Package org.drip.spline.stretch

Class MultiSegmentSequenceBuilder

java.lang.Object

org.drip.spline.stretch.MultiSegmentSequenceBuilder

public class MultiSegmentSequenceBuilder
extends java.lang.Object

MultiSegmentSequenceBuilder exports Stretch creation/calibration methods to generate customized basis splines, with customized segment behavior using the segment control. It exports the following methods of Stretch Creation:

• Polynomial Spline
• Bernstein Polynomial Spline
• Hyperbolic Tension Spline
• Exponential Tension Spline
• Kaklis-Pandelis Spline
• Exponential Rational Spline
• Exponential Mixture Spline
• Koch-Lyche-Kvasov Rational Exponential Tension Spline
• Koch-Lyche-Kvasov Rational Hyperbolic Tension Spline
• Koch-Lyche-Kvasov Rational Linear Tension Spline
• Koch-Lyche-Kvasov Rational Quadratic Tension Spline
• Create an Uncalibrated Stretch instance over the specified Predictor Ordinate Array using the specified Basis Spline Parameters for the Segment
• Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response Values using the specified Basis Splines
• Create a calibrated Stretch Instance over the specified Predictor Ordinates, Response Values, and their Constraints, using the specified Segment Builder Parameters
• Create a calibrated Stretch Instance over the specified Predictor Ordinates and the Response Value Constraints, with the Segment Builder Parameters
• Create a Calibrated Stretch Instance from the Array of Predictor Ordinates and a flat Response Value
• Create a Regression Spline Instance over the specified array of Predictor Ordinate Knot Points and the Set of the Points to be Best Fit

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 java.lang.String	BASIS_SPLINE_BERNSTEIN_POLYNOMIAL	Bernstein Polynomial Spline
static java.lang.String	BASIS_SPLINE_EXPONENTIAL_MIXTURE	Exponential Mixture Basis Spline
static java.lang.String	BASIS_SPLINE_EXPONENTIAL_RATIONAL	Exponential Rational Basis Spline
static java.lang.String	BASIS_SPLINE_EXPONENTIAL_TENSION	Exponential Tension Spline
static java.lang.String	BASIS_SPLINE_HYPERBOLIC_TENSION	Hyperbolic Tension Spline
static java.lang.String	BASIS_SPLINE_KAKLIS_PANDELIS	Kaklis Pandelis Spline
static java.lang.String	BASIS_SPLINE_KLK_EXPONENTIAL_TENSION	Koch-Lyche-Kvasov Exponential Tension Spline
static java.lang.String	BASIS_SPLINE_KLK_HYPERBOLIC_TENSION	Koch-Lyche-Kvasov Hyperbolic Tension Spline
static java.lang.String	BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION	Koch-Lyche-Kvasov Rational Linear Tension Spline
static java.lang.String	BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION	Koch-Lyche-Kvasov Rational Quadratic Tension Spline
static java.lang.String	BASIS_SPLINE_POLYNOMIAL	Polynomial Spline

Constructor Summary

Constructors

Constructor	Description
MultiSegmentSequenceBuilder()

Method Summary

Modifier and Type	Method	Description
static MultiSegmentSequence	CreateCalibratedStretchEstimator(java.lang.String name, double[] predictorOrdinateArray, double[] responseValueArray, SegmentCustomBuilderControl[] segmentCustomBuilderControlArray, StretchBestFitResponse stretchBestFitResponse, BoundarySettings boundarySettings, int calibrationDetail)	Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response Values using the specified Basis Splines.
static MultiSegmentSequence	CreateCalibratedStretchEstimator(java.lang.String name, double[] predictorOrdinateArray, double responseValue, SegmentCustomBuilderControl segmentCustomBuilderControl, StretchBestFitResponse stretchBestFitResponse, BoundarySettings boundarySettings, int calibrationDetail)	Create a Calibrated Stretch Instance from the Array of Predictor Ordinates and a flat Response Value
static MultiSegmentSequence	CreateCalibratedStretchEstimator(java.lang.String name, double[] predictorOrdinateArray, double stretchLeftResponseValue, SegmentResponseValueConstraint[] segmentResponseValueConstraintArray, SegmentCustomBuilderControl[] segmentCustomBuilderControlArray, StretchBestFitResponse stretchBestFitResponse, BoundarySettings boundarySettings, int calibrationDetail)	Create a calibrated Stretch Instance over the specified Predictor Ordinates, Response Values, and their Constraints, using the specified Segment Builder Parameters.
static MultiSegmentSequence	CreateCalibratedStretchEstimator(java.lang.String name, double[] predictorOrdinateArray, SegmentResponseValueConstraint stretchLeftSegmentResponseValueConstraint, SegmentResponseValueConstraint[] segmentResponseValueConstraintArray, SegmentCustomBuilderControl[] segmentCustomBuilderControlArray, StretchBestFitResponse stretchBestFitResponse, BoundarySettings boundarySettings, int calibrationDetail)	Create a calibrated Stretch Instance over the specified Predictor Ordinates and the Response Value Constraints, with the Segment Builder Parameters.
static MultiSegmentSequence	CreateCalibratedStretchEstimator(java.lang.String name, int[] predictorOrdinateArray, double[] responseValueArray, SegmentCustomBuilderControl[] segmentCustomBuilderControlArray, StretchBestFitResponse stretchBestFitResponse, BoundarySettings boundarySettings, int calibrationDetail)	Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response Values using the specified Basis Splines.
static MultiSegmentSequence	CreateRegressionSplineEstimator(java.lang.String name, double[] knotPredictorOrdinateArray, SegmentCustomBuilderControl[] segmentCustomBuilderControlArray, StretchBestFitResponse stretchBestFitResponse, BoundarySettings boundarySettings, int calibrationDetail)	Create a Regression Spline Instance over the specified array of Predictor Ordinate Knot Points and the Set of the Points to be Best Fit.
static LatentStateResponseModel[]	CreateSegmentSet(double[] predictorOrdinateArray, SegmentCustomBuilderControl[] segmentCustomBuilderControlArray)	Create an uncalibrated Stretch instance over the specified Predictor Ordinate Array using the specified Basis Spline Parameters for the Segment.
static MultiSegmentSequence	CreateUncalibratedStretchEstimator(java.lang.String name, double[] predictorOrdinateArray, SegmentCustomBuilderControl[] segmentCustomBuilderControlArray)	Create an Uncalibrated Stretch instance over the specified Predictor Ordinate Array using the specified Basis Spline Parameters for the Segment.

Methods inherited from class java.lang.Object

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

Field Details

BASIS_SPLINE_POLYNOMIAL

public static final java.lang.String BASIS_SPLINE_POLYNOMIAL

Polynomial Spline

See Also:

Constant Field Values

BASIS_SPLINE_BERNSTEIN_POLYNOMIAL

public static final java.lang.String BASIS_SPLINE_BERNSTEIN_POLYNOMIAL

Bernstein Polynomial Spline

See Also:

Constant Field Values

BASIS_SPLINE_HYPERBOLIC_TENSION

public static final java.lang.String BASIS_SPLINE_HYPERBOLIC_TENSION

Hyperbolic Tension Spline

See Also:

Constant Field Values

BASIS_SPLINE_EXPONENTIAL_TENSION

public static final java.lang.String BASIS_SPLINE_EXPONENTIAL_TENSION

Exponential Tension Spline

See Also:

Constant Field Values

BASIS_SPLINE_KAKLIS_PANDELIS

public static final java.lang.String BASIS_SPLINE_KAKLIS_PANDELIS

Kaklis Pandelis Spline

See Also:

Constant Field Values

BASIS_SPLINE_EXPONENTIAL_RATIONAL

public static final java.lang.String BASIS_SPLINE_EXPONENTIAL_RATIONAL

Exponential Rational Basis Spline

See Also:

Constant Field Values

BASIS_SPLINE_EXPONENTIAL_MIXTURE

public static final java.lang.String BASIS_SPLINE_EXPONENTIAL_MIXTURE

Exponential Mixture Basis Spline

See Also:

Constant Field Values

BASIS_SPLINE_KLK_EXPONENTIAL_TENSION

public static final java.lang.String BASIS_SPLINE_KLK_EXPONENTIAL_TENSION

Koch-Lyche-Kvasov Exponential Tension Spline

See Also:

Constant Field Values

BASIS_SPLINE_KLK_HYPERBOLIC_TENSION

public static final java.lang.String BASIS_SPLINE_KLK_HYPERBOLIC_TENSION

Koch-Lyche-Kvasov Hyperbolic Tension Spline

See Also:

Constant Field Values

BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION

public static final java.lang.String BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION

Koch-Lyche-Kvasov Rational Linear Tension Spline

See Also:

Constant Field Values

BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION

public static final java.lang.String BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION

Koch-Lyche-Kvasov Rational Quadratic Tension Spline

See Also:

Constant Field Values

Constructor Details

MultiSegmentSequenceBuilder

public MultiSegmentSequenceBuilder()

Method Details

CreateSegmentSet

public static final LatentStateResponseModel[] CreateSegmentSet(double[] predictorOrdinateArray,
SegmentCustomBuilderControl[] segmentCustomBuilderControlArray)

Create an uncalibrated Stretch instance over the specified Predictor Ordinate Array using the specified Basis Spline Parameters for the Segment.

Parameters:

predictorOrdinateArray - Predictor Ordinate Array

segmentCustomBuilderControlArray - Array of Segment Builder Parameters

Returns:

Stretch instance

CreateUncalibratedStretchEstimator

public static final MultiSegmentSequence CreateUncalibratedStretchEstimator(java.lang.String name,
double[] predictorOrdinateArray,
SegmentCustomBuilderControl[] segmentCustomBuilderControlArray)

Create an Uncalibrated Stretch instance over the specified Predictor Ordinate Array using the specified Basis Spline Parameters for the Segment.

Parameters:

name - Name of the Stretch

predictorOrdinateArray - Predictor Ordinate Array

segmentCustomBuilderControlArray - Array of Segment Builder Parameters

Returns:

Stretch instance

CreateCalibratedStretchEstimator

public static final MultiSegmentSequence CreateCalibratedStretchEstimator(java.lang.String name,
double[] predictorOrdinateArray,
double[] responseValueArray,
SegmentCustomBuilderControl[] segmentCustomBuilderControlArray,
StretchBestFitResponse stretchBestFitResponse,
BoundarySettings boundarySettings,
int calibrationDetail)

Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response Values using the specified Basis Splines.

Parameters:

name - Name of the Stretch

predictorOrdinateArray - Predictor Ordinate Array

responseValueArray - Response Value Array

segmentCustomBuilderControlArray - Array of Segment Builder Parameters

stretchBestFitResponse - Stretch Fitness Weighted Response

boundarySettings - The Calibration Boundary Condition

calibrationDetail - The Calibration Detail

Returns:

Stretch instance

CreateCalibratedStretchEstimator

public static final MultiSegmentSequence CreateCalibratedStretchEstimator(java.lang.String name,
int[] predictorOrdinateArray,
double[] responseValueArray,
SegmentCustomBuilderControl[] segmentCustomBuilderControlArray,
StretchBestFitResponse stretchBestFitResponse,
BoundarySettings boundarySettings,
int calibrationDetail)

Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response Values using the specified Basis Splines.

Parameters:

name - Name of the Stretch

predictorOrdinateArray - Predictor Ordinate Array

responseValueArray - Response Value Array

segmentCustomBuilderControlArray - Array of Segment Builder Parameters

stretchBestFitResponse - Stretch Fitness Weighted Response

boundarySettings - The Calibration Boundary Condition

calibrationDetail - The Calibration Detail

Returns:

Stretch instance

CreateCalibratedStretchEstimator

public static final MultiSegmentSequence CreateCalibratedStretchEstimator(java.lang.String name,
double[] predictorOrdinateArray,
double stretchLeftResponseValue,
SegmentResponseValueConstraint[] segmentResponseValueConstraintArray,
SegmentCustomBuilderControl[] segmentCustomBuilderControlArray,
StretchBestFitResponse stretchBestFitResponse,
BoundarySettings boundarySettings,
int calibrationDetail)

Create a calibrated Stretch Instance over the specified Predictor Ordinates, Response Values, and their Constraints, using the specified Segment Builder Parameters.

Parameters:

name - Name of the Stretch

predictorOrdinateArray - Predictor Ordinate Array

stretchLeftResponseValue - Left-most Y Point

segmentResponseValueConstraintArray - Array of Response Value Constraints - One per Segment

segmentCustomBuilderControlArray - Array of Segment Builder Parameters - One per Segment

stretchBestFitResponse - Stretch Fitness Weighted Response

boundarySettings - The Calibration Boundary Condition

calibrationDetail - The Calibration Detail

Returns:

Stretch Instance

CreateCalibratedStretchEstimator

public static final MultiSegmentSequence CreateCalibratedStretchEstimator(java.lang.String name,
double[] predictorOrdinateArray,
SegmentResponseValueConstraint stretchLeftSegmentResponseValueConstraint,
SegmentResponseValueConstraint[] segmentResponseValueConstraintArray,
SegmentCustomBuilderControl[] segmentCustomBuilderControlArray,
StretchBestFitResponse stretchBestFitResponse,
BoundarySettings boundarySettings,
int calibrationDetail)

Create a calibrated Stretch Instance over the specified Predictor Ordinates and the Response Value Constraints, with the Segment Builder Parameters.

Parameters:

name - Name of the Stretch

predictorOrdinateArray - Predictor Ordinate Array

stretchLeftSegmentResponseValueConstraint - Stretch Left Constraint

segmentResponseValueConstraintArray - Array of Response Value Constraints - One per Segment

segmentCustomBuilderControlArray - Array of Segment Builder Parameters - One per Segment

stretchBestFitResponse - Stretch Fitness Weighted Response

boundarySettings - The Calibration Boundary Condition

calibrationDetail - The Calibration Detail

Returns:

Stretch Instance

CreateCalibratedStretchEstimator

public static final MultiSegmentSequence CreateCalibratedStretchEstimator(java.lang.String name,
double[] predictorOrdinateArray,
double responseValue,
SegmentCustomBuilderControl segmentCustomBuilderControl,
StretchBestFitResponse stretchBestFitResponse,
BoundarySettings boundarySettings,
int calibrationDetail)

Create a Calibrated Stretch Instance from the Array of Predictor Ordinates and a flat Response Value

Parameters:

name - Name of the Stretch

predictorOrdinateArray - Predictor Ordinate Array

responseValue - Response Value

segmentCustomBuilderControl - Segment Builder Parameters

stretchBestFitResponse - Stretch Fitness Weighted Response

boundarySettings - The Calibration Boundary Condition

calibrationDetail - The Calibration Detail

Returns:

Stretch Instance

CreateRegressionSplineEstimator

public static final MultiSegmentSequence CreateRegressionSplineEstimator(java.lang.String name,
double[] knotPredictorOrdinateArray,
SegmentCustomBuilderControl[] segmentCustomBuilderControlArray,
StretchBestFitResponse stretchBestFitResponse,
BoundarySettings boundarySettings,
int calibrationDetail)

Create a Regression Spline Instance over the specified array of Predictor Ordinate Knot Points and the Set of the Points to be Best Fit.

Parameters:

name - Name of the Stretch

knotPredictorOrdinateArray - Array of the Predictor Ordinate Knots

segmentCustomBuilderControlArray - Array of Segment Builder Parameters

stretchBestFitResponse - Stretch Fitness Weighted Response

boundarySettings - The Calibration Boundary Condition

calibrationDetail - The Calibration Detail

Returns:

Stretch instance