SegmentResponseValueConstraint.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>SegmentResponseValueConstraint</i> holds the following set of fields that characterize a single global
* linear constraint between the predictor and the response variables within a single segment, expressed
* linearly across the constituent nodes. Constraints are expressed as
*
* C = Sigma_j [W_j * y_j] = V where
*
* x_j - Predictor j
* y_j - Response j
* W_j - Weight at ordinate j
* V - Value of the Constraint
*
* SegmentResponseValueConstraint exports the following functionality:
*
* <br><br>
* <ul>
* <li>
* Retrieve the Array of Predictor Ordinates.
* </li>
* <li>
* Retrieve the Array of Response Weights at each Predictor Ordinate.
* </li>
* <li>
* Retrieve the Constraint Value.
* </li>
* <li>
* Convert the Segment Constraint onto Local Predictor Ordinates, the corresponding Response Basis
* Function, and the Shape Controller Realizations.
* </li>
* <li>
* Get the Position of the Predictor Knot relative to the Constraints.
* </li>
* <li>
* Generate a SegmentResponseValueConstraint instance from the given predictor/response pair.
* </li>
* </ul>
*
* SegmentResponseValueConstraint can be viewed as the global response point value transform of
* SegmentBasisFlexureConstraint.
*
* <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 SegmentResponseValueConstraint {
/**
* Indicator specifying that the knot is to the left of the constraint ordinates
*/
public static final int LEFT_OF_CONSTRAINT = 1;
/**
* Indicator specifying that the knot is to the right of the constraint ordinates
*/
public static final int RIGHT_OF_CONSTRAINT = 2;
/**
* Indicator specifying that the knot splits the constraint ordinates
*/
public static final int SPLITS_CONSTRAINT = 4;
private double[] _adblPredictorOrdinate = null;
private double[] _adblResponseValueWeight = null;
private double _dblWeightedResponseValueConstraint = java.lang.Double.NaN;
/**
* Generate a SegmentResponseValueConstraint instance from the given predictor/response pair.
*
* @param dblPredictorOrdinate The Predictor Ordinate
* @param dblResponseValue The Response Value
*
* @return The SegmentResponseValueConstraint instance
*/
public static final SegmentResponseValueConstraint FromPredictorResponsePair (
final double dblPredictorOrdinate,
final double dblResponseValue)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorOrdinate) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblResponseValue))
return null;
try {
return new SegmentResponseValueConstraint (new double[] {dblPredictorOrdinate}, new double[]
{1.}, dblResponseValue);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* SegmentResponseValueConstraint constructor
*
* @param adblPredictorOrdinate The Array of Global Predictor Ordinates
* @param adblResponseValueWeight The Array of the Weights to be applied to the Response at each
* Predictor Ordinate
* @param dblWeightedResponseValueConstraint The Value of the Weighted Response Value Constraint
*
* @throws java.lang.Exception Throws if the Inputs are Invalid
*/
public SegmentResponseValueConstraint (
final double[] adblPredictorOrdinate,
final double[] adblResponseValueWeight,
final double dblWeightedResponseValueConstraint)
throws java.lang.Exception
{
if (null == (_adblPredictorOrdinate = adblPredictorOrdinate) || null == (_adblResponseValueWeight =
adblResponseValueWeight) || !org.drip.numerical.common.NumberUtil.IsValid
(_dblWeightedResponseValueConstraint = dblWeightedResponseValueConstraint))
throw new java.lang.Exception ("SegmentResponseValueConstraint ctr: Invalid Inputs");
int iNumPredictorOrdinate = adblPredictorOrdinate.length;
if (0 == iNumPredictorOrdinate || _adblResponseValueWeight.length != iNumPredictorOrdinate)
throw new java.lang.Exception ("SegmentResponseValueConstraint ctr: Invalid Inputs");
}
/**
* Retrieve the Array of Predictor Ordinates
*
* @return The Array of Predictor Ordinates
*/
public double[] predictorOrdinates()
{
return _adblPredictorOrdinate;
}
/**
* Retrieve the Array of Response Weights at each Predictor Ordinate
*
* @return The Array of Response Weights at each Predictor Ordinate
*/
public double[] responseWeights()
{
return _adblResponseValueWeight;
}
/**
* Retrieve the Constraint Value
*
* @return The Constraint Value
*/
public double constraintValue()
{
return _dblWeightedResponseValueConstraint;
}
public void display (
final java.lang.String strComment)
{
for (int i = 0; i < _adblPredictorOrdinate.length; ++i)
System.out.println ("\t\t" + strComment + " - " + new org.drip.analytics.date.JulianDate ((int)
_adblPredictorOrdinate[i]) + " => " + _adblResponseValueWeight[i]);
System.out.println ("\tConstraint: " + _dblWeightedResponseValueConstraint);
}
/**
* Convert the Segment Constraint onto Local Predictor Ordinates, the corresponding Response Basis
* Function, and the Shape Controller Realizations
*
* @param lbe The Local Basis Evaluator
* @param ics Inelastics transformer to convert coordinate space to Local from Global
*
* @return The Segment Basis Function Constraint
*/
public org.drip.spline.params.SegmentBasisFlexureConstraint responseIndexedBasisConstraint (
final org.drip.spline.segment.BasisEvaluator lbe,
final org.drip.spline.segment.LatentStateInelastic ics)
{
if (null == lbe || null == ics) return null;
int iNumResponseBasis = lbe.numBasis();
int iNumPredictorOrdinate = _adblPredictorOrdinate.length;
double[] adblResponseBasisWeight = new double[iNumResponseBasis];
if (0 == iNumResponseBasis) return null;
try {
for (int i = 0; i < iNumResponseBasis; ++i) {
adblResponseBasisWeight[i] = 0.;
for (int j = 0; j < iNumPredictorOrdinate; ++j)
adblResponseBasisWeight[i] += _adblResponseValueWeight[j] *
lbe.shapedBasisFunctionResponse (_adblPredictorOrdinate[j], i);
}
return new org.drip.spline.params.SegmentBasisFlexureConstraint (adblResponseBasisWeight,
_dblWeightedResponseValueConstraint);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Get the Position of the Predictor Knot relative to the Constraints
*
* @param dblPredictorKnot The Predictor Knot Ordinate
*
* @return Indicator specifying whether the Knot is Left of the constraints, Right of the Constraints, or
* splits the Constraints
*
* @throws java.lang.Exception Thrown if Inputs are invalid
*/
public int knotPosition (
final double dblPredictorKnot)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorKnot))
throw new java.lang.Exception ("SegmentResponseValueConstraint::knotPosition => Invalid Inputs");
if (dblPredictorKnot < _adblPredictorOrdinate[0]) return LEFT_OF_CONSTRAINT;
if (dblPredictorKnot > _adblPredictorOrdinate[_adblPredictorOrdinate.length - 1])
return RIGHT_OF_CONSTRAINT;
return SPLITS_CONSTRAINT;
}
}