SegmentBasisFunctionGenerator.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>SegmentBasisFunctionGenerator</i> generates B Spline Functions of different order. It provides the
* following functionality:
* <ul>
* <li>
* Create a Tension Monic B Spline Basis Function.
* </li>
* <li>
* Construct a Sequence of Monic Basis Functions.
* </li>
* <li>
* Create a sequence of B Splines of the specified order from the given inputs.
* </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 class SegmentBasisFunctionGenerator {
/**
* Create a Tension Monic B Spline Basis Function
*
* @param strHatType The Primitive Hat Type
* @param strShapeControlType Type of the Shape Controller to be used - NONE, LINEAR/QUADRATIC Rational
* @param adblPredictorOrdinate Array of Predictor Ordinates
* @param iDerivOrder The Derivative Order
* @param dblTension Tension
*
* @return The Tension Monic B Spline Basis Function Instance
*/
public static final org.drip.spline.bspline.SegmentBasisFunction Monic (
final java.lang.String strHatType,
final java.lang.String strShapeControlType,
final double[] adblPredictorOrdinate,
final int iDerivOrder,
final double dblTension)
{
org.drip.spline.bspline.TensionBasisHat[] aTBH =
org.drip.spline.bspline.BasisHatPairGenerator.GenerateHatPair (strHatType, strShapeControlType,
adblPredictorOrdinate[0], adblPredictorOrdinate[1], adblPredictorOrdinate[2], iDerivOrder,
dblTension);
if (null == aTBH || 2 != aTBH.length) return null;
try {
return new org.drip.spline.bspline.SegmentMonicBasisFunction (aTBH[0], aTBH[1]);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Construct a Sequence of Monic Basis Functions
*
* @param strHatType The Primitive Hat Type
* @param strShapeControlType Type of the Shape Controller to be used - NONE, LINEAR/QUADRATIC Rational
* @param adblPredictorOrdinate Array of Predictor Ordinates
* @param iDerivOrder The Derivative Order
* @param dblTension Tension
*
* @return Sequence of Tension Monic B Spline Basis Functions
*/
public static final org.drip.spline.bspline.SegmentBasisFunction[] MonicSequence (
final java.lang.String strHatType,
final java.lang.String strShapeControlType,
final double[] adblPredictorOrdinate,
final int iDerivOrder,
final double dblTension)
{
if (null == adblPredictorOrdinate) return null;
int iNumMonic = adblPredictorOrdinate.length - 2;
org.drip.spline.bspline.SegmentBasisFunction[] aSBFMonic = new
org.drip.spline.bspline.SegmentBasisFunction[iNumMonic];
if (0 >= iNumMonic) return null;
for (int i = 0; i < iNumMonic; ++i) {
TensionBasisHat[] aTBH = BasisHatPairGenerator.GenerateHatPair (strHatType, strShapeControlType,
adblPredictorOrdinate[i], adblPredictorOrdinate[i + 1], adblPredictorOrdinate[i + 2],
iDerivOrder, dblTension);
if (null == aTBH || 2 != aTBH.length) return null;
try {
aSBFMonic[i] = new org.drip.spline.bspline.SegmentMonicBasisFunction (aTBH[0], aTBH[1]);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return aSBFMonic;
}
/**
* Create a sequence of B Splines of the specified order from the given inputs.
*
* @param iTargetBSplineOrder Desired B Spline Order
* @param aSBFPrev Array of Segment Basis Functions
*
* @return The sequence of B Splines of the specified order.
*/
public static final org.drip.spline.bspline.SegmentBasisFunction[] MulticSequence (
final int iTargetBSplineOrder,
final org.drip.spline.bspline.SegmentBasisFunction[] aSBFPrev)
{
if (2 >= iTargetBSplineOrder || null == aSBFPrev) return null;
int iNumSBF = aSBFPrev.length - 1;
org.drip.spline.bspline.SegmentBasisFunction[] aSBF = new
org.drip.spline.bspline.SegmentBasisFunction[iNumSBF];
if (1 > iNumSBF) return null;
for (int i = 0; i < iNumSBF; ++i) {
try {
aSBF[i] = new org.drip.spline.bspline.SegmentMulticBasisFunction (aSBFPrev[i],
aSBFPrev[i + 1]);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return iTargetBSplineOrder == aSBF[0].bSplineOrder() ? aSBF : MulticSequence (iTargetBSplineOrder,
aSBF);
}
}