Package org.drip.state.estimator

Class PredictorResponseWeightConstraint

java.lang.Object
org.drip.state.estimator.PredictorResponseWeightConstraint
public class PredictorResponseWeightConstraint
extends java.lang.Object
PredictorResponseWeightConstraint 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:
  • PredictorResponseWeightConstraint constructor
  • Add a Predictor/Response Weight entry to the Linearized Constraint
  • Update the Constraint Value
  • Update the Constraint Value Sensitivity
  • Retrieve the Constraint Value
  • Retrieve the Constraint Value Sensitivity
  • Add a Merging Latent State Label
  • Return the Set of Merged Latent State Labels
  • Retrieve the Predictor To-From Response Weight Map
  • Retrieve the Predictor To-From Response Weight Sensitivity Map
  • "Absorb" the other PredictorResponseWeightConstraint Instance into the Current One
  • Return the Set of Available Sensitivities (if any)
  • Display the Constraints and the corresponding Weights

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
    PredictorResponseWeightConstraint()
    Empty PredictorResponseWeightConstraint constructor

  • Method Summary

    Modifier and Type Method Description
    boolean absorb​(PredictorResponseWeightConstraint otherPredictorResponseWeightConstraint)
    "Absorb" the other PredictorResponseWeightConstraint Instance into the Current One
    boolean addDResponseWeightDManifestMeasure​(java.lang.String manifestMeasure, double predictor, double dResponseWeightDManifestMeasure)
    Add a Predictor/Response Weight entry to the Linearized Constraint
    boolean addMergeLabel​(LatentStateLabel mergeLatentStateLabel)
    Add a Merging Latent State Label
    boolean addPredictorResponseWeight​(double predictor, double responseWeight)
    Add a Predictor/Response Weight entry to the Linearized Constraint
    void displayString​(java.lang.String comment)
    Display the Constraints and the corresponding Weights
    java.util.TreeMap<java.lang.Double,​java.lang.Double> getDResponseWeightDManifestMeasure​(java.lang.String manifestMeasure)
    Retrieve the Predictor To-From Response Weight Sensitivity Map
    double getDValueDManifestMeasure​(java.lang.String manifestMeasure)
    Retrieve the Constraint Value Sensitivity
    java.util.TreeMap<java.lang.Double,​java.lang.Double> getPredictorResponseWeight()
    Retrieve the Predictor To-From Response Weight Map
    double getValue()
    Retrieve the Constraint Value
    java.util.Set<LatentStateLabel> mergeLabelSet()
    Return the Set of Merged Latent State Labels
    java.util.Set<java.lang.String> sensitivityKeys()
    Return the Set of Available Sensitivities (if any)
    boolean updateDValueDManifestMeasure​(java.lang.String manifestMeasure, double dValueDManifestMeasure)
    Update the Constraint Value Sensitivity
    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

    • PredictorResponseWeightConstraint

      public PredictorResponseWeightConstraint()
      Empty PredictorResponseWeightConstraint constructor

  • Method Details

    • 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

    • addDResponseWeightDManifestMeasure

      public boolean addDResponseWeightDManifestMeasure​(java.lang.String manifestMeasure, double predictor, double dResponseWeightDManifestMeasure)
      Add a Predictor/Response Weight entry to the Linearized Constraint
      Parameters:
      manifestMeasure - The Manifest Measure
      predictor - The Predictor Node
      dResponseWeightDManifestMeasure - The Response Weight-to-Manifest Measure Sensitivity at the Node
      Returns:
      TRUE - Successfully added

    • updateValue

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

    • updateDValueDManifestMeasure

      public boolean updateDValueDManifestMeasure​(java.lang.String manifestMeasure, double dValueDManifestMeasure)
      Update the Constraint Value Sensitivity
      Parameters:
      manifestMeasure - The Manifest Measure
      dValueDManifestMeasure - The Constraint Value Sensitivity Update Increment
      Returns:
      TRUE - This Sensitivity Update Succeeded

    • getValue

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

    • getDValueDManifestMeasure

      public double getDValueDManifestMeasure​(java.lang.String manifestMeasure) throws java.lang.Exception
      Retrieve the Constraint Value Sensitivity
      Parameters:
      manifestMeasure - The Manifest Measure
      Returns:
      The Constraint Value Sensitivity
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

    • addMergeLabel

      public boolean addMergeLabel​(LatentStateLabel mergeLatentStateLabel)
      Add a Merging Latent State Label
      Parameters:
      mergeLatentStateLabel - The Merging Latent State Label
      Returns:
      TRUE - The Latent State Label Successfully Added

    • mergeLabelSet

      public java.util.Set<LatentStateLabel> mergeLabelSet()
      Return the Set of Merged Latent State Labels
      Returns:
      The Set of Merged Latent State Labels

    • 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

    • getDResponseWeightDManifestMeasure

      public java.util.TreeMap<java.lang.Double,​java.lang.Double> getDResponseWeightDManifestMeasure​(java.lang.String manifestMeasure)
      Retrieve the Predictor To-From Response Weight Sensitivity Map
      Parameters:
      manifestMeasure - The Manifest Measure
      Returns:
      The Predictor To-From Response Weight Sensitivity Map

    • absorb

      public boolean absorb​(PredictorResponseWeightConstraint otherPredictorResponseWeightConstraint)
      "Absorb" the other PredictorResponseWeightConstraint Instance into the Current One
      Parameters:
      otherPredictorResponseWeightConstraint - The "Other" PRWC Instance
      Returns:
      TRUE - At least one entry of the "Other" was absorbed

    • sensitivityKeys

      public java.util.Set<java.lang.String> sensitivityKeys()
      Return the Set of Available Sensitivities (if any)
      Returns:
      The Set of Available Sensitivities

    • displayString

      public void displayString​(java.lang.String comment)
      Display the Constraints and the corresponding Weights
      Parameters:
      comment - The Prefix Comment