Package org.drip.spline.params

Class SegmentPredictorResponseDerivative

java.lang.Object

org.drip.spline.params.SegmentPredictorResponseDerivative

public class SegmentPredictorResponseDerivative
extends java.lang.Object

SegmentPredictorResponseDerivative contains the segment local parameters used for the segment calibration. It holds the edge Y value and the derivatives. It exposes the following functions:

• Aggregate the 2 Predictor Ordinate Response Derivatives by applying the Cardinal Tension Weight
• SegmentPredictorResponseDerivative constructor
• Retrieve the Response Value
• Retrieve the DResponseDPredictorOrdinate Array

Module	Product Core Module
Library	Fixed Income Analytics
Project	Basis Splines and Linear Compounders across a Broad Family of Spline Basis Functions
Package	Spline Segment Construction Control Parameters

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
SegmentPredictorResponseDerivative(double responseValue, double[] dResponseDPredictorOrdinateArray)	SegmentPredictorResponseDerivative constructor

Method Summary

Modifier and Type	Method	Description
static SegmentPredictorResponseDerivative	CardinalEdgeAggregate(SegmentPredictorResponseDerivative segmentPredictorResponseDerivativeA, SegmentPredictorResponseDerivative segmentPredictorResponseDerivativeB, double cardinalTension)	Aggregate the 2 Predictor Ordinate Response Derivatives by applying the Cardinal Tension Weight
double[]	getDResponseDPredictorOrdinate()	Retrieve the DResponseDPredictorOrdinate Array
double	responseValue()	Retrieve the Response Value

Methods inherited from class java.lang.Object

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

Constructor Details

SegmentPredictorResponseDerivative

public SegmentPredictorResponseDerivative(double responseValue,
double[] dResponseDPredictorOrdinateArray)
                                   throws java.lang.Exception

SegmentPredictorResponseDerivative constructor

Parameters:

responseValue - Edge Response Value

dResponseDPredictorOrdinateArray - Array of ordered Edge Derivatives

Throws:

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

Method Details

CardinalEdgeAggregate

public static final SegmentPredictorResponseDerivative CardinalEdgeAggregate(SegmentPredictorResponseDerivative segmentPredictorResponseDerivativeA,
SegmentPredictorResponseDerivative segmentPredictorResponseDerivativeB,
double cardinalTension)

Aggregate the 2 Predictor Ordinate Response Derivatives by applying the Cardinal Tension Weight

Parameters:

segmentPredictorResponseDerivativeA - Predictor Ordinate Response Derivative A

segmentPredictorResponseDerivativeB - Predictor Ordinate Response Derivative B

cardinalTension - Cardinal Tension

Returns:

The Aggregated Predictor Ordinate Response Derivatives

responseValue

public double responseValue()

Retrieve the Response Value

Returns:

The Response Value

getDResponseDPredictorOrdinate

public double[] getDResponseDPredictorOrdinate()

Retrieve the DResponseDPredictorOrdinate Array

Returns:

DResponseDPredictorOrdinate Array