SegmentBasisFunction.java
package org.drip.spline.bspline;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>SegmentBasisFunction</i> is the abstract class over which the local ordered envelope functions for the
* B Splines are implemented. It exposes the following stubs:
* <ul>
* <li>
* Retrieve the Order of the B Spline.
* </li>
* <li>
* Retrieve the Leading Predictor Ordinate.
* </li>
* <li>
* Retrieve the Following Predictor Ordinate.
* </li>
* <li>
* Retrieve the Trailing Predictor Ordinate.
* </li>
* <li>
* Compute the complete Envelope Integrand - this will serve as the Envelope Normalizer.
* </li>
* <li>
* Evaluate the Cumulative Normalized Integrand up to the given ordinate.
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/SplineBuilderLibrary.md">Spline Builder Library</a></li>
* <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>
* <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>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public abstract class SegmentBasisFunction extends org.drip.function.definition.R1ToR1 {
private int _iBSplineOrder = -1;
private double _dblLeadingPredictorOrdinate = java.lang.Double.NaN;
private double _dblTrailingPredictorOrdinate = java.lang.Double.NaN;
private double _dblFollowingPredictorOrdinate = java.lang.Double.NaN;
protected SegmentBasisFunction (
final int iBSplineOrder,
final double dblLeadingPredictorOrdinate,
final double dblFollowingPredictorOrdinate,
final double dblTrailingPredictorOrdinate)
throws java.lang.Exception
{
super (null);
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblLeadingPredictorOrdinate =
dblLeadingPredictorOrdinate) || !org.drip.numerical.common.NumberUtil.IsValid
(_dblFollowingPredictorOrdinate = dblFollowingPredictorOrdinate) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblTrailingPredictorOrdinate =
dblTrailingPredictorOrdinate) || _dblLeadingPredictorOrdinate >=
_dblFollowingPredictorOrdinate || _dblFollowingPredictorOrdinate >=
_dblTrailingPredictorOrdinate || 2 > (_iBSplineOrder = iBSplineOrder))
throw new java.lang.Exception ("SegmentBasisFunction ctr: Invalid Inputs");
}
/**
* Retrieve the Order of the B Spline
*
* @return The Order of the B Spline
*/
public int bSplineOrder()
{
return _iBSplineOrder;
}
/**
* Retrieve the Leading Predictor Ordinate
*
* @return The Leading Predictor Ordinate
*/
public double leading()
{
return _dblLeadingPredictorOrdinate;
}
/**
* Retrieve the Following Predictor Ordinate
*
* @return The Following Predictor Ordinate
*/
public double following()
{
return _dblFollowingPredictorOrdinate;
}
/**
* Retrieve the Trailing Predictor Ordinate
*
* @return The Trailing Predictor Ordinate
*/
public double trailing()
{
return _dblTrailingPredictorOrdinate;
}
/**
* Compute the complete Envelope Integrand - this will serve as the Envelope Normalizer.
*
* @return The Complete Envelope Integrand.
*
* @throws java.lang.Exception Thrown if the Complete Envelope Integrand cannot be calculated.
*/
public abstract double normalizer()
throws java.lang.Exception;
/**
* Evaluate the Cumulative Normalized Integrand up to the given ordinate
*
* @param dblPredictorOrdinate The Predictor Ordinate
*
* @return The Cumulative Normalized Integrand up to the given ordinate
*
* @throws java.lang.Exception Thrown if input is invalid
*/
public abstract double normalizedCumulative (
final double dblPredictorOrdinate)
throws java.lang.Exception;
}