Package org.drip.spline.pchip

Class MinimalQuadraticHaganWest

java.lang.Object
org.drip.spline.pchip.MinimalQuadraticHaganWest
public class MinimalQuadraticHaganWest
extends java.lang.Object
MinimalQuadraticHaganWest implements the regime using the Hagan and West (2006) Minimal Quadratic Estimator.
  • Calculate an instance of MinimalQuadraticHaganWest
  • Calculate the Response Value given the Predictor Ordinate
  • Calculate the Conserved Constraint

Module Product Core Module
Library Fixed Income Analytics
Project Basis Splines and Linear Compounders across a Broad Family of Spline Basis Functions
Package Monotone Convex Themed PCHIP Splines

Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    double[] calcConservedConstraint()
    Calculate the Conserved Constraint
    static MinimalQuadraticHaganWest Create​(double[] predictorOrdinateArray, double[] observationArray, double weight)
    Create an instance of MinimalQuadraticHaganWest
    double responseValue​(double predictorOrdinate)
    Calculate the Response Value given the Predictor Ordinate

    Methods inherited from class java.lang.Object

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

  • Method Details

    • Create

      public static final MinimalQuadraticHaganWest Create​(double[] predictorOrdinateArray, double[] observationArray, double weight)
      Create an instance of MinimalQuadraticHaganWest
      Parameters:
      predictorOrdinateArray - Array of Predictor Ordinates
      observationArray - Array of Observations
      weight - Relative Weights applied across the first and the second derivatives
      Returns:
      Instance of MinimalQuadraticHaganWest

    • responseValue

      public double responseValue​(double predictorOrdinate) throws java.lang.Exception
      Calculate the Response Value given the Predictor Ordinate
      Parameters:
      predictorOrdinate - The Predictor Ordinate
      Returns:
      The Response Value
      Throws:
      java.lang.Exception - Thrown if the input is invalid

    • calcConservedConstraint

      public double[] calcConservedConstraint()
      Calculate the Conserved Constraint
      Returns:
      The Conserved Constraint