org.drip.state.inference

Class LatentStateSequenceBuilder

java.lang.Object

org.drip.state.inference.LatentStateSequenceBuilder

All Implemented Interfaces:

SegmentSequenceBuilder

public class LatentStateSequenceBuilder
extends java.lang.Object
implements SegmentSequenceBuilder

LatentStateSequenceBuilder holds the logic behind building the bootstrap segments contained in the given Stretch. It extends SegmentSequenceBuilder by implementing/customizing the calibration of the starting as well as the subsequent segments.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description

LatentStateSequenceBuilder(double dblEpochResponse, LatentStateStretchSpec stretchSpec, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, Span span, StretchBestFitResponse sbfr, CaseInsensitiveHashMap<PreceedingManifestSensitivityControl> mapPMSC, StretchBestFitResponse sbfrQuoteSensitivity, BoundarySettings bs) LatentStateSequenceBuilder constructor

Method Summary

Modifier and Type	Method and Description
boolean	calibSegmentSequence(int iStartingSegment) Calibrate the Segment Sequence in the Stretch
boolean	calibStartingSegment(double dblLeftSlope) Calibrate the Starting Segment using the LeftSlope
BoundarySettings	getCalibrationBoundaryCondition() Retrieve the Calibration Boundary Condition
boolean	manifestMeasureSensitivity(double dblLeftSlopeSensitivity) Compute the Stretch Manifest Measure Sensitivity Sequence
boolean	setStretch(MultiSegmentSequence mss) Set the Stretch whose Segments are to be calibrated

Methods inherited from class java.lang.Object

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

Constructor Detail

LatentStateSequenceBuilder

public LatentStateSequenceBuilder(double dblEpochResponse,
                                  LatentStateStretchSpec stretchSpec,
                                  ValuationParams valParams,
                                  CreditPricerParams pricerParams,
                                  CurveSurfaceQuoteContainer csqs,
                                  ValuationCustomizationParams vcp,
                                  Span span,
                                  StretchBestFitResponse sbfr,
                                  CaseInsensitiveHashMap<PreceedingManifestSensitivityControl> mapPMSC,
                                  StretchBestFitResponse sbfrQuoteSensitivity,
                                  BoundarySettings bs)
                           throws java.lang.Exception

LatentStateSequenceBuilder constructor

Parameters:

dblEpochResponse - Segment Sequence Left-most Response Value

stretchSpec - The Latent State Stretch Specification

valParams - Valuation Parameter

pricerParams - Pricer Parameter

csqs - The Market Parameter Set

vcp - Valuation Customization Parameters

span - The Containing Span this Stretch will become a part of

sbfr - Stretch Fitness Weighted Response

mapPMSC - Map of Preceeding Manifest Sensitivity Control Parameters

sbfrQuoteSensitivity - Stretch Fitness Weighted Response Quote Sensitivity

bs - The Calibration Boundary Condition

Throws:

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

Method Detail

setStretch

public boolean setStretch(MultiSegmentSequence mss)

Description copied from interface: SegmentSequenceBuilder

Set the Stretch whose Segments are to be calibrated

Specified by:

setStretch in interface SegmentSequenceBuilder

Parameters:

mss - The Stretch that needs to be calibrated

Returns:

TRUE - Stretch successfully set

getCalibrationBoundaryCondition

public BoundarySettings getCalibrationBoundaryCondition()

Description copied from interface: SegmentSequenceBuilder

Retrieve the Calibration Boundary Condition

Specified by:

getCalibrationBoundaryCondition in interface SegmentSequenceBuilder

Returns:

The Calibration Boundary Condition

calibStartingSegment

public boolean calibStartingSegment(double dblLeftSlope)

Description copied from interface: SegmentSequenceBuilder

Calibrate the Starting Segment using the LeftSlope

Specified by:

calibStartingSegment in interface SegmentSequenceBuilder

Parameters:

dblLeftSlope - The Slope

Returns:

TRUE - The Segment was successfully set up.

calibSegmentSequence

public boolean calibSegmentSequence(int iStartingSegment)

Description copied from interface: SegmentSequenceBuilder

Calibrate the Segment Sequence in the Stretch

Specified by:

calibSegmentSequence in interface SegmentSequenceBuilder

Parameters:

iStartingSegment - The Starting Segment in the Sequence

Returns:

TRUE - The Segment Sequence successfully calibrated

manifestMeasureSensitivity

public boolean manifestMeasureSensitivity(double dblLeftSlopeSensitivity)

Description copied from interface: SegmentSequenceBuilder

Compute the Stretch Manifest Measure Sensitivity Sequence

Specified by:

manifestMeasureSensitivity in interface SegmentSequenceBuilder

Parameters:

dblLeftSlopeSensitivity - The Leading Segment Left Slope Sensitivity

Returns:

TRUE - The Stretch Manifest Measure Sensitivity Sequence successfully computed