AggregatedSpan.java
package org.drip.spline.grid;
/*
* -*- 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
*
* 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>AggregatedSpan</i> implements the Span interface. Here response from an array of spans whose responses
* are aggregated by their weights.
*
* <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/grid/README.md">Aggregated/Overlapping Stretch/Span Grids</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class AggregatedSpan implements org.drip.spline.grid.Span {
private java.util.List<java.lang.Double> _lsWeight = null;
private java.util.List<org.drip.spline.grid.Span> _lsSpan = null;
/**
* AggregatedSpan Constructor
*
* @param lsSpan List of Spans
* @param lsWeight List of Weights
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public AggregatedSpan (
final java.util.List<org.drip.spline.grid.Span> lsSpan,
final java.util.List<java.lang.Double> lsWeight)
throws java.lang.Exception
{
if (null == (_lsSpan = lsSpan) || null == (_lsWeight = lsWeight))
throw new java.lang.Exception ("AggregatedSpan ctr: Invalid Inputs");
int iNumSpan = _lsSpan.size();
if (0 == iNumSpan || iNumSpan != _lsWeight.size())
throw new java.lang.Exception ("AggregatedSpan ctr: Invalid Inputs");
for (org.drip.spline.grid.Span span : _lsSpan) {
if (null == span) throw new java.lang.Exception ("AggregatedSpan ctr: Invalid Inputs");
}
}
@Override public boolean addStretch (
final org.drip.spline.stretch.MultiSegmentSequence mss)
{
return false;
}
@Override public org.drip.spline.stretch.MultiSegmentSequence getContainingStretch (
final double dblPredictorOrdinate)
{
for (org.drip.spline.grid.Span span : _lsSpan) {
org.drip.spline.stretch.MultiSegmentSequence mss = span.getContainingStretch
(dblPredictorOrdinate);
if (null != mss) return mss;
}
return null;
}
@Override public org.drip.spline.stretch.MultiSegmentSequence getStretch (
final java.lang.String strName)
{
if (null == strName || strName.isEmpty()) return null;
for (org.drip.spline.grid.Span span : _lsSpan) {
org.drip.spline.stretch.MultiSegmentSequence mss = span.getStretch (strName);
if (null != mss) return mss;
}
return null;
}
@Override public double left()
throws java.lang.Exception
{
return _lsSpan.get (0).left();
}
@Override public double right()
throws java.lang.Exception
{
return _lsSpan.get (_lsSpan.size() - 1).right();
}
@Override public double calcResponseValue (
final double dblPredictorOrdinate)
throws java.lang.Exception
{
int i = 0;
double dblResponseValue = 0.;
for (org.drip.spline.grid.Span span : _lsSpan)
dblResponseValue += span.calcResponseValue (dblPredictorOrdinate) * _lsWeight.get (i++);
return dblResponseValue;
}
@Override public double calcResponseValueDerivative (
final double dblPredictorOrdinate,
final int iOrder)
throws java.lang.Exception
{
int i = 0;
double dblResponseValueDerivative = 0.;
for (org.drip.spline.grid.Span span : _lsSpan)
dblResponseValueDerivative += span.calcResponseValueDerivative (dblPredictorOrdinate,iOrder) *
_lsWeight.get (i++);
return dblResponseValueDerivative;
}
@Override public boolean isMergeState (
final double dblPredictorOrdinate,
final org.drip.state.identifier.LatentStateLabel lsl)
{
for (org.drip.spline.grid.Span span : _lsSpan) {
if (span.isMergeState (dblPredictorOrdinate, lsl)) return true;
}
return false;
}
@Override public org.drip.numerical.differentiation.WengertJacobian jackDResponseDManifestMeasure (
final java.lang.String strManifestMeasure,
final double dblPredictorOrdinate,
final int iOrder)
{
int i = 0;
org.drip.numerical.differentiation.WengertJacobian wjAggregate = null;
for (org.drip.spline.grid.Span span : _lsSpan) {
org.drip.numerical.differentiation.WengertJacobian wj = span.jackDResponseDManifestMeasure
(strManifestMeasure, dblPredictorOrdinate, iOrder);
if (null == wj) return null;
if (null == wjAggregate) {
if (!(wjAggregate = wj).scale (_lsWeight.get (i++))) return null;
} else {
if (!wjAggregate.cumulativeMerge (wj, _lsWeight.get (i++))) return null;
}
}
return wjAggregate;
}
@Override public boolean in (
final double dblPredictorOrdinate)
throws java.lang.Exception
{
for (org.drip.spline.grid.Span span : _lsSpan) {
if (span.in (dblPredictorOrdinate)) return true;
}
return false;
}
@Override public java.lang.String displayString()
{
int i = 0;
java.lang.StringBuffer sb = new java.lang.StringBuffer();
for (org.drip.spline.grid.Span span : _lsSpan)
sb.append (span.displayString() + " | " + _lsWeight.get (i++));
return sb.toString();
}
}