Package org.drip.state.inference

Class LatentStateSequenceBuilder

java.lang.Object

org.drip.state.inference.LatentStateSequenceBuilder

All Implemented Interfaces:

SegmentSequenceBuilder

public class LatentStateSequenceBuilder
extends java.lang.Object
implements SegmentSequenceBuilder

LatentStateSequenceBuilder holds the logic behind building the bootstrap segments contained in the given Stretch.

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Latent State Stretch Sequence Inference

It extends SegmentSequenceBuilder by implementing/customizing the calibration of the starting as well as the subsequent segments.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor

Description

LatentStateSequenceBuilder(double epochResponse, LatentStateStretchSpec latentStateStretchSpecification, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, Span span, StretchBestFitResponse stretchBestFitResponse, CaseInsensitiveHashMap<PreceedingManifestSensitivityControl> preceedingManifestSensitivityControlMap, StretchBestFitResponse stretchBestFitResponseQuoteSensitivity, BoundarySettings boundarySettings)

LatentStateSequenceBuilder constructor

Method Summary

Modifier and Type	Method	Description
boolean	calibSegmentSequence(int startingSegmentIndex)	Calibrate the Segment Sequence in the Stretch
boolean	calibStartingSegment(double leftSlope)	Calibrate the Starting Segment using the LeftSlope
BoundarySettings	getCalibrationBoundaryCondition()	Retrieve the Calibration Boundary Condition
boolean	manifestMeasureSensitivity(double leftSlopeSensitivity)	Compute the Stretch Manifest Measure Sensitivity Sequence
boolean	setStretch(MultiSegmentSequence multiSegmentSequence)	Set the Stretch whose Segments are to be calibrated

Methods inherited from class java.lang.Object

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

Constructor Details

LatentStateSequenceBuilder

public LatentStateSequenceBuilder(double epochResponse,
LatentStateStretchSpec latentStateStretchSpecification,
ValuationParams valuationParams,
CreditPricerParams creditPricerParams,
CurveSurfaceQuoteContainer curveSurfaceQuoteContainer,
ValuationCustomizationParams valuationCustomizationParams,
Span span,
StretchBestFitResponse stretchBestFitResponse,
CaseInsensitiveHashMap<PreceedingManifestSensitivityControl> preceedingManifestSensitivityControlMap,
StretchBestFitResponse stretchBestFitResponseQuoteSensitivity,
BoundarySettings boundarySettings)
                           throws java.lang.Exception

LatentStateSequenceBuilder constructor

Parameters:

epochResponse - Segment Sequence Left-most Response Value

latentStateStretchSpecification - The Latent State Stretch Specification

valuationParams - Valuation Parameter

creditPricerParams - Credit Pricer Parameter

curveSurfaceQuoteContainer - The Market Parameter Set

valuationCustomizationParams - Valuation Customization Parameters

span - The Containing Span this Stretch will become a part of

stretchBestFitResponse - Stretch Fitness Weighted Response

preceedingManifestSensitivityControlMap - Map of Preceeding Manifest Sensitivity Control Parameters

stretchBestFitResponseQuoteSensitivity - Stretch Fitness Weighted Response Quote Sensitivity

boundarySettings - The Calibration Boundary Condition

Throws:

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

Method Details

setStretch

public boolean setStretch(MultiSegmentSequence multiSegmentSequence)

Description copied from interface: SegmentSequenceBuilder

Set the Stretch whose Segments are to be calibrated

Specified by:

setStretch in interface SegmentSequenceBuilder

Parameters:

multiSegmentSequence - The Stretch that needs to be calibrated

Returns:

TRUE - Stretch successfully set

getCalibrationBoundaryCondition

public BoundarySettings getCalibrationBoundaryCondition()

Description copied from interface: SegmentSequenceBuilder

Retrieve the Calibration Boundary Condition

Specified by:

getCalibrationBoundaryCondition in interface SegmentSequenceBuilder

Returns:

The Calibration Boundary Condition

calibStartingSegment

public boolean calibStartingSegment(double leftSlope)

Description copied from interface: SegmentSequenceBuilder

Calibrate the Starting Segment using the LeftSlope

Specified by:

calibStartingSegment in interface SegmentSequenceBuilder

Parameters:

leftSlope - The Slope

Returns:

TRUE - The Segment was successfully set up.

calibSegmentSequence

public boolean calibSegmentSequence(int startingSegmentIndex)

Description copied from interface: SegmentSequenceBuilder

Calibrate the Segment Sequence in the Stretch

Specified by:

calibSegmentSequence in interface SegmentSequenceBuilder

Parameters:

startingSegmentIndex - The Starting Segment in the Sequence

Returns:

TRUE - The Segment Sequence successfully calibrated

manifestMeasureSensitivity

public boolean manifestMeasureSensitivity(double leftSlopeSensitivity)

Description copied from interface: SegmentSequenceBuilder

Compute the Stretch Manifest Measure Sensitivity Sequence

Specified by:

manifestMeasureSensitivity in interface SegmentSequenceBuilder

Parameters:

leftSlopeSensitivity - The Leading Segment Left Slope Sensitivity

Returns:

TRUE - The Stretch Manifest Measure Sensitivity Sequence successfully computed