Package org.drip.spline.stretch

Interface MultiSegmentSequence

All Superinterfaces:

SingleSegmentSequence

All Known Implementing Classes:

CalibratableMultiSegmentSequence, CurveStretch

public interface MultiSegmentSequence
extends SingleSegmentSequence

MultiSegmentSequence is the interface that exposes functionality that spans multiple segments. Its derived instances hold the ordered segment sequence, the segment control parameters, and, if available, the spanning Jacobian. MultiSegmentSequence exports the following group of functionality:

• CALIBRATE
• CALIBRATE_JACOBIAN
• Retrieve the Stretch Name
• Retrieve the Segment Builder Parameters
• Set up (i.e., calibrate) the individual Segment in the Stretch to the Target Segment Edge Values and Constraints. This is also called the Hermite setup - where the segment boundaries are entirely locally set
• Set the Slope at the left Edge of the Stretch
• Calculate the SegmentPredictorResponseDerivative at the specified Predictor Ordinate
• Calculate the Derivative of the requested order at the Left Edge of the Stretch
• Calculate the Derivative of the requested order at the Right Edge of the Stretch
• Check if the Predictor Ordinate is in the Stretch Range
• Return the Index for the Segment containing specified Predictor Ordinate
• Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Edge, the Target Constraints, and the custom segment sequence builder
• Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge and the Target Constraints
• Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge Response and the Target Constraints
• Generate a new Stretch by clipping all the Segments to the Left of the specified Predictor Ordinate. Smoothness Constraints will be maintained
• Generate a new Stretch by clipping all the Segments to the Right of the specified Predictor Ordinate. Smoothness Constraints will be maintained
• Retrieve the Span Curvature DPE
• Retrieve the Span Length DPE
• Retrieve the Stretch Best Fit DPE
• Retrieve the Merge Stretch Manager if it exists
• Display the Segments

Module	Product Core Module
Library	Fixed Income Analytics
Project	Basis Splines and Linear Compounders across a Broad Family of Spline Basis Functions
Package	Multi-Segment Sequence Spline Stretch

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static int	CALIBRATE	Calibration Detail: Calibrate the Stretch as part of the set up
static int	CALIBRATE_JACOBIAN	Calibration Detail: Calibrate the Stretch AND compute Jacobian as part of the set up

Method Summary

Modifier and Type	Method	Description
double	bestFitDPE(StretchBestFitResponse stretchBestFitResponse)	Retrieve the Stretch Best Fit DPE
double	calcLeftEdgeDerivative(int order)	Calculate the Derivative of the requested order at the Left Edge of the Stretch
double	calcRightEdgeDerivative(int order)	Calculate the Derivative of the requested order at the right Edge of the Stretch
SegmentPredictorResponseDerivative	calcSPRD(double predictorOrdinate)	Calculate the SegmentPredictorResponseDerivative at the specified Predictor Ordinate
MultiSegmentSequence	clipLeft(java.lang.String name, double predictorOrdinate)	Generate a new Stretch by clipping all the Segments to the Left of the specified Predictor Ordinate.
MultiSegmentSequence	clipRight(java.lang.String name, double predictorOrdinate)	Generate a new Stretch by clipping all the Segments to the Right of the specified Predictor Ordinate.
int	containingIndex(double predictorOrdinate, boolean includeLeft, boolean includeRight)	Return the Index for the Segment containing specified Predictor Ordinate
double	curvatureDPE()	Retrieve the Span Curvature DPE
java.lang.String	displayString()	Display the Segments
boolean	in(double predictorOrdinate)	Check if the Predictor Ordinate is in the Stretch Range
double	lengthDPE()	Retrieve the Span Length DPE
MergeSubStretchManager	msm()	Retrieve the Merge Stretch Manager if it exists.
java.lang.String	name()	Retrieve the Stretch Name
SegmentCustomBuilderControl[]	segmentBuilderControl()	Retrieve the Segment Builder Parameters
LatentStateResponseModel[]	segments()	Retrieve the Stretch Segments
boolean	setLeftNode(double stretchLeftResponse, double stretchLeftResponseSlope, double stretchRightResponse, StretchBestFitResponse stretchBestFitResponse)	Set the Slope at the left Edge of the Stretch
boolean	setup(double stretchLeftResponseValue, SegmentResponseValueConstraint[] segmentResponseValueConstraintArray, StretchBestFitResponse stretchBestFitResponse, BoundarySettings boundarySettings, int calibrationDetail)	Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge Response and the Target Constraints.
boolean	setup(SegmentResponseValueConstraint leadingSegmentResponseValueConstraint, SegmentResponseValueConstraint[] segmentResponseValueConstraintArray, StretchBestFitResponse stretchBestFitResponse, BoundarySettings boundarySettings, int calibrationDetail)	Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge and the Target Constraints.
boolean	setup(SegmentSequenceBuilder segmentSequenceBuilder, int calibrationDetail)	Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Edge, the Target Constraints, and the custom segment sequence builder.
boolean	setupHermite(SegmentPredictorResponseDerivative[] leftSegmentPredictorResponseDerivativeArray, SegmentPredictorResponseDerivative[] rightSegmentPredictorResponseDerivativeArray, SegmentResponseValueConstraint[][] segmentResponseValueConstraintGrid, StretchBestFitResponse stretchBestFitResponse, int setupMode)	Set up (i.e., calibrate) the individual Segment in the Stretch to the Target Segment Edge Values and Constraints.

Methods inherited from interface org.drip.spline.stretch.SingleSegmentSequence

getLeftPredictorOrdinateEdge, getRightPredictorOrdinateEdge, isCoMonotone, isKnot, isLocallyMonotone, jackDResponseDCalibrationInput, jackDResponseDManifestMeasure, monotoneType, resetNode, resetNode, responseValue, responseValueDerivative, setup, toAU

Field Details

CALIBRATE

static final int CALIBRATE

Calibration Detail: Calibrate the Stretch as part of the set up

See Also:

Constant Field Values

CALIBRATE_JACOBIAN

static final int CALIBRATE_JACOBIAN

Calibration Detail: Calibrate the Stretch AND compute Jacobian as part of the set up

See Also:

Constant Field Values

Method Details

name

java.lang.String name()

Retrieve the Stretch Name

Returns:

The Stretch Name

segmentBuilderControl

SegmentCustomBuilderControl[] segmentBuilderControl()

Retrieve the Segment Builder Parameters

Returns:

The Segment Builder Parameters

segments

LatentStateResponseModel[] segments()

Retrieve the Stretch Segments

Returns:

The Stretch Segments

setupHermite

boolean setupHermite(SegmentPredictorResponseDerivative[] leftSegmentPredictorResponseDerivativeArray,
SegmentPredictorResponseDerivative[] rightSegmentPredictorResponseDerivativeArray,
SegmentResponseValueConstraint[][] segmentResponseValueConstraintGrid,
StretchBestFitResponse stretchBestFitResponse,
int setupMode)

Set up (i.e., calibrate) the individual Segment in the Stretch to the Target Segment Edge Values and Constraints. This is also called the Hermite setup - where the segment boundaries are entirely locally set.

Parameters:

leftSegmentPredictorResponseDerivativeArray - Array of Left Segment Edge Values

rightSegmentPredictorResponseDerivativeArray - Array of Right Segment Edge Values

segmentResponseValueConstraintGrid - Double Array of Constraints - Outer Index corresponds to Segment Index, and the Inner Index to Constraint Array within each Segment

stretchBestFitResponse - Stretch Fitness Weighted Response

setupMode - Set up Mode (i.e., set up ITEP only, or fully calibrate the Stretch, or calibrate Stretch plus compute Jacobian)

Returns:

TRUE - Set up was successful

setLeftNode

boolean setLeftNode(double stretchLeftResponse,
double stretchLeftResponseSlope,
double stretchRightResponse,
StretchBestFitResponse stretchBestFitResponse)

Set the Slope at the left Edge of the Stretch

Parameters:

stretchLeftResponse - Response Value at the Left Edge of the Stretch

stretchLeftResponseSlope - Response Slope Value at the Left Edge of the Stretch

stretchRightResponse - Response Value at the Right Edge of the Stretch

stretchBestFitResponse - Stretch Fitness Weighted Response

Returns:

TRUE - Left slope successfully set

calcSPRD

SegmentPredictorResponseDerivative calcSPRD(double predictorOrdinate)

Calculate the SegmentPredictorResponseDerivative at the specified Predictor Ordinate

Parameters:

predictorOrdinate - The Predictor Ordinate

Returns:

The Computed SegmentPredictorResponseDerivative

calcLeftEdgeDerivative

double calcLeftEdgeDerivative(int order)
                       throws java.lang.Exception

Calculate the Derivative of the requested order at the Left Edge of the Stretch

Parameters:

order - Order of the Derivative

Returns:

The Derivative of the requested order at the Left Edge of the Stretch

Throws:

java.lang.Exception - Thrown if the Derivative cannot be calculated

calcRightEdgeDerivative

double calcRightEdgeDerivative(int order)
                        throws java.lang.Exception

Calculate the Derivative of the requested order at the right Edge of the Stretch

Parameters:

order - Order of the Derivative

Returns:

The Derivative of the requested order at the right Edge of the Stretch

Throws:

java.lang.Exception - Thrown if the Derivative cannot be calculated

in

boolean in(double predictorOrdinate)
    throws java.lang.Exception

Check if the Predictor Ordinate is in the Stretch Range

Parameters:

predictorOrdinate - Predictor Ordinate

Returns:

TRUE - Predictor Ordinate is in the Range

Throws:

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

containingIndex

int containingIndex(double predictorOrdinate,
boolean includeLeft,
boolean includeRight)
             throws java.lang.Exception

Return the Index for the Segment containing specified Predictor Ordinate

Parameters:

predictorOrdinate - Predictor Ordinate

includeLeft - TRUE - Less than or equal to the Left Predictor Ordinate

includeRight - TRUE - Less than or equal to the Right Predictor Ordinate

Returns:

Index for the Segment containing specified Predictor Ordinate

Throws:

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

setup

boolean setup(SegmentSequenceBuilder segmentSequenceBuilder,
int calibrationDetail)

Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Edge, the Target Constraints, and the custom segment sequence builder.

Parameters:

segmentSequenceBuilder - The Segment Sequence Builder Instance

calibrationDetail - The Calibration Detail

Returns:

TRUE - Set up was successful

setup

boolean setup(SegmentResponseValueConstraint leadingSegmentResponseValueConstraint,
SegmentResponseValueConstraint[] segmentResponseValueConstraintArray,
StretchBestFitResponse stretchBestFitResponse,
BoundarySettings boundarySettings,
int calibrationDetail)

Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge and the Target Constraints.

Parameters:

leadingSegmentResponseValueConstraint - Stretch Left-most Segment Response Value Constraint

segmentResponseValueConstraintArray - Array of Segment Response Value Constraints

stretchBestFitResponse - Stretch Fitness Weighted Response

boundarySettings - The Calibration Boundary Condition

calibrationDetail - The Calibration Detail

Returns:

TRUE - Set up was successful

setup

boolean setup(double stretchLeftResponseValue,
SegmentResponseValueConstraint[] segmentResponseValueConstraintArray,
StretchBestFitResponse stretchBestFitResponse,
BoundarySettings boundarySettings,
int calibrationDetail)

Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge Response and the Target Constraints.

Parameters:

stretchLeftResponseValue - Stretch Left-most Response Value

segmentResponseValueConstraintArray - Array of Segment Response Value Constraints

stretchBestFitResponse - Stretch Best Fit Weighted Response Values

boundarySettings - The Calibration Boundary Condition

calibrationDetail - The Calibration Detail

Returns:

TRUE - Set up was successful

clipLeft

MultiSegmentSequence clipLeft(java.lang.String name,
double predictorOrdinate)

Generate a new Stretch by clipping all the Segments to the Left of the specified Predictor Ordinate. Smoothness Constraints will be maintained.

Parameters:

name - Name of the Clipped Stretch

predictorOrdinate - Predictor Ordinate Left of which the Clipping is to be applied

Returns:

The Clipped Stretch

clipRight

MultiSegmentSequence clipRight(java.lang.String name,
double predictorOrdinate)

Generate a new Stretch by clipping all the Segments to the Right of the specified Predictor Ordinate. Smoothness Constraints will be maintained.

Parameters:

name - Name of the Clipped Stretch

predictorOrdinate - Predictor Ordinate Right of which the Clipping is to be applied

Returns:

The Clipped Stretch

curvatureDPE

double curvatureDPE()
             throws java.lang.Exception

Retrieve the Span Curvature DPE

Returns:

The Span Curvature DPE

Throws:

java.lang.Exception - Thrown if the Span Curvature DPE cannot be computed

lengthDPE

double lengthDPE()
          throws java.lang.Exception

Retrieve the Span Length DPE

Returns:

The Span Length DPE

Throws:

java.lang.Exception - Thrown if the Span Length DPE cannot be computed

bestFitDPE

double bestFitDPE(StretchBestFitResponse stretchBestFitResponse)
           throws java.lang.Exception

Retrieve the Stretch Best Fit DPE

Parameters:

stretchBestFitResponse - Stretch Best Fit Weighted Response Values

Returns:

The Stretch Best Fit DPE

Throws:

java.lang.Exception - Thrown if the Stretch Best Fit DPE cannot be computed

msm

MergeSubStretchManager msm()

Retrieve the Merge Stretch Manager if it exists.

Returns:

The Merge Stretch Manager

displayString

java.lang.String displayString()

Display the Segments

Returns:

The Segments String