OverlappingStretchSpan.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>OverlappingStretchSpan</i> implements the Span interface, and the collection functionality of
  84.  * overlapping Stretches. In addition to providing a custom implementation of all the Span interface stubs,
  85.  * it also converts the Overlapping Stretch Span to a non-overlapping Stretch Span. Overlapping Stretches are
  86.  * clipped from the Left.
  87.  *
  88.  * <br><br>
  89.  *  <ul>
  90.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  91.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/SplineBuilderLibrary.md">Spline Builder Library</a></li>
  92.  *      <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>
  93.  *      <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>
  94.  *  </ul>
  95.  * <br><br>
  96.  *
  97.  * @author Lakshmi Krishnamurthy
  98.  */

  100. public class OverlappingStretchSpan implements org.drip.spline.grid.Span {
  101.     private java.util.List<org.drip.spline.stretch.MultiSegmentSequence> _lsMSS = new
  102.         java.util.ArrayList<org.drip.spline.stretch.MultiSegmentSequence>();

  104.     /**
  105.      * OverlappingStretchSpan constructor
  106.      * 
  107.      * @param mss The Initial Stretch in the Span
  108.      * 
  109.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  110.      */

  112.     public OverlappingStretchSpan (
  113.         final org.drip.spline.stretch.MultiSegmentSequence mss)
  114.         throws java.lang.Exception
  115.     {
  116.         if (null == mss) throw new java.lang.Exception ("OverlappingStretchSpan ctr: Invalid Inputs");

  118.         _lsMSS.add (mss);
  119.     }

  121.     @Override public boolean addStretch (
  122.         final org.drip.spline.stretch.MultiSegmentSequence mss)
  123.     {
  124.         if (null == mss) return false;

  126.         _lsMSS.add (mss);

  128.         return true;
  129.     }

  131.     @Override public org.drip.spline.stretch.MultiSegmentSequence getContainingStretch (
  132.         final double dblPredictorOrdinate)
  133.     {
  134.         if (null == _lsMSS || 0 == _lsMSS.size()) return null;

  136.         for (org.drip.spline.stretch.MultiSegmentSequence mss : _lsMSS) {
  137.             try {
  138.                 if (mss.in (dblPredictorOrdinate)) return mss;
  139.             } catch (java.lang.Exception e) {
  140.                 e.printStackTrace();

  142.                 return null;
  143.             }
  144.         }

  146.         return null;
  147.     }

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

  154.         for (org.drip.spline.stretch.MultiSegmentSequence mss : _lsMSS) {
  155.             if (strName.equalsIgnoreCase (mss.name())) return mss;
  156.         }

  158.         return null;
  159.     }

  161.     @Override public double left()
  162.         throws java.lang.Exception
  163.     {
  164.         if (0 == _lsMSS.size())
  165.             throw new java.lang.Exception ("OverlappingStretchSpan::left => No valid Stretches found");

  167.         return _lsMSS.get (0).getLeftPredictorOrdinateEdge();
  168.     }

  170.     @Override public double right()
  171.         throws java.lang.Exception
  172.     {
  173.         if (0 == _lsMSS.size())
  174.             throw new java.lang.Exception ("OverlappingStretchSpan::right => No valid Stretches found");

  176.         return _lsMSS.get (_lsMSS.size() - 1).getRightPredictorOrdinateEdge();
  177.     }

  179.     @Override public double calcResponseValue (
  180.         final double dblPredictorOrdinate)
  181.         throws java.lang.Exception
  182.     {
  183.         for (org.drip.spline.stretch.MultiSegmentSequence mss : _lsMSS) {
  184.             if (mss.in (dblPredictorOrdinate)) return mss.responseValue (dblPredictorOrdinate);
  185.         }

  187.         throw new java.lang.Exception ("OverlappingStretchSpan::calcResponseValue => Cannot Calculate!");
  188.     }

  190.     @Override public double calcResponseValueDerivative (
  191.         final double dblPredictorOrdinate,
  192.         final int iOrder)
  193.         throws java.lang.Exception
  194.     {
  195.         for (org.drip.spline.stretch.MultiSegmentSequence mss : _lsMSS) {
  196.             if (mss.in (dblPredictorOrdinate))
  197.                 return mss.responseValueDerivative (dblPredictorOrdinate, iOrder);
  198.         }

  200.         throw new java.lang.Exception
  201.             ("OverlappingStretchSpan::calcResponseValueDerivative => Cannot Calculate!");
  202.     }

  204.     @Override public boolean isMergeState (
  205.         final double dblPredictorOrdinate,
  206.         final org.drip.state.identifier.LatentStateLabel lsl)
  207.     {
  208.         try {
  209.             for (org.drip.spline.stretch.MultiSegmentSequence mss : _lsMSS) {
  210.                 if (mss.in (dblPredictorOrdinate)) {
  211.                     org.drip.state.representation.MergeSubStretchManager msm = mss.msm();

  213.                     return null == msm ? false : msm.partOfMergeState (dblPredictorOrdinate, lsl);
  214.                 }
  215.             }
  216.         } catch (java.lang.Exception e) {
  217.             e.printStackTrace();
  218.         }

  220.         return false;
  221.     }

  223.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDResponseDManifestMeasure (
  224.         final java.lang.String strManifestMeasure,
  225.         final double dblPredictorOrdinate,
  226.         final int iOrder)
  227.     {
  228.         if (0 == _lsMSS.size()) return null;

  230.         java.util.List<org.drip.numerical.differentiation.WengertJacobian> lsWJ = new
  231.             java.util.ArrayList<org.drip.numerical.differentiation.WengertJacobian>();

  233.         boolean bPredictorOrdinateCovered = false;

  235.         for (org.drip.spline.stretch.MultiSegmentSequence mss : _lsMSS) {
  236.             if (null == mss) continue;

  238.             try {
  239.                 org.drip.numerical.differentiation.WengertJacobian wj = null;

  241.                 if (!bPredictorOrdinateCovered && mss.in (dblPredictorOrdinate)) {
  242.                     wj = mss.jackDResponseDManifestMeasure (strManifestMeasure, dblPredictorOrdinate,
  243.                         iOrder);

  245.                     bPredictorOrdinateCovered = true;
  246.                 } else
  247.                     wj = new org.drip.numerical.differentiation.WengertJacobian (1, mss.segments().length);

  249.                 if (null != wj) lsWJ.add (wj);
  250.             } catch (java.lang.Exception e) {
  251.                 e.printStackTrace();

  253.                 return null;
  254.             }
  255.         }

  257.         return org.drip.numerical.common.CollectionUtil.AppendWengert (lsWJ);
  258.     }

  260.     @Override public boolean in (
  261.         final double dblPredictorOrdinate)
  262.         throws java.lang.Exception
  263.     {
  264.         for (org.drip.spline.stretch.MultiSegmentSequence mss : _lsMSS) {
  265.             if (mss.in (dblPredictorOrdinate)) return true;
  266.         }

  268.         return false;
  269.     }

  271.     /**
  272.      * Convert the Overlapping Stretch Span to a non-overlapping Stretch Span. Overlapping Stretches are
  273.      *  clipped from the Left.
  274.      *  
  275.      * @return The Non-overlapping Stretch Span Instance
  276.      */

  278.     public org.drip.spline.grid.Span toNonOverlapping()
  279.     {
  280.         if (0 == _lsMSS.size()) return null;

  282.         org.drip.spline.grid.OverlappingStretchSpan oss = null;
  283.         org.drip.spline.stretch.MultiSegmentSequence mssPrev = null;

  285.         for (org.drip.spline.stretch.MultiSegmentSequence mss : _lsMSS) {
  286.             if (null == mss) continue;

  288.             if (null == oss) {
  289.                 try {
  290.                     oss = new org.drip.spline.grid.OverlappingStretchSpan (mssPrev = mss);
  291.                 } catch (java.lang.Exception e) {
  292.                     e.printStackTrace();

  294.                     return null;
  295.                 }
  296.             } else {
  297.                 double dblPrevRightPredictorOrdinateEdge = mssPrev.getRightPredictorOrdinateEdge();

  299.                 double dblCurrentLeftPredictorOrdinateEdge = mss.getLeftPredictorOrdinateEdge();

  301.                 if (dblCurrentLeftPredictorOrdinateEdge >= dblPrevRightPredictorOrdinateEdge)
  302.                     oss.addStretch (mss);
  303.                 else
  304.                     oss.addStretch (mss.clipLeft (mss.name(), dblPrevRightPredictorOrdinateEdge));
  305.             }
  306.         }

  308.         return oss;
  309.     }

  311.     @Override public java.lang.String displayString()
  312.     {
  313.         java.lang.StringBuffer sb = new java.lang.StringBuffer();

  315.         for (org.drip.spline.stretch.MultiSegmentSequence mss : _lsMSS)
  316.             sb.append (mss.name() + " | " + new org.drip.analytics.date.JulianDate ((int)
  317.                 mss.getLeftPredictorOrdinateEdge()) + " => " + new org.drip.analytics.date.JulianDate ((int)
  318.                     mss.getRightPredictorOrdinateEdge()) + "\n");

  320.         return sb.toString();
  321.     }
  322. }
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