org.drip.state.inference

Class LinearLatentStateCalibrator

java.lang.Object

org.drip.state.estimator.SmoothingCurveStretchParams

org.drip.state.estimator.GlobalControlCurveParams

org.drip.state.inference.LinearLatentStateCalibrator

public class LinearLatentStateCalibrator
extends GlobalControlCurveParams

LinearLatentStateCalibrator calibrates/constructs the Latent State Stretch/Span from the calibration instrument details. The span construction may be customized using specific settings provided in GlobalControlCurveParams.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
LinearLatentStateCalibrator(SegmentCustomBuilderControl scbc, BoundarySettings bs, int iCalibrationDetail, StretchBestFitResponse sbfr, StretchBestFitResponse sbfrSensitivity) LinearLatentStateCalibrator constructor

Method Summary

Modifier and Type	Method and Description
OverlappingStretchSpan	calibrateSpan(LatentStateStretchSpec[] aStretchSpec, double dblEpochResponse, ValuationParams valParams, CreditPricerParams pricerParams, ValuationCustomizationParams vcp, CurveSurfaceQuoteContainer csqs) Calibrate the Span from the Instruments in the Stretches and their Details.

Methods inherited from class org.drip.state.estimator.GlobalControlCurveParams

calibrationBoundaryCondition

Methods inherited from class org.drip.state.estimator.SmoothingCurveStretchParams

bestFitWeightedResponse, bestFitWeightedResponseSensitivity, calibrationDetail, defaultSegmentBuilderControl, segmentBuilderControl, setStretchSegmentBuilderControl, smootheningQuantificationMetric

Methods inherited from class java.lang.Object

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

Constructor Detail

LinearLatentStateCalibrator

public LinearLatentStateCalibrator(SegmentCustomBuilderControl scbc,
                                   BoundarySettings bs,
                                   int iCalibrationDetail,
                                   StretchBestFitResponse sbfr,
                                   StretchBestFitResponse sbfrSensitivity)
                            throws java.lang.Exception

LinearLatentStateCalibrator constructor

Parameters:

scbc - Segment Builder Control Parameters

bs - The Calibration Boundary Condition

iCalibrationDetail - The Calibration Detail

sbfr - Curve Fitness Weighted Response

sbfrSensitivity - Curve Fitness Weighted Response Sensitivity

Throws:

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

Method Detail

calibrateSpan

public OverlappingStretchSpan calibrateSpan(LatentStateStretchSpec[] aStretchSpec,
                                            double dblEpochResponse,
                                            ValuationParams valParams,
                                            CreditPricerParams pricerParams,
                                            ValuationCustomizationParams vcp,
                                            CurveSurfaceQuoteContainer csqs)

Calibrate the Span from the Instruments in the Stretches and their Details.

Parameters:

aStretchSpec - The Stretch Sequence constituting the Span

dblEpochResponse - Segment Sequence Left-most Response Value

valParams - Valuation Parameter

pricerParams - Pricer Parameter

vcp - The Valuation Customization Parameters

csqs - The Market Parameters Surface and Quote

Returns:

Instance of the Latent State Span