AggregatedSpan.java

  1. package org.drip.spline.grid;

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

  82. /**
  83.  * <i>AggregatedSpan</i> implements the Span interface. Here response from an array of spans whose responses
  84.  * are aggregated by their weights.
  85.  *
  86.  * <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/SplineBuilderLibrary.md">Spline Builder Library</a></li>
  90.  *      <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>
  91.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spline/grid/README.md">Aggregated/Overlapping Stretch/Span Grids</a></li>
  92.  *  </ul>
  93.  * <br><br>
  94.  *
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class AggregatedSpan implements org.drip.spline.grid.Span {
  99.     private java.util.List<java.lang.Double> _lsWeight = null;
  100.     private java.util.List<org.drip.spline.grid.Span> _lsSpan = null;

  102.     /**
  103.      * AggregatedSpan Constructor
  104.      * 
  105.      * @param lsSpan List of Spans
  106.      * @param lsWeight List of Weights
  107.      * 
  108.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  109.      */

  111.     public AggregatedSpan (
  112.         final java.util.List<org.drip.spline.grid.Span> lsSpan,
  113.         final java.util.List<java.lang.Double> lsWeight)
  114.         throws java.lang.Exception
  115.     {
  116.         if (null == (_lsSpan = lsSpan) || null == (_lsWeight = lsWeight))
  117.             throw new java.lang.Exception ("AggregatedSpan ctr: Invalid Inputs");

  119.         int iNumSpan = _lsSpan.size();

  121.         if (0 == iNumSpan || iNumSpan != _lsWeight.size())
  122.             throw new java.lang.Exception ("AggregatedSpan ctr: Invalid Inputs");

  124.         for (org.drip.spline.grid.Span span : _lsSpan) {
  125.             if (null == span) throw new java.lang.Exception ("AggregatedSpan ctr: Invalid Inputs");
  126.         }
  127.     }

  129.     @Override public boolean addStretch (
  130.         final org.drip.spline.stretch.MultiSegmentSequence mss)
  131.     {
  132.         return false;
  133.     }

  135.     @Override public org.drip.spline.stretch.MultiSegmentSequence getContainingStretch (
  136.         final double dblPredictorOrdinate)
  137.     {
  138.         for (org.drip.spline.grid.Span span : _lsSpan) {
  139.             org.drip.spline.stretch.MultiSegmentSequence mss = span.getContainingStretch
  140.                 (dblPredictorOrdinate);

  142.             if (null != mss) return mss;
  143.         }

  145.         return null;
  146.     }

  148.     @Override public org.drip.spline.stretch.MultiSegmentSequence getStretch (
  149.         final java.lang.String strName)
  150.     {
  151.         if (null == strName || strName.isEmpty()) return null;

  153.         for (org.drip.spline.grid.Span span : _lsSpan) {
  154.             org.drip.spline.stretch.MultiSegmentSequence mss = span.getStretch (strName);

  156.             if (null != mss) return mss;
  157.         }

  159.         return null;
  160.     }

  162.     @Override public double left()
  163.         throws java.lang.Exception
  164.     {
  165.         return _lsSpan.get (0).left();
  166.     }

  168.     @Override public double right()
  169.         throws java.lang.Exception
  170.     {
  171.         return _lsSpan.get (_lsSpan.size() - 1).right();
  172.     }

  174.     @Override public double calcResponseValue (
  175.         final double dblPredictorOrdinate)
  176.         throws java.lang.Exception
  177.     {
  178.         int i = 0;
  179.         double dblResponseValue = 0.;

  181.         for (org.drip.spline.grid.Span span : _lsSpan)
  182.             dblResponseValue += span.calcResponseValue (dblPredictorOrdinate) * _lsWeight.get (i++);

  184.         return dblResponseValue;
  185.     }

  187.     @Override public double calcResponseValueDerivative (
  188.         final double dblPredictorOrdinate,
  189.         final int iOrder)
  190.         throws java.lang.Exception
  191.     {
  192.         int i = 0;
  193.         double dblResponseValueDerivative = 0.;

  195.         for (org.drip.spline.grid.Span span : _lsSpan)
  196.             dblResponseValueDerivative += span.calcResponseValueDerivative (dblPredictorOrdinate,iOrder) *
  197.                 _lsWeight.get (i++);

  199.         return dblResponseValueDerivative;
  200.     }

  202.     @Override public boolean isMergeState (
  203.         final double dblPredictorOrdinate,
  204.         final org.drip.state.identifier.LatentStateLabel lsl)
  205.     {
  206.         for (org.drip.spline.grid.Span span : _lsSpan) {
  207.             if (span.isMergeState (dblPredictorOrdinate, lsl)) return true;
  208.         }

  210.         return false;
  211.     }

  213.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDResponseDManifestMeasure (
  214.         final java.lang.String strManifestMeasure,
  215.         final double dblPredictorOrdinate,
  216.         final int iOrder)
  217.     {
  218.         int i = 0;
  219.         org.drip.numerical.differentiation.WengertJacobian wjAggregate = null;

  221.         for (org.drip.spline.grid.Span span : _lsSpan) {
  222.             org.drip.numerical.differentiation.WengertJacobian wj = span.jackDResponseDManifestMeasure
  223.                 (strManifestMeasure, dblPredictorOrdinate, iOrder);

  225.             if (null == wj) return null;

  227.             if (null == wjAggregate) {
  228.                 if (!(wjAggregate = wj).scale (_lsWeight.get (i++))) return null;
  229.             } else {
  230.                 if (!wjAggregate.cumulativeMerge (wj, _lsWeight.get (i++))) return null;
  231.             }
  232.         }

  234.         return wjAggregate;
  235.     }

  237.     @Override public boolean in (
  238.         final double dblPredictorOrdinate)
  239.         throws java.lang.Exception
  240.     {
  241.         for (org.drip.spline.grid.Span span : _lsSpan) {
  242.             if (span.in (dblPredictorOrdinate)) return true;
  243.         }

  245.         return false;
  246.     }

  248.     @Override public java.lang.String displayString()
  249.     {
  250.         int i = 0;

  252.         java.lang.StringBuffer sb = new java.lang.StringBuffer();

  254.         for (org.drip.spline.grid.Span span : _lsSpan)
  255.             sb.append (span.displayString() + " | " + _lsWeight.get (i++));

  257.         return sb.toString();
  258.     }
  259. }
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