Package org.drip.state.inference

Latent State Stretch Sequence Inference
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    LatentStateSegmentSpec
    LatentStateSegmentSpec carries the calibration instrument and the manifest measure set used in calibrating the segment.
    LatentStateSequenceBuilder
    LatentStateSequenceBuilder holds the logic behind building the bootstrap segments contained in the given Stretch.
    LatentStateStretchSpec
    LatentStateStretchSpec carries the Latent State Segment Sequence corresponding to the calibratable Stretch.
    LinearLatentStateCalibrator
    LinearLatentStateCalibrator calibrates/constructs the Latent State Stretch/Span from the calibration instrument details.