Package org.drip.spline.segment

Class BestFitFlexurePenalizer

java.lang.Object

org.drip.spline.segment.BestFitFlexurePenalizer

public class BestFitFlexurePenalizer
extends java.lang.Object

BestFitFlexurePenalizer implements the Segment's Best Fit, Curvature, and Length Penalizers. It provides the following functionality:

• BestFitFlexurePenalizer Constructor
• Compute the Cross-Curvature Penalty for the given Basis Pair
• Compute the Cross-Length Penalty for the given Basis Pair
• Compute the Best Fit Cross-Product Penalty for the given Basis Pair
• Compute the Basis Pair Penalty Coefficient for the Best Fit and the Curvature Penalties
• Compute the Penalty Constraint for the Basis Pair

Module	Product Core Module
Library	Fixed Income Analytics
Project	Basis Splines and Linear Compounders across a Broad Family of Spline Basis Functions
Package	Flexure Penalizing Best Fit Segment

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BestFitFlexurePenalizer(LatentStateInelastic latentStateInelastic, SegmentFlexurePenaltyControl curvatureSegmentFlexurePenaltyControl, SegmentFlexurePenaltyControl lengthSegmentFlexurePenaltyControl, SegmentBestFitResponse segmentBestFitResponse, BasisEvaluator basisEvaluator)	BestFitFlexurePenalizer constructor

Method Summary

Modifier and Type	Method	Description
double	basisBestFitPenalty(int basisIndexI, int basisIndexR)	Compute the Best Fit Cross-Product Penalty for the given Basis Pair
double	basisPairConstraintCoefficient(int basisIndexI, int basisIndexR)	Compute the Basis Pair Penalty Coefficient for the Best Fit and the Curvature Penalties
double	basisPairCurvaturePenalty(int basisIndexI, int basisIndexR)	Compute the Cross-Curvature Penalty for the given Basis Pair
double	basisPairLengthPenalty(int basisIndexI, int basisIndexR)	Compute the Cross-Length Penalty for the given Basis Pair
double	basisPairPenaltyConstraint(int basisIndexR)	Compute the Penalty Constraint for the Basis Pair

Methods inherited from class java.lang.Object

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

Constructor Details

BestFitFlexurePenalizer

public BestFitFlexurePenalizer(LatentStateInelastic latentStateInelastic,
SegmentFlexurePenaltyControl curvatureSegmentFlexurePenaltyControl,
SegmentFlexurePenaltyControl lengthSegmentFlexurePenaltyControl,
SegmentBestFitResponse segmentBestFitResponse,
BasisEvaluator basisEvaluator)
                        throws java.lang.Exception

BestFitFlexurePenalizer constructor

Parameters:

latentStateInelastic - Segment Inelastics

curvatureSegmentFlexurePenaltyControl - Curvature Penalty Parameters

lengthSegmentFlexurePenaltyControl - Length Penalty Parameters

segmentBestFitResponse - Best Fit Weighted Response

basisEvaluator - The Local Basis Evaluator

Throws:

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

Method Details

basisPairCurvaturePenalty

public double basisPairCurvaturePenalty(int basisIndexI,
int basisIndexR)
                                 throws java.lang.Exception

Compute the Cross-Curvature Penalty for the given Basis Pair

Parameters:

basisIndexI - I Basis Index (I is the Summation Index)

basisIndexR - R Basis Index (R is the Separator Index)

Returns:

The Cross-Curvature Penalty for the given Basis Pair

Throws:

java.lang.Exception - Thrown if the Cross-Curvature Penalty cannot be computed

basisPairLengthPenalty

public double basisPairLengthPenalty(int basisIndexI,
int basisIndexR)
                              throws java.lang.Exception

Compute the Cross-Length Penalty for the given Basis Pair

Parameters:

basisIndexI - I Basis Index (I is the Summation Index)

basisIndexR - R Basis Index (R is the Separator Index)

Returns:

The Cross-Length Penalty for the given Basis Pair

Throws:

java.lang.Exception - Thrown if the Cross-Length Penalty cannot be computed

basisBestFitPenalty

public double basisBestFitPenalty(int basisIndexI,
int basisIndexR)
                           throws java.lang.Exception

Compute the Best Fit Cross-Product Penalty for the given Basis Pair

Parameters:

basisIndexI - I Basis Index (I is the Summation Index)

basisIndexR - R Basis Index (R is the Separator Index)

Returns:

The Best Fit Cross-Product Penalty for the given Basis Pair

Throws:

java.lang.Exception - Thrown if the Best Fit Cross-Product Penalty cannot be computed

basisPairConstraintCoefficient

public double basisPairConstraintCoefficient(int basisIndexI,
int basisIndexR)
                                      throws java.lang.Exception

Compute the Basis Pair Penalty Coefficient for the Best Fit and the Curvature Penalties

Parameters:

basisIndexI - I Basis Index (I is the Summation Index)

basisIndexR - R Basis Index (R is the Separator Index)

Returns:

The Basis Pair Penalty Coefficient for the Fitness and the Curvature Penalties

Throws:

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

basisPairPenaltyConstraint

public double basisPairPenaltyConstraint(int basisIndexR)
                                  throws java.lang.Exception

Compute the Penalty Constraint for the Basis Pair

Parameters:

basisIndexR - R Basis Index (R is the Separator Index)

Returns:

Penalty Constraint for the Basis Pair

Throws:

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