WireSurfacePiecewiseConstant.java

  1. package org.drip.spline.multidimensional;

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

  81. /**
  82.  * <i>WireSurfacePiecewiseConstant</i> implements the piecewise Constant version of the 2D Spline Response
  83.  * Surface. It synthesizes this from an array of 1D Span Instances, each of which is referred to as wire
  84.  * spline in this case.
  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/multidimensional/README.md">Multi-dimensional Wire Surface Stretch</a></li>
  92.  *  </ul>
  93.  * <br><br>
  94.  *
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class WireSurfacePiecewiseConstant {
  99.     private double[] _adblX = null;
  100.     private double[] _adblY = null;
  101.     private double[][] _aadblResponse = null;

  103.     /**
  104.      * WireSurfacePiecewiseConstant Constructor
  105.      * 
  106.      * @param adblX Array of the X Ordinates
  107.      * @param adblY Array of the Y Ordinates
  108.      * @param aadblResponse Double Array of the Responses corresponding to {X, Y}
  109.      * 
  110.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  111.      */

  113.     public WireSurfacePiecewiseConstant (
  114.         final double[] adblX,
  115.         final double[] adblY,
  116.         final double[][] aadblResponse)
  117.         throws java.lang.Exception
  118.     {
  119.         if (null == (_adblX = adblX) || null == (_adblY = adblY))
  120.             throw new java.lang.Exception ("WireSurfacePiecewiseConstant ctr: Invalid Inputs");

  122.         int iXLength = _adblX.length;
  123.         int iYLength = _adblY.length;

  125.         if (0 == iXLength || 0 == iYLength || null == (_aadblResponse = aadblResponse) || iXLength !=
  126.             _aadblResponse.length || iYLength != _aadblResponse[0].length)
  127.             throw new java.lang.Exception ("WireSurfacePiecewiseConstant ctr: Invalid Inputs");
  128.     }

  130.     /**
  131.      * Enclosing X Index
  132.      * 
  133.      * @param dblX The X Ordinate
  134.      * 
  135.      * @return The Corresponding Index
  136.      * 
  137.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  138.      */

  140.     public int enclosingXIndex (
  141.         final double dblX)
  142.         throws java.lang.Exception
  143.     {
  144.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
  145.             throw new java.lang.Exception
  146.                 ("WireSurfacePiecewiseConstant::enclosingXIndex => Invalid Inputs");

  148.         if (dblX < _adblX[0]) return java.lang.Integer.MIN_VALUE;

  150.         int iTerminalXIndex = _adblX.length - 1;

  152.         if (dblX > _adblX[iTerminalXIndex]) return java.lang.Integer.MAX_VALUE;

  154.         for (int i = 1; i <= iTerminalXIndex; ++i) {
  155.             if (dblX >= _adblX[i - 1] && dblX >= _adblX[i]) return i;
  156.         }

  158.         throw new java.lang.Exception ("WireSurfacePiecewiseConstant::enclosingXIndex => Invalid Inputs");
  159.     }

  161.     /**
  162.      * Enclosing Y Index
  163.      * 
  164.      * @param dblY The Y Ordinate
  165.      * 
  166.      * @return The Corresponding Index
  167.      * 
  168.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  169.      */

  171.     public int enclosingYIndex (
  172.         final double dblY)
  173.         throws java.lang.Exception
  174.     {
  175.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblY))
  176.             throw new java.lang.Exception
  177.                 ("WireSurfacePiecewiseConstant::enclosingYIndex => Invalid Inputs");

  179.         if (dblY < _adblY[0]) return java.lang.Integer.MIN_VALUE;

  181.         int iTerminalYIndex = _adblY.length - 1;

  183.         if (dblY > _adblY[iTerminalYIndex]) return java.lang.Integer.MAX_VALUE;

  185.         for (int i = 1; i <= iTerminalYIndex; ++i) {
  186.             if (dblY >= _adblY[i - 1] && dblY >= _adblY[i]) return i;
  187.         }

  189.         throw new java.lang.Exception ("WireSurfacePiecewiseConstant::enclosingXIndex => Invalid Inputs");
  190.     }

  192.     /**
  193.      * Compute the Bivariate Surface Response Value
  194.      * 
  195.      * @param dblX X
  196.      * @param dblY Y
  197.      * 
  198.      * @return The Bivariate Surface Response Value
  199.      * 
  200.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  201.      */

  203.     public double responseValue (
  204.         final double dblX,
  205.         final double dblY)
  206.         throws java.lang.Exception
  207.     {
  208.         int iTerminalXIndex = _adblX.length - 1;
  209.         int iTerminalYIndex = _adblY.length - 1;

  211.         int iEnclosingXIndex = enclosingXIndex (dblX);

  213.         int iEnclosingYIndex = enclosingYIndex (dblY);

  215.         if (java.lang.Integer.MIN_VALUE == iEnclosingXIndex)
  216.             iEnclosingXIndex = 0;
  217.         else if (java.lang.Integer.MAX_VALUE == iEnclosingXIndex)
  218.             iEnclosingXIndex = iTerminalXIndex;
  219.         else {
  220.             for (int i = 1; i <= iTerminalXIndex; ++i) {
  221.                 if (dblX >= _adblX[i - 1] && dblX >= _adblX[i]) {
  222.                     iEnclosingXIndex = i;
  223.                     break;
  224.                 }
  225.             }
  226.         }

  228.         if (java.lang.Integer.MIN_VALUE == iEnclosingYIndex)
  229.             iEnclosingYIndex = 0;
  230.         else if (java.lang.Integer.MAX_VALUE == iEnclosingYIndex)
  231.             iEnclosingYIndex = iTerminalYIndex;
  232.         else {
  233.             for (int i = 1; i <= iTerminalYIndex; ++i) {
  234.                 if (dblY >= _adblY[i - 1] && dblY >= _adblY[i]) {
  235.                     iEnclosingYIndex = i;
  236.                     break;
  237.                 }
  238.             }
  239.         }

  241.         return _aadblResponse[iEnclosingXIndex][iEnclosingYIndex];
  242.     }
  243. }
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