SegmentMonicBasisFunction.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>SegmentMonicBasisFunction</i> implements the local monic B Spline that envelopes the predictor
* ordinates, and the corresponding set of ordinates/basis functions. SegmentMonicBasisFunction uses the
* left/right TensionBasisHat instances to achieve its implementation goals.
*
* <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 SegmentMonicBasisFunction extends org.drip.spline.bspline.SegmentBasisFunction {
private org.drip.spline.bspline.TensionBasisHat _tbhLeft = null;
private org.drip.spline.bspline.TensionBasisHat _tbhRight = null;
/**
* SegmentMonicBasisFunction constructor
*
* @param tbhLeft Left Tension Basis Hat Function
* @param tbhRight Right Tension Basis Hat Function
*
* @throws java.lang.Exception Thrown if Inputs are invalid
*/
public SegmentMonicBasisFunction (
final org.drip.spline.bspline.TensionBasisHat tbhLeft,
final org.drip.spline.bspline.TensionBasisHat tbhRight)
throws java.lang.Exception
{
super (2, tbhLeft.left(), tbhRight.left(), tbhRight.right());
if (null == (_tbhLeft = tbhLeft) || null == (_tbhRight = tbhRight))
throw new java.lang.Exception ("SegmentMonicBasisFunction ctr: Invalid Inputs");
}
@Override public double evaluate (
final double dblPredictorOrdinate)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorOrdinate))
throw new java.lang.Exception ("SegmentMonicBasisFunction::evaluate => Invalid Inputs");
if (dblPredictorOrdinate < leading() || dblPredictorOrdinate > trailing()) return 0.;
return dblPredictorOrdinate < following() ? _tbhLeft.evaluate (dblPredictorOrdinate) :
_tbhRight.evaluate (dblPredictorOrdinate);
}
@Override public double derivative (
final double dblPredictorOrdinate,
final int iOrder)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorOrdinate))
throw new java.lang.Exception ("SegmentMonicBasisFunction::derivative => Invalid Inputs");
if (dblPredictorOrdinate < leading() || dblPredictorOrdinate > trailing()) return 0.;
return dblPredictorOrdinate < following() ? _tbhLeft.derivative (dblPredictorOrdinate, iOrder) :
_tbhRight.derivative (dblPredictorOrdinate, iOrder);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblBegin) || !org.drip.numerical.common.NumberUtil.IsValid
(dblEnd))
throw new java.lang.Exception ("SegmentMonicBasisFunction::integrate => Invalid Inputs");
if (dblBegin >= dblEnd) return 0.;
if (dblBegin <= leading()) {
if (dblEnd <= leading()) return 0.;
if (dblEnd <= following()) return _tbhLeft.integrate (leading(), dblEnd);
if (dblEnd <= trailing())
return _tbhLeft.integrate (leading(), following()) + _tbhRight.integrate (following(),
dblEnd);
return _tbhLeft.integrate (leading(), following()) + _tbhRight.integrate (following(),
trailing());
}
if (dblBegin <= following()) {
if (dblEnd <= following()) return _tbhLeft.integrate (dblBegin, dblEnd);
if (dblEnd <= trailing())
return _tbhLeft.integrate (dblBegin, following()) + _tbhRight.integrate (following(),
dblEnd);
return _tbhLeft.integrate (dblBegin, following()) + _tbhRight.integrate (following(),
trailing());
}
if (dblBegin <= trailing()) {
if (dblEnd <= trailing()) return _tbhRight.integrate (following(), dblEnd);
return _tbhRight.integrate (following(), trailing());
}
return 0.;
}
@Override public double normalizer()
throws java.lang.Exception
{
return _tbhLeft.integrate (leading(), following()) + _tbhRight.integrate (following(), trailing());
}
@Override public double normalizedCumulative (
final double dblPredictorOrdinate)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorOrdinate))
throw new java.lang.Exception
("SegmentMonicBasisFunction::normalizedCumulative => Invalid Inputs");
if (dblPredictorOrdinate <= leading()) return 0.;
if (dblPredictorOrdinate >= trailing()) return 1.;
if (dblPredictorOrdinate <= following())
return _tbhLeft.integrate (leading(), dblPredictorOrdinate) / normalizer();
return (_tbhLeft.integrate (leading(), following()) + _tbhRight.integrate (following(),
dblPredictorOrdinate)) / normalizer();
}
}