Package org.drip.state.inference

Class LinearLatentStateCalibrator

java.lang.Object

org.drip.state.estimator.SmoothingCurveStretchParams

org.drip.state.estimator.GlobalControlCurveParams

org.drip.state.inference.LinearLatentStateCalibrator

public class LinearLatentStateCalibrator
extends GlobalControlCurveParams

LinearLatentStateCalibrator calibrates/constructs the Latent State Stretch/Span from the calibration instrument details. The span construction may be customized using specific settings provided in GlobalControlCurveParams. It implements the following Functionality.

• LinearLatentStateCalibrator Constructor
• Calibrate the Span from the Instruments in the Stretches and their Details.

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
LinearLatentStateCalibrator(SegmentCustomBuilderControl segmentCustomBuilderControl, BoundarySettings boundarySettings, int calibrationDetail, StretchBestFitResponse stretchBestFitResponse, StretchBestFitResponse stretchBestFitResponseSensitivity)	LinearLatentStateCalibrator constructor

Method Summary

Modifier and Type	Method	Description
OverlappingStretchSpan	calibrateSpan(LatentStateStretchSpec[] latentStateStretchSpecArray, double epochResponse, ValuationParams valuationParams, CreditPricerParams creditPricerParams, ValuationCustomizationParams valuationCustomizationParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer)	Calibrate the Span from the Instruments in the Stretches and their Details.

Methods inherited from class org.drip.state.estimator.GlobalControlCurveParams

calibrationBoundaryCondition

Methods inherited from class org.drip.state.estimator.SmoothingCurveStretchParams

bestFitWeightedResponse, bestFitWeightedResponseSensitivity, calibrationDetail, defaultSegmentBuilderControl, segmentBuilderControl, setStretchSegmentBuilderControl, smootheningQuantificationMetric

Methods inherited from class java.lang.Object

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

Constructor Details

LinearLatentStateCalibrator

public LinearLatentStateCalibrator(SegmentCustomBuilderControl segmentCustomBuilderControl,
BoundarySettings boundarySettings,
int calibrationDetail,
StretchBestFitResponse stretchBestFitResponse,
StretchBestFitResponse stretchBestFitResponseSensitivity)
                            throws java.lang.Exception

LinearLatentStateCalibrator constructor

Parameters:

segmentCustomBuilderControl - Segment Builder Control Parameters

boundarySettings - The Calibration Boundary Condition

calibrationDetail - The Calibration Detail

stretchBestFitResponse - Curve Fitness Weighted Response

stretchBestFitResponseSensitivity - Curve Fitness Weighted Response Sensitivity

Throws:

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

Method Details

calibrateSpan

public OverlappingStretchSpan calibrateSpan(LatentStateStretchSpec[] latentStateStretchSpecArray,
double epochResponse,
ValuationParams valuationParams,
CreditPricerParams creditPricerParams,
ValuationCustomizationParams valuationCustomizationParams,
CurveSurfaceQuoteContainer curveSurfaceQuoteContainer)

Calibrate the Span from the Instruments in the Stretches and their Details.

Parameters:

latentStateStretchSpecArray - The Stretch Sequence constituting the Span

epochResponse - Segment Sequence Left-most Response Value

valuationParams - Valuation Parameter

creditPricerParams - Pricer Parameter

valuationCustomizationParams - The Valuation Customization Parameters

curveSurfaceQuoteContainer - The Market Parameters Surface and Quote

Returns:

Instance of the Latent State Span