Package org.drip.state.estimator

Class PredictorResponseRelationSetup

java.lang.Object
org.drip.state.estimator.PredictorResponseRelationSetup
public class PredictorResponseRelationSetup
extends java.lang.Object
PredictorResponseRelationSetup holds the Linearized Constraints (and, optionally, their quote sensitivities) necessary needed for the Linear Calibration. Linearized Constraints are expressed as Sum_i[Predictor Weight_i * Function (Response_i)] = Constraint Value where Function can either be univariate function, or weighted spline basis set. To this end, it implements the following functionality:
  • PredictorResponseRelationSetup constructor
  • Update the Constraint Value
  • Add a Predictor/Response Weight entry to the Linearized Constraint
  • Retrieve the Constraint Value
  • Retrieve the Predictor To-From Response Weight Map
  • Absorb the "Other" PredictorResponseRelationSetup onto the current one

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

  • Constructor Summary

    Constructors
    Constructor Description
    PredictorResponseRelationSetup()
    Empty PredictorResponseRelationSetup constructor

  • Method Summary

    Modifier and Type Method Description
    boolean absorb​(PredictorResponseRelationSetup predictorResponseRelationSetupOther)
    Absorb the "Other" PredictorResponseRelationSetup onto the current one
    boolean addPredictorResponseWeight​(double predictor, double responseWeight)
    Add a Predictor/Response Weight entry to the Linearized Constraint
    java.util.TreeMap<java.lang.Double,​java.lang.Double> getPredictorResponseWeight()
    Retrieve the Predictor To-From Response Weight Map
    double getValue()
    Retrieve the Constraint Value
    boolean updateValue​(double value)
    Update the Constraint Value

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PredictorResponseRelationSetup

      public PredictorResponseRelationSetup()
      Empty PredictorResponseRelationSetup constructor

  • Method Details

    • updateValue

      public boolean updateValue​(double value)
      Update the Constraint Value
      Parameters:
      value - The Constraint Value Update Increment
      Returns:
      TRUE - This Update Succeeded

    • addPredictorResponseWeight

      public boolean addPredictorResponseWeight​(double predictor, double responseWeight)
      Add a Predictor/Response Weight entry to the Linearized Constraint
      Parameters:
      predictor - The Predictor Node
      responseWeight - The Response Weight at the Node
      Returns:
      TRUE - Successfully added

    • getValue

      public double getValue()
      Retrieve the Constraint Value
      Returns:
      The Constraint Value

    • getPredictorResponseWeight

      public java.util.TreeMap<java.lang.Double,​java.lang.Double> getPredictorResponseWeight()
      Retrieve the Predictor To-From Response Weight Map
      Returns:
      The Predictor To-From Response Weight Map

    • absorb

      public boolean absorb​(PredictorResponseRelationSetup predictorResponseRelationSetupOther)
      Absorb the "Other" PredictorResponseRelationSetup onto the current one
      Parameters:
      predictorResponseRelationSetupOther - The "Other" PRRS
      Returns:
      TRUE - At least one Entry was absorbed