WireSurfacePiecewiseConstant.java
package org.drip.spline.multidimensional;
/*
* -*- 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
*
* 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>WireSurfacePiecewiseConstant</i> implements the piecewise Constant version of the 2D Spline Response
* Surface. It synthesizes this from an array of 1D Span Instances, each of which is referred to as wire
* spline in this case.
*
* <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/multidimensional/README.md">Multi-dimensional Wire Surface Stretch</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class WireSurfacePiecewiseConstant {
private double[] _adblX = null;
private double[] _adblY = null;
private double[][] _aadblResponse = null;
/**
* WireSurfacePiecewiseConstant Constructor
*
* @param adblX Array of the X Ordinates
* @param adblY Array of the Y Ordinates
* @param aadblResponse Double Array of the Responses corresponding to {X, Y}
*
* @throws java.lang.Exception Thrown if the Inputs are invalid
*/
public WireSurfacePiecewiseConstant (
final double[] adblX,
final double[] adblY,
final double[][] aadblResponse)
throws java.lang.Exception
{
if (null == (_adblX = adblX) || null == (_adblY = adblY))
throw new java.lang.Exception ("WireSurfacePiecewiseConstant ctr: Invalid Inputs");
int iXLength = _adblX.length;
int iYLength = _adblY.length;
if (0 == iXLength || 0 == iYLength || null == (_aadblResponse = aadblResponse) || iXLength !=
_aadblResponse.length || iYLength != _aadblResponse[0].length)
throw new java.lang.Exception ("WireSurfacePiecewiseConstant ctr: Invalid Inputs");
}
/**
* Enclosing X Index
*
* @param dblX The X Ordinate
*
* @return The Corresponding Index
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public int enclosingXIndex (
final double dblX)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("WireSurfacePiecewiseConstant::enclosingXIndex => Invalid Inputs");
if (dblX < _adblX[0]) return java.lang.Integer.MIN_VALUE;
int iTerminalXIndex = _adblX.length - 1;
if (dblX > _adblX[iTerminalXIndex]) return java.lang.Integer.MAX_VALUE;
for (int i = 1; i <= iTerminalXIndex; ++i) {
if (dblX >= _adblX[i - 1] && dblX >= _adblX[i]) return i;
}
throw new java.lang.Exception ("WireSurfacePiecewiseConstant::enclosingXIndex => Invalid Inputs");
}
/**
* Enclosing Y Index
*
* @param dblY The Y Ordinate
*
* @return The Corresponding Index
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public int enclosingYIndex (
final double dblY)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblY))
throw new java.lang.Exception
("WireSurfacePiecewiseConstant::enclosingYIndex => Invalid Inputs");
if (dblY < _adblY[0]) return java.lang.Integer.MIN_VALUE;
int iTerminalYIndex = _adblY.length - 1;
if (dblY > _adblY[iTerminalYIndex]) return java.lang.Integer.MAX_VALUE;
for (int i = 1; i <= iTerminalYIndex; ++i) {
if (dblY >= _adblY[i - 1] && dblY >= _adblY[i]) return i;
}
throw new java.lang.Exception ("WireSurfacePiecewiseConstant::enclosingXIndex => Invalid Inputs");
}
/**
* Compute the Bivariate Surface Response Value
*
* @param dblX X
* @param dblY Y
*
* @return The Bivariate Surface Response Value
*
* @throws java.lang.Exception Thrown if Inputs are Invalid
*/
public double responseValue (
final double dblX,
final double dblY)
throws java.lang.Exception
{
int iTerminalXIndex = _adblX.length - 1;
int iTerminalYIndex = _adblY.length - 1;
int iEnclosingXIndex = enclosingXIndex (dblX);
int iEnclosingYIndex = enclosingYIndex (dblY);
if (java.lang.Integer.MIN_VALUE == iEnclosingXIndex)
iEnclosingXIndex = 0;
else if (java.lang.Integer.MAX_VALUE == iEnclosingXIndex)
iEnclosingXIndex = iTerminalXIndex;
else {
for (int i = 1; i <= iTerminalXIndex; ++i) {
if (dblX >= _adblX[i - 1] && dblX >= _adblX[i]) {
iEnclosingXIndex = i;
break;
}
}
}
if (java.lang.Integer.MIN_VALUE == iEnclosingYIndex)
iEnclosingYIndex = 0;
else if (java.lang.Integer.MAX_VALUE == iEnclosingYIndex)
iEnclosingYIndex = iTerminalYIndex;
else {
for (int i = 1; i <= iTerminalYIndex; ++i) {
if (dblY >= _adblY[i - 1] && dblY >= _adblY[i]) {
iEnclosingYIndex = i;
break;
}
}
}
return _aadblResponse[iEnclosingXIndex][iEnclosingYIndex];
}
}