BasisHatPairGenerator.java

  1. package org.drip.spline.bspline;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * 
  17.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  18.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  19.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  20.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  21.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  22.  *      and computational support.
  23.  *  
  24.  *      https://lakshmidrip.github.io/DROP/
  25.  *  
  26.  *  DROP is composed of three modules:
  27.  *  
  28.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  29.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  30.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  31.  * 
  32.  *  DROP Product Core implements libraries for the following:
  33.  *  - Fixed Income Analytics
  34.  *  - Loan Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Portfolio Core implements libraries for the following:
  38.  *  - Asset Allocation Analytics
  39.  *  - Asset Liability Management Analytics
  40.  *  - Capital Estimation Analytics
  41.  *  - Exposure Analytics
  42.  *  - Margin Analytics
  43.  *  - XVA Analytics
  44.  * 
  45.  *  DROP Computational Core implements libraries for the following:
  46.  *  - Algorithm Support
  47.  *  - Computation Support
  48.  *  - Function Analysis
  49.  *  - Model Validation
  50.  *  - Numerical Analysis
  51.  *  - Numerical Optimizer
  52.  *  - Spline Builder
  53.  *  - Statistical Learning
  54.  * 
  55.  *  Documentation for DROP is Spread Over:
  56.  * 
  57.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  58.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  59.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  60.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  61.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  62.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  63.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  64.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  65.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  66.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  67.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  68.  * 
  69.  *  Licensed under the Apache License, Version 2.0 (the "License");
  70.  *      you may not use this file except in compliance with the License.
  71.  *   
  72.  *  You may obtain a copy of the License at
  73.  *      http://www.apache.org/licenses/LICENSE-2.0
  74.  *  
  75.  *  Unless required by applicable law or agreed to in writing, software
  76.  *      distributed under the License is distributed on an "AS IS" BASIS,
  77.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  78.  *  
  79.  *  See the License for the specific language governing permissions and
  80.  *      limitations under the License.
  81.  */

  83. /**
  84.  * <i>BasisHatPairGenerator</i> implements the generation functionality behind the hat basis function pair.
  85.  * It provides the following functionality:
  86.  *  <ul>
  87.  *      <li>
  88.  *          Generate the array of the Hyperbolic Phy and Psy Hat Function Pair.
  89.  *      </li>
  90.  *      <li>
  91.  *          Generate the array of the Hyperbolic Phy and Psy Hat Function Pair From their Raw Counterparts.
  92.  *      </li>
  93.  *      <li>
  94.  *      Generate the array of the Cubic Rational Phy and Psy Hat Function Pair From their Raw Counterparts.
  95.  *      </li>
  96.  *      <li>
  97.  *          Generate the array of the Custom Phy and Psy Hat Function Pair From their Raw Counterparts.
  98.  *      </li>
  99.  *  </ul>
  100.  *
  101.  * <br><br>
  102.  *  <ul>
  103.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  104.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/SplineBuilderLibrary.md">Spline Builder Library</a></li>
  105.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spline/README.md">Basis Splines and Linear Compounders across a Broad Family of Spline Basis Functions</a></li>
  106.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spline/bspline/README.md">de Boor Rational/Exponential/Tension B-Splines</a></li>
  107.  *  </ul>
  108.  * <br><br>
  109.  *
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. public class BasisHatPairGenerator {

  115.     /**
  116.      * Raw Tension Hyperbolic B Spline Basis Hat Phy and Psy
  117.      */

  119.     public static final java.lang.String RAW_TENSION_HYPERBOLIC = "RAW_TENSION_HYPERBOLIC";

  121.     /**
  122.      * Processed Tension Hyperbolic B Spline Basis Hat Phy and Psy
  123.      */

  125.     public static final java.lang.String PROCESSED_TENSION_HYPERBOLIC = "PROCESSED_TENSION_HYPERBOLIC";

  127.     /**
  128.      * Processed Cubic Rational B Spline Basis Hat Phy and Psy
  129.      */

  131.     public static final java.lang.String PROCESSED_CUBIC_RATIONAL = "PROCESSED_CUBIC_RATIONAL";

  133.     /**
  134.      * Generate the array of the Hyperbolic Phy and Psy Hat Function Pair
  135.      * 
  136.      * @param dblPredictorOrdinateLeading The Leading Predictor Ordinate
  137.      * @param dblPredictorOrdinateFollowing The Following Predictor Ordinate
  138.      * @param dblPredictorOrdinateTrailing The Trailing Predictor Ordinate
  139.      * @param dblTension Tension
  140.      * 
  141.      * @return The array of Hyperbolic Phy and Psy Hat Function Pair
  142.      */

  144.     public static final org.drip.spline.bspline.TensionBasisHat[] HyperbolicTensionHatPair (
  145.         final double dblPredictorOrdinateLeading,
  146.         final double dblPredictorOrdinateFollowing,
  147.         final double dblPredictorOrdinateTrailing,
  148.         final double dblTension)
  149.     {
  150.         try {
  151.             return new org.drip.spline.bspline.TensionBasisHat[] {new
  152.                 org.drip.spline.bspline.ExponentialTensionLeftHat (dblPredictorOrdinateLeading,
  153.                     dblPredictorOrdinateFollowing, dblTension), new
  154.                         org.drip.spline.bspline.ExponentialTensionRightHat (dblPredictorOrdinateFollowing,
  155.                             dblPredictorOrdinateTrailing, dblTension)};
  156.         } catch (java.lang.Exception e) {
  157.             e.printStackTrace();
  158.         }

  160.         return null;
  161.     }

  163.     /**
  164.      * Generate the array of the Hyperbolic Phy and Psy Hat Function Pair From their Raw Counterparts
  165.      * 
  166.      * @param dblPredictorOrdinateLeading The Leading Predictor Ordinate
  167.      * @param dblPredictorOrdinateFollowing The Following Predictor Ordinate
  168.      * @param dblPredictorOrdinateTrailing The Trailing Predictor Ordinate
  169.      * @param iDerivOrder The Derivative Order
  170.      * @param dblTension Tension
  171.      * 
  172.      * @return The array of Hyperbolic Phy and Psy Hat Function Pair
  173.      */

  175.     public static final org.drip.spline.bspline.TensionBasisHat[] ProcessedHyperbolicTensionHatPair (
  176.         final double dblPredictorOrdinateLeading,
  177.         final double dblPredictorOrdinateFollowing,
  178.         final double dblPredictorOrdinateTrailing,
  179.         final int iDerivOrder,
  180.         final double dblTension)
  181.     {
  182.         try {
  183.             return new org.drip.spline.bspline.TensionBasisHat[] {new
  184.                 org.drip.spline.bspline.TensionProcessedBasisHat (new
  185.                     org.drip.spline.bspline.ExponentialTensionLeftRaw (dblPredictorOrdinateLeading,
  186.                         dblPredictorOrdinateFollowing, dblTension), iDerivOrder), new
  187.                             org.drip.spline.bspline.TensionProcessedBasisHat (new
  188.                                 org.drip.spline.bspline.ExponentialTensionRightRaw
  189.                                     (dblPredictorOrdinateFollowing, dblPredictorOrdinateTrailing,
  190.                                         dblTension), iDerivOrder)};
  191.         } catch (java.lang.Exception e) {
  192.             e.printStackTrace();
  193.         }

  195.         return null;
  196.     }

  198.     /**
  199.      * Generate the array of the Cubic Rational Phy and Psy Hat Function Pair From their Raw Counterparts
  200.      * 
  201.      * @param strShapeControlType Type of the Shape Controller to be used - NONE, LINEAR/QUADRATIC Rational
  202.      * @param dblPredictorOrdinateLeading The Leading Predictor Ordinate
  203.      * @param dblPredictorOrdinateFollowing The Following Predictor Ordinate
  204.      * @param dblPredictorOrdinateTrailing The Trailing Predictor Ordinate
  205.      * @param iDerivOrder The Derivative Order
  206.      * @param dblTension Tension
  207.      * 
  208.      * @return The array of Cubic Rational Phy and Psy Hat Function Pair
  209.      */

  211.     public static final org.drip.spline.bspline.TensionBasisHat[] ProcessedCubicRationalHatPair (
  212.         final java.lang.String strShapeControlType,
  213.         final double dblPredictorOrdinateLeading,
  214.         final double dblPredictorOrdinateFollowing,
  215.         final double dblPredictorOrdinateTrailing,
  216.         final int iDerivOrder,
  217.         final double dblTension)
  218.     {
  219.         try {
  220.             return new org.drip.spline.bspline.TensionBasisHat[] {new
  221.                 org.drip.spline.bspline.TensionProcessedBasisHat (new
  222.                     org.drip.spline.bspline.CubicRationalLeftRaw (dblPredictorOrdinateLeading,
  223.                         dblPredictorOrdinateFollowing, strShapeControlType, dblTension), iDerivOrder), new
  224.                             org.drip.spline.bspline.TensionProcessedBasisHat (new
  225.                                 org.drip.spline.bspline.CubicRationalRightRaw (dblPredictorOrdinateFollowing,
  226.                                     dblPredictorOrdinateTrailing, strShapeControlType, dblTension),
  227.                                         iDerivOrder)};
  228.         } catch (java.lang.Exception e) {
  229.             e.printStackTrace();
  230.         }

  232.         return null;
  233.     }

  235.     /**
  236.      * Generate the array of the Cubic Rational Phy and Psy Hat Function Pair From their Raw Counterparts
  237.      * 
  238.      * @param strHatType The Primitive Hat Type
  239.      * @param strShapeControlType Type of the Shape Controller to be used - NONE, LINEAR/QUADRATIC Rational
  240.      * @param dblPredictorOrdinateLeading The Leading Predictor Ordinate
  241.      * @param dblPredictorOrdinateFollowing The Following Predictor Ordinate
  242.      * @param dblPredictorOrdinateTrailing The Trailing Predictor Ordinate
  243.      * @param iDerivOrder The Derivative Order
  244.      * @param dblTension Tension
  245.      * 
  246.      * @return The array of Cubic Rational Phy and Psy Hat Function Pair
  247.      */

  249.     public static final org.drip.spline.bspline.TensionBasisHat[] GenerateHatPair (
  250.         final java.lang.String strHatType,
  251.         final java.lang.String strShapeControlType,
  252.         final double dblPredictorOrdinateLeading,
  253.         final double dblPredictorOrdinateFollowing,
  254.         final double dblPredictorOrdinateTrailing,
  255.         final int iDerivOrder,
  256.         final double dblTension)
  257.     {
  258.         if (null == strHatType || (!RAW_TENSION_HYPERBOLIC.equalsIgnoreCase (strHatType) &&
  259.             !PROCESSED_TENSION_HYPERBOLIC.equalsIgnoreCase (strHatType) &&
  260.                 !PROCESSED_CUBIC_RATIONAL.equalsIgnoreCase (strHatType)))
  261.                 return null;

  263.         if (org.drip.spline.bspline.BasisHatPairGenerator.RAW_TENSION_HYPERBOLIC.equalsIgnoreCase
  264.             (strHatType))
  265.             return HyperbolicTensionHatPair (dblPredictorOrdinateLeading, dblPredictorOrdinateFollowing,
  266.                 dblPredictorOrdinateTrailing, dblTension);

  268.         if (org.drip.spline.bspline.BasisHatPairGenerator.PROCESSED_TENSION_HYPERBOLIC.equalsIgnoreCase
  269.             (strHatType))
  270.             return ProcessedHyperbolicTensionHatPair (dblPredictorOrdinateLeading,
  271.                 dblPredictorOrdinateFollowing, dblPredictorOrdinateTrailing, iDerivOrder, dblTension);

  273.         return ProcessedCubicRationalHatPair (strShapeControlType, dblPredictorOrdinateLeading,
  274.             dblPredictorOrdinateFollowing, dblPredictorOrdinateTrailing, iDerivOrder, dblTension);
  275.     }
  276. }
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