Package org.drip.state.estimator

Class CurveStretch

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.spline.stretch.CalibratableMultiSegmentSequence

org.drip.state.estimator.CurveStretch

All Implemented Interfaces:

MultiSegmentSequence, SingleSegmentSequence

public class CurveStretch
extends CalibratableMultiSegmentSequence

CurveStretch expands the regular Multi-Segment Stretch to aid the calibration of Boot-strapped Instruments. In particular, CurveStretch implements the following functions that are used at different stages of curve construction sequence:

• Mark the Range of the "built" Segments
• Clear the built range mark to signal the start of a fresh calibration run
• Indicate if the specified Predictor Ordinate is inside the "Built" Range
• Retrieve the MergeSubStretchManager

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Multi-Pass Customized Stretch Curve

Author:

Lakshmi Krishnamurthy

Field Summary

Fields inherited from interface org.drip.spline.stretch.MultiSegmentSequence

CALIBRATE, CALIBRATE_JACOBIAN

Constructor Summary

Constructors

Constructor	Description
CurveStretch(java.lang.String name, LatentStateResponseModel[] latentStateResponseModelArray, SegmentCustomBuilderControl[] segmentCustomBuilderControlArray)	CurveStretch constructor - Construct a sequence of Basis Spline Segments

Method Summary

Modifier and Type	Method	Description
boolean	clearBuiltRange()	Clear the built range mark to signal the start of a fresh calibration run
boolean	inBuiltRange(double predictorOrdinate)	Indicate if the specified Predictor Ordinate is inside the "Built" Range
boolean	markSegmentBuilt(int segmentIndex, java.util.Set<LatentStateLabel> latentStateLabelSet)	Mark the Range of the "built" Segments, and set the set of Merge Latent States
MergeSubStretchManager	msm()	Retrieve the Merge Stretch Manager if it exists.

Methods inherited from class org.drip.spline.stretch.CalibratableMultiSegmentSequence

bestFitDPE, calcLeftEdgeDerivative, calcRightEdgeDerivative, calcSPRD, clipLeft, clipRight, containingIndex, curvatureDPE, displayString, evaluate, getLeftPredictorOrdinateEdge, getRightPredictorOrdinateEdge, in, integrate, isCoMonotone, isKnot, isLocallyMonotone, jackDResponseDCalibrationInput, jackDResponseDManifestMeasure, lengthDPE, monotoneType, name, resetNode, resetNode, responseValue, responseValueDerivative, segmentBuilderControl, segments, setLeftNode, setup, setup, setup, setup, setupHermite, toAU

Methods inherited from class org.drip.function.definition.R1ToR1

antiDerivative, derivative, differential, differential, maxima, maxima, minima, minima, poleResidue

Methods inherited from class java.lang.Object

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

Constructor Details

CurveStretch

public CurveStretch(java.lang.String name,
LatentStateResponseModel[] latentStateResponseModelArray,
SegmentCustomBuilderControl[] segmentCustomBuilderControlArray)
             throws java.lang.Exception

CurveStretch constructor - Construct a sequence of Basis Spline Segments

Parameters:

name - Name of the Stretch

latentStateResponseModelArray - Array of Segments

segmentCustomBuilderControlArray - Array of Segment Builder Parameters

Throws:

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

Method Details

markSegmentBuilt

public boolean markSegmentBuilt(int segmentIndex,
java.util.Set<LatentStateLabel> latentStateLabelSet)

Mark the Range of the "built" Segments, and set the set of Merge Latent States

Parameters:

segmentIndex - The Current Segment Range Built

latentStateLabelSet - Set of the merging Latent State Labels

Returns:

TRUE - Range successfully marked as "built"

clearBuiltRange

public boolean clearBuiltRange()

Clear the built range mark to signal the start of a fresh calibration run

Returns:

TRUE - Built Range successfully cleared

inBuiltRange

public boolean inBuiltRange(double predictorOrdinate)
                     throws java.lang.Exception

Indicate if the specified Predictor Ordinate is inside the "Built" Range

Parameters:

predictorOrdinate - The Predictor Ordinate

Returns:

TRUE - The specified Predictor Ordinate is inside the "Built" Range

Throws:

java.lang.Exception - Thrown if inputs are invalid

msm

public MergeSubStretchManager msm()

Description copied from interface: MultiSegmentSequence

Retrieve the Merge Stretch Manager if it exists.

Specified by:

msm in interface MultiSegmentSequence

Overrides:

msm in class CalibratableMultiSegmentSequence

Returns:

The Merge Stretch Manager