SegmentPredictorResponseDerivative.java
package org.drip.spline.params;
/*
* -*- 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
* Copyright (C) 2013 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>SegmentPredictorResponseDerivative</i> contains the segment local parameters used for the segment
* calibration. It holds the edge Y value and the derivatives. It exposes the following functions:
*
* <br><br>
* <ul>
* <li>
* Retrieve the Response Value as well as the DResponseDPredictorOrdinate Array.
* </li>
* <li>
* Aggregate the 2 Predictor Ordinate Response Derivatives by applying the Cardinal Tension Weight.
* </li>
* </ul>
*
* <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/params/README.md">Spline Segment Construction Control Parameters</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class SegmentPredictorResponseDerivative {
private double _dblResponseValue = java.lang.Double.NaN;
private double[] _adblDResponseDPredictorOrdinate = null;
/**
* Aggregate the 2 Predictor Ordinate Response Derivatives by applying the Cardinal Tension Weight
*
* @param sprdA Predictor Ordinate Response Derivative A
* @param sprdB Predictor Ordinate Response Derivative B
* @param dblCardinalTension Cardinal Tension
*
* @return The Aggregated Predictor Ordinate Response Derivatives
*/
public static final SegmentPredictorResponseDerivative CardinalEdgeAggregate (
final org.drip.spline.params.SegmentPredictorResponseDerivative sprdA,
final org.drip.spline.params.SegmentPredictorResponseDerivative sprdB,
final double dblCardinalTension)
{
if (null == sprdA || null == sprdB || !org.drip.numerical.common.NumberUtil.IsValid (dblCardinalTension))
return null;
int iNumDeriv = 0;
double[] adblEdgeDResponseDPredictorOrdinateA = sprdA.getDResponseDPredictorOrdinate();
double[] adblEdgeDResponseDPredictorOrdinateB = sprdB.getDResponseDPredictorOrdinate();
if ((null != adblEdgeDResponseDPredictorOrdinateA && null == adblEdgeDResponseDPredictorOrdinateB) ||
(null == adblEdgeDResponseDPredictorOrdinateA && null != adblEdgeDResponseDPredictorOrdinateB) ||
(null != adblEdgeDResponseDPredictorOrdinateA && null != adblEdgeDResponseDPredictorOrdinateB
&& (iNumDeriv = adblEdgeDResponseDPredictorOrdinateA.length) !=
adblEdgeDResponseDPredictorOrdinateB.length))
return null;
double dblAggregatedEdgeResponseValue = 0.5 * (1. - dblCardinalTension) * (sprdA.responseValue() +
sprdB.responseValue());
if (null == adblEdgeDResponseDPredictorOrdinateA || null == adblEdgeDResponseDPredictorOrdinateB || 0
== iNumDeriv) {
try {
return new SegmentPredictorResponseDerivative (dblAggregatedEdgeResponseValue, null);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
double[] adblEdgeDResponseDPredictorOrdinate = new double[iNumDeriv];
for (int i = 0; i < iNumDeriv; ++i)
adblEdgeDResponseDPredictorOrdinate[i] = 0.5 * (1. - dblCardinalTension) *
(adblEdgeDResponseDPredictorOrdinateA[i] + adblEdgeDResponseDPredictorOrdinateB[i]);
try {
return new SegmentPredictorResponseDerivative (dblAggregatedEdgeResponseValue,
adblEdgeDResponseDPredictorOrdinate);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* SegmentPredictorResponseDerivative constructor
*
* @param dblResponseValue Edge Response Value
* @param adblDResponseDPredictorOrdinate Array of ordered Edge Derivatives
*
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public SegmentPredictorResponseDerivative (
final double dblResponseValue,
final double[] adblDResponseDPredictorOrdinate)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblResponseValue = dblResponseValue))
throw new java.lang.Exception ("SegmentPredictorResponseDerivative ctr: Invalid Inputs!");
_adblDResponseDPredictorOrdinate = adblDResponseDPredictorOrdinate;
}
/**
* Retrieve the Response Value
*
* @return The Response Value
*/
public double responseValue()
{
return _dblResponseValue;
}
/**
* Retrieve the DResponseDPredictorOrdinate Array
*
* @return DResponseDPredictorOrdinate Array
*/
public double[] getDResponseDPredictorOrdinate()
{
return _adblDResponseDPredictorOrdinate;
}
}