WireSurfaceStretch.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>WireSurfaceStretch</i> implements a 2D spline surface stretch. It synthesizes this from an array of 1D
  83.  * Span instances, each of which is referred to as wire spline in this case.
  84.  *
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/SplineBuilderLibrary.md">Spline Builder Library</a></li>
  89.  *      <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>
  90.  *      <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>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class WireSurfaceStretch {
  98.     private org.drip.spline.params.SegmentCustomBuilderControl _scbc = null;
  99.     private java.util.TreeMap<java.lang.Double, org.drip.spline.grid.Span> _mapWireSpan = null;

  101.     /**
  102.      * WireSurfaceStretch Constructor
  103.      * 
  104.      * @param strName Name
  105.      * @param scbc Segment Custom Builder Control Parameters
  106.      * @param mapWireSpan X-mapped Array of Y Basis Spline Wire Spans
  107.      * 
  108.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  109.      */

  111.     public WireSurfaceStretch (
  112.         final java.lang.String strName,
  113.         final org.drip.spline.params.SegmentCustomBuilderControl scbc,
  114.         final java.util.TreeMap<java.lang.Double, org.drip.spline.grid.Span> mapWireSpan)
  115.         throws java.lang.Exception
  116.     {
  117.         if (null == (_mapWireSpan = mapWireSpan) || 0 == _mapWireSpan.size() || null == (_scbc = scbc))
  118.             throw new java.lang.Exception ("WireSurfaceStretch ctr: Invalid Inputs");
  119.     }

  121.     /**
  122.      * Compute the Bivariate Surface Response Value
  123.      * 
  124.      * @param dblX X
  125.      * @param dblY Y
  126.      * 
  127.      * @return The Bivariate Surface Response Value
  128.      * 
  129.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  130.      */

  132.     public double responseValue (
  133.         final double dblX,
  134.         final double dblY)
  135.         throws java.lang.Exception
  136.     {
  137.         int iSize = _mapWireSpan.size();

  139.         int i = 0;
  140.         double[] adblX = new double[iSize];
  141.         double[] adblZ = new double[iSize];
  142.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  143.             org.drip.spline.params.SegmentCustomBuilderControl[iSize - 1];

  145.         for (java.util.Map.Entry<java.lang.Double, org.drip.spline.grid.Span> me : _mapWireSpan.entrySet()) {
  146.             if (null == me)
  147.                 throw new java.lang.Exception ("WireSurfaceStretch::responseValue => Invalid Wire Span Map");

  149.             if (0 != i) aSCBC[i - 1] = _scbc;

  151.             adblX[i] = me.getKey();

  153.             org.drip.spline.grid.Span wireSpan = me.getValue();

  155.             if (null == wireSpan)
  156.                 throw new java.lang.Exception ("WireSurfaceStretch::responseValue => Invalid Wire Span Map");

  158.             double dblLeftY = wireSpan.left();

  160.             double dblRightY = wireSpan.right();

  162.             if (dblY <= dblLeftY)
  163.                 adblZ[i++] = wireSpan.calcResponseValue (dblLeftY);
  164.             else if (dblY >= dblRightY)
  165.                 adblZ[i++] = wireSpan.calcResponseValue (dblRightY);
  166.             else
  167.                 adblZ[i++] = wireSpan.calcResponseValue (dblY);
  168.         }

  170.         org.drip.spline.stretch.MultiSegmentSequence mss =
  171.             org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  172.                 ("org.drip.spline.multidimensional.WireSurfaceStretch@" +
  173.                     org.drip.numerical.common.StringUtil.GUID(), adblX, adblZ, aSCBC, null,
  174.                         org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  175.                             org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);

  177.         if (null == mss)
  178.             throw new java.lang.Exception ("WireSurfaceStretch::responseValue => Cannot extract MSS");

  180.         double dblLeftX = mss.getLeftPredictorOrdinateEdge();

  182.         if (dblX <= dblLeftX) return mss.responseValue (dblLeftX);

  184.         double dblRightX = mss.getRightPredictorOrdinateEdge();

  186.         if (dblX >= dblRightX) return mss.responseValue (dblRightX);

  188.         return mss.responseValue (dblX);
  189.     }

  191.     /**
  192.      * Retrieve the Surface Span Stretch that corresponds to the given Y Anchor
  193.      * 
  194.      * @param dblYAnchor Y Anchor
  195.      * 
  196.      * @return The Surface Span Stretch Instance
  197.      */

  199.     public org.drip.spline.grid.Span wireSpanYAnchor (
  200.         final double dblYAnchor)
  201.     {
  202.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblYAnchor)) return null;

  204.         int iSize = _mapWireSpan.size();

  206.         int i = 0;
  207.         double[] adblX = new double[iSize];
  208.         double[] adblZ = new double[iSize];
  209.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  210.             org.drip.spline.params.SegmentCustomBuilderControl[iSize - 1];

  212.         for (java.util.Map.Entry<java.lang.Double, org.drip.spline.grid.Span> me : _mapWireSpan.entrySet()) {
  213.             if (null == me) return null;

  215.             if (0 != i) aSCBC[i - 1] = _scbc;

  217.             adblX[i] = me.getKey();

  219.             org.drip.spline.grid.Span wireSpan = me.getValue();

  221.             if (null == wireSpan) return null;

  223.             try {
  224.                 double dblLeftY = wireSpan.left();

  226.                 double dblRightY = wireSpan.right();

  228.                 if (dblYAnchor <= dblLeftY)
  229.                     adblZ[i++] = wireSpan.calcResponseValue (dblLeftY);
  230.                 else if (dblYAnchor >= dblRightY)
  231.                     adblZ[i++] = wireSpan.calcResponseValue (dblRightY);
  232.                 else
  233.                     adblZ[i++] = wireSpan.calcResponseValue (dblYAnchor);
  234.             } catch (java.lang.Exception e) {
  235.                 e.printStackTrace();

  237.                 return null;
  238.             }
  239.         }

  241.         try {
  242.             return new org.drip.spline.grid.OverlappingStretchSpan
  243.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  244.                     ("org.drip.spline.multidimensional.WireSurfaceStretch@" +
  245.                         org.drip.numerical.common.StringUtil.GUID(), adblX, adblZ, aSCBC, null,
  246.                             org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  247.                                 org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE));
  248.         } catch (java.lang.Exception e) {
  249.             e.printStackTrace();
  250.         }

  252.         return null;
  253.     }

  255.     /**
  256.      * Retrieve the Surface Span Stretch that corresponds to the given X Anchor
  257.      * 
  258.      * @param dblXAnchor X Anchor
  259.      * 
  260.      * @return The Surface Span Stretch Instance
  261.      */

  263.     public org.drip.spline.grid.Span wireSpanXAnchor (
  264.         final double dblXAnchor)
  265.     {
  266.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblXAnchor)) return null;

  268.         org.drip.spline.grid.Span spanPrev = null;
  269.         org.drip.spline.grid.Span spanCurrent = null;
  270.         double dblXAnchorPrev = java.lang.Double.NaN;
  271.         double dblXAnchorCurrent = java.lang.Double.NaN;

  273.         for (java.util.Map.Entry<java.lang.Double, org.drip.spline.grid.Span> me : _mapWireSpan.entrySet()) {
  274.             if (null == me) return null;

  276.             dblXAnchorCurrent = me.getKey();

  278.             spanCurrent = me.getValue();

  280.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblXAnchorPrev)) {
  281.                 if (dblXAnchor <= (dblXAnchorPrev = dblXAnchorCurrent)) return spanCurrent;

  283.                 spanPrev = spanCurrent;
  284.                 continue;
  285.             }

  287.             if (dblXAnchor > dblXAnchorPrev && dblXAnchor <= dblXAnchorCurrent) {
  288.                 double dblLeftWeight = (dblXAnchorCurrent - dblXAnchor) / (dblXAnchorCurrent -
  289.                     dblXAnchorPrev);

  291.                 java.util.List<java.lang.Double> lsWeight = new java.util.ArrayList<java.lang.Double>();

  293.                 java.util.List<org.drip.spline.grid.Span> lsSpan = new
  294.                     java.util.ArrayList<org.drip.spline.grid.Span>();

  296.                 lsSpan.add (spanPrev);

  298.                 lsSpan.add (spanCurrent);

  300.                 lsWeight.add (dblLeftWeight);

  302.                 lsWeight.add (1. - dblLeftWeight);

  304.                 try {
  305.                     return new org.drip.spline.grid.AggregatedSpan (lsSpan, lsWeight);
  306.                 } catch (java.lang.Exception e) {
  307.                     e.printStackTrace();

  309.                     return null;
  310.                 }
  311.             }

  313.             spanPrev = spanCurrent;
  314.             dblXAnchorPrev = dblXAnchorCurrent;
  315.         }

  317.         return spanCurrent;
  318.     }
  319. }
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