraint
boolean	addMergeLabel(LatentStateLabel lslMerge) Add a Merging Latent State Label
boolean	addPredictorResponseWeight(double dblPredictor, double dblResponseWeight) Add a Predictor/Response Weight entry to the Linearized Constraint
void	displayString(java.lang.String strComment) Display the Constraints and the corresponding Weights
java.util.TreeMap<java.lang.Double,java.lang.Double>	getDResponseWeightDManifestMeasure(java.lang.String strManifestMeasure) Retrieve the Predictor To-From Response Weight Sensitivity Map
double	getDValueDManifestMeasure(java.lang.String strManifestMeasure) Retrieve the Constraint Value Sensitivity
java.util.TreeMap<java.lang.Double,java.lang.Double>	getPredictorResponseWeight() Retrieve the Predictor To-From Response Weight Map
double	getValue() Retrieve the Constraint Value
java.util.Set<LatentStateLabel>	mergeLabelSet() Return the Set of Merged Latent State Labels
java.util.Set<java.lang.String>	sensitivityKeys() Return the Set of Available Sensitivities (if any)
boolean	updateDValueDManifestMeasure(java.lang.String strManifestMeasure, double dblDValueDManifestMeasure) Update the Constraint Value Sensitivity
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

PredictorResponseWeightConstraint

public PredictorResponseWeightConstraint()

Empty PredictorResponseWeightConstraint constructor

Method Detail

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

addDResponseWeightDManifestMeasure

public boolean addDResponseWeightDManifestMeasure(java.lang.String strManifestMeasure,
                                                  double dblPredictor,
                                                  double dblDResponseWeightDManifestMeasure)

Add a Predictor/Response Weight entry to the Linearized Constraint

Parameters:

strManifestMeasure - The Manifest Measure

dblPredictor - The Predictor Node

dblDResponseWeightDManifestMeasure - The Response Weight-to-Manifest Measure Sensitivity at the Node

Returns:

TRUE - Successfully added

updateValue

public boolean updateValue(double dblValue)

Update the Constraint Value

Parameters:

dblValue - The Constraint Value Update Increment

Returns:

TRUE - This Update Succeeded

updateDValueDManifestMeasure

public boolean updateDValueDManifestMeasure(java.lang.String strManifestMeasure,
                                            double dblDValueDManifestMeasure)

Update the Constraint Value Sensitivity

Parameters:

strManifestMeasure - The Manifest Measure

dblDValueDManifestMeasure - The Constraint Value Sensitivity Update Increment

Returns:

TRUE - This Sensitivity Update Succeeded

getValue

public double getValue()

Retrieve the Constraint Value

Returns:

The Constraint Value

getDValueDManifestMeasure

public double getDValueDManifestMeasure(java.lang.String strManifestMeasure)
                                 throws java.lang.Exception

Retrieve the Constraint Value Sensitivity

Parameters:

strManifestMeasure - The Manifest Measure

Returns:

The Constraint Value Sensitivity

Throws:

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

addMergeLabel

public boolean addMergeLabel(LatentStateLabel lslMerge)

Add a Merging Latent State Label

Parameters:

lslMerge - The Merging Latent State Label

Returns:

TRUE - The Latent State Label Successfully Added

mergeLabelSet

public java.util.Set<LatentStateLabel> mergeLabelSet()

Return the Set of Merged Latent State Labels

Returns:

The Set of Merged Latent State Labels

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

getDResponseWeightDManifestMeasure

public java.util.TreeMap<java.lang.Double,java.lang.Double> getDResponseWeightDManifestMeasure(java.lang.String strManifestMeasure)

Retrieve the Predictor To-From Response Weight Sensitivity Map

Parameters:

strManifestMeasure - The Manifest Measure

Returns:

The Predictor To-From Response Weight Sensitivity Map

absorb

public boolean absorb(PredictorResponseWeightConstraint prwcOther)

"Absorb" the other PRWC Instance into the Current One

Parameters:

prwcOther - The "Other" PRWC Instance

Returns:

TRUE - At least one entry of the "Other" was absorbed

sensitivityKeys

public java.util.Set<java.lang.String> sensitivityKeys()

Return the Set of Available Sensitivities (if any)

Returns:

The Set of Available Sensitivities

displayString

public void displayString(java.lang.String strComment)

Display the Constraints and the corresponding Weights

Parameters:

strComment - The Prefix Comment