LocalControlStretchBuilder.java

  1. package org.drip.spline.pchip;

  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.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * 
  17.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  18.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  19.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  20.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  21.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  22.  *      and computational support.
  23.  *  
  24.  *      https://lakshmidrip.github.io/DROP/
  25.  *  
  26.  *  DROP is composed of three modules:
  27.  *  
  28.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  29.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  30.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  31.  * 
  32.  *  DROP Product Core implements libraries for the following:
  33.  *  - Fixed Income Analytics
  34.  *  - Loan Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Portfolio Core implements libraries for the following:
  38.  *  - Asset Allocation Analytics
  39.  *  - Asset Liability Management Analytics
  40.  *  - Capital Estimation Analytics
  41.  *  - Exposure Analytics
  42.  *  - Margin Analytics
  43.  *  - XVA Analytics
  44.  * 
  45.  *  DROP Computational Core implements libraries for the following:
  46.  *  - Algorithm Support
  47.  *  - Computation Support
  48.  *  - Function Analysis
  49.  *  - Model Validation
  50.  *  - Numerical Analysis
  51.  *  - Numerical Optimizer
  52.  *  - Spline Builder
  53.  *  - Statistical Learning
  54.  * 
  55.  *  Documentation for DROP is Spread Over:
  56.  * 
  57.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  58.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  59.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  60.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  61.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  62.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  63.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  64.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  65.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  66.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  67.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  68.  * 
  69.  *  Licensed under the Apache License, Version 2.0 (the "License");
  70.  *      you may not use this file except in compliance with the License.
  71.  *   
  72.  *  You may obtain a copy of the License at
  73.  *      http://www.apache.org/licenses/LICENSE-2.0
  74.  *  
  75.  *  Unless required by applicable law or agreed to in writing, software
  76.  *      distributed under the License is distributed on an "AS IS" BASIS,
  77.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  78.  *  
  79.  *  See the License for the specific language governing permissions and
  80.  *      limitations under the License.
  81.  */

  83. /**
  84.  * <i>LocalControlStretchBuilder</i> exports Stretch creation/calibration methods to generate customized
  85.  * basis splines, with customized segment behavior using the segment control. It provides the following
  86.  * local-control functionality:
  87.  *
  88.  * <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response
  92.  *              Values, the Custom Slopes, and the Segment Builder Parameters
  93.  *      </li>
  94.  *      <li>
  95.  *          Create Hermite/Bessel C1 Cubic Spline Stretch
  96.  *      </li>
  97.  *      <li>
  98.  *          Create Hyman (1983) Monotone Preserving Stretch
  99.  *      </li>
  100.  *      <li>
  101.  *          Create Hyman (1989) enhancement to the Hyman (1983) Monotone Preserving Stretch
  102.  *      </li>
  103.  *      <li>
  104.  *          Create the Harmonic Monotone Preserving Stretch
  105.  *      </li>
  106.  *      <li>
  107.  *          Create the Van Leer Limiter Stretch
  108.  *      </li>
  109.  *      <li>
  110.  *          Create the Huynh Le Floch Limiter Stretch
  111.  *      </li>
  112.  *      <li>
  113.  *          Generate the local control C1 Slope using the Akima Cubic Algorithm
  114.  *      </li>
  115.  *      <li>
  116.  *          Generate the local control C1 Slope using the Hagan-West Monotone Convex Algorithm
  117.  *      </li>
  118.  *  </ul>
  119.  *
  120.  * <br><br>
  121.  *  <ul>
  122.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  123.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/SplineBuilderLibrary.md">Spline Builder Library</a></li>
  124.  *      <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>
  125.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spline/pchip/README.md">Monotone Convex Themed PCHIP Splines</a></li>
  126.  *  </ul>
  127.  * <br><br>
  128.  *
  129.  * @author Lakshmi Krishnamurthy
  130.  */

  132. public class LocalControlStretchBuilder {

  134.     /**
  135.      * Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response
  136.      *  Values, the Custom Slopes, and the Segment Builder Parameters.
  137.      * 
  138.      * @param strName Stretch Name
  139.      * @param adblPredictorOrdinate Array of Predictor Ordinates
  140.      * @param adblResponseValue Array of Response Values
  141.      * @param adblCustomSlope Array of Custom Slopes
  142.      * @param aSCBC Array of Segment Builder Parameters
  143.      * @param sbfr Stretch Fitness Weighted Response
  144.      * @param iSetupMode Calibration Set up Mode NATURAL | FINANCIAL | FLOATING | NOTAKNOT
  145.      * 
  146.      * @return The Instance of the Hermite Spline Stretch
  147.      */

  149.     public static final org.drip.spline.stretch.MultiSegmentSequence CustomSlopeHermiteSpline (
  150.         final java.lang.String strName,
  151.         final double[] adblPredictorOrdinate,
  152.         final double[] adblResponseValue,
  153.         final double[] adblCustomSlope,
  154.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  155.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  156.         final int iSetupMode)
  157.     {
  158.         org.drip.spline.stretch.MultiSegmentSequence msr =
  159.             org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateUncalibratedStretchEstimator (strName,
  160.                 adblPredictorOrdinate, aSCBC);

  162.         if (null == msr || null == adblResponseValue || null == adblCustomSlope) return null;

  164.         int iNumResponseValue = adblResponseValue.length;
  165.         org.drip.spline.params.SegmentPredictorResponseDerivative[] aSPRDLeft = new
  166.             org.drip.spline.params.SegmentPredictorResponseDerivative[iNumResponseValue - 1];
  167.         org.drip.spline.params.SegmentPredictorResponseDerivative[] aSPRDRight = new
  168.             org.drip.spline.params.SegmentPredictorResponseDerivative[iNumResponseValue - 1];

  170.         if (1 >= iNumResponseValue || adblPredictorOrdinate.length != iNumResponseValue ||
  171.             adblCustomSlope.length != iNumResponseValue)
  172.             return null;

  174.         for (int i = 0; i < iNumResponseValue; ++i) {
  175.             org.drip.spline.params.SegmentPredictorResponseDerivative sprd = null;

  177.             try {
  178.                 sprd = new org.drip.spline.params.SegmentPredictorResponseDerivative (adblResponseValue[i],
  179.                     new double[] {adblCustomSlope[i]});
  180.             } catch (java.lang.Exception e) {
  181.                 e.printStackTrace();

  183.                 return null;
  184.             }

  186.             if (0 == i)
  187.                 aSPRDLeft[i] = sprd;
  188.             else if (iNumResponseValue - 1 == i)
  189.                 aSPRDRight[i - 1] = sprd;
  190.             else {
  191.                 aSPRDLeft[i] = sprd;
  192.                 aSPRDRight[i - 1] = sprd;
  193.             }
  194.         }

  196.         return msr.setupHermite (aSPRDLeft, aSPRDRight, null, sbfr, iSetupMode) ? msr : null;
  197.     }

  199.     /**
  200.      * Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response
  201.      *  Values, the Custom Slopes, and the Segment Builder Parameters.
  202.      * 
  203.      * @param strName Stretch Name
  204.      * @param aiPredictorOrdinate Array of Predictor Ordinates
  205.      * @param adblResponseValue Array of Response Values
  206.      * @param adblCustomSlope Array of Custom Slopes
  207.      * @param aSCBC Array of Segment Builder Parameters
  208.      * @param sbfr Stretch Fitness Weighted Response
  209.      * @param iSetupMode Calibration Set up Mode NATURAL | FINANCIAL | FLOATING | NOTAKNOT
  210.      * 
  211.      * @return The Instance of the Hermite Spline Stretch
  212.      */

  214.     public static final org.drip.spline.stretch.MultiSegmentSequence CustomSlopeHermiteSpline (
  215.         final java.lang.String strName,
  216.         final int[] aiPredictorOrdinate,
  217.         final double[] adblResponseValue,
  218.         final double[] adblCustomSlope,
  219.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  220.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  221.         final int iSetupMode)
  222.     {
  223.         if (null == aiPredictorOrdinate) return null;

  225.         int iNumPredictorOrdinate = aiPredictorOrdinate.length;
  226.         double[] adblPredictorOrdinate = new double[iNumPredictorOrdinate];

  228.         if (0 == iNumPredictorOrdinate) return null;

  230.         for (int i = 0; i < iNumPredictorOrdinate; ++i)
  231.             adblPredictorOrdinate[i] = aiPredictorOrdinate[i];

  233.         return CustomSlopeHermiteSpline (strName, adblPredictorOrdinate, adblResponseValue, adblCustomSlope,
  234.             aSCBC, sbfr, iSetupMode);
  235.     }

  237.     /**
  238.      * Create Hermite/Bessel C1 Cubic Spline Stretch
  239.      * 
  240.      * @param strName Stretch Name
  241.      * @param adblPredictorOrdinate Array of Predictor Ordinates
  242.      * @param adblResponseValue Array of Response Values
  243.      * @param aSCBC Array of Segment Builder Parameters
  244.      * @param sbfr Stretch Fitness Weighted Response
  245.      * @param iSetupMode Segment Setup Mode
  246.      * @param bEliminateSpuriousExtrema TRUE - Eliminate Spurious Extrema
  247.      * @param bApplyMonotoneFilter TRUE - Apply Monotone Filter
  248.      * 
  249.      * @return Hermite/Bessel C1 Cubic Spline Stretch
  250.      */

  252.     public static final org.drip.spline.stretch.MultiSegmentSequence CreateBesselCubicSplineStretch (
  253.         final java.lang.String strName,
  254.         final double[] adblPredictorOrdinate,
  255.         final double[] adblResponseValue,
  256.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  257.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  258.         final int iSetupMode,
  259.         final boolean bEliminateSpuriousExtrema,
  260.         final boolean bApplyMonotoneFilter)
  261.     {
  262.         org.drip.spline.pchip.LocalMonotoneCkGenerator lmcg =
  263.             org.drip.spline.pchip.LocalMonotoneCkGenerator.Create (adblPredictorOrdinate, adblResponseValue,
  264.                 org.drip.spline.pchip.LocalMonotoneCkGenerator.C1_BESSEL, bEliminateSpuriousExtrema,
  265.                     bApplyMonotoneFilter);

  267.         return null == lmcg ? null : CustomSlopeHermiteSpline (strName, adblPredictorOrdinate,
  268.             adblResponseValue, lmcg.C1(), aSCBC, sbfr, iSetupMode);
  269.     }

  271.     /**
  272.      * Create Hyman (1983) Monotone Preserving Stretch. The reference is:
  273.      * 
  274.      *  Hyman (1983) Accurate Monotonicity Preserving Cubic Interpolation -
  275.      *      SIAM J on Numerical Analysis 4 (4), 645-654.
  276.      * 
  277.      * @param strName Stretch Name
  278.      * @param adblPredictorOrdinate Array of Predictor Ordinates
  279.      * @param adblResponseValue Array of Response Values
  280.      * @param aSCBC Array of Segment Builder Parameters
  281.      * @param sbfr Stretch Fitness Weighted Response
  282.      * @param iSetupMode Segment Setup Mode
  283.      * @param bEliminateSpuriousExtrema TRUE - Eliminate Spurious Extrema
  284.      * @param bApplyMonotoneFilter TRUE - Apply Monotone Filter
  285.      * 
  286.      * @return Hyman (1983) Monotone Preserving Stretch
  287.      */

  289.     public static final org.drip.spline.stretch.MultiSegmentSequence CreateHyman83MonotoneStretch (
  290.         final java.lang.String strName,
  291.         final double[] adblPredictorOrdinate,
  292.         final double[] adblResponseValue,
  293.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  294.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  295.         final int iSetupMode,
  296.         final boolean bEliminateSpuriousExtrema,
  297.         final boolean bApplyMonotoneFilter)
  298.     {
  299.         org.drip.spline.pchip.LocalMonotoneCkGenerator lmcg =
  300.             org.drip.spline.pchip.LocalMonotoneCkGenerator.Create (adblPredictorOrdinate, adblResponseValue,
  301.                 org.drip.spline.pchip.LocalMonotoneCkGenerator.C1_HYMAN83, bEliminateSpuriousExtrema,
  302.                     bApplyMonotoneFilter);

  304.         return null == lmcg ? null : CustomSlopeHermiteSpline (strName, adblPredictorOrdinate,
  305.             adblResponseValue, lmcg.C1(), aSCBC, sbfr, iSetupMode);
  306.     }

  308.     /**
  309.      * Create Hyman (1989) enhancement to the Hyman (1983) Monotone Preserving Stretch. The reference is:
  310.      * 
  311.      *  Doherty, Edelman, and Hyman (1989) Non-negative, monotonic, or convexity preserving cubic and quintic
  312.      *      Hermite interpolation - Mathematics of Computation 52 (186), 471-494.
  313.      * 
  314.      * @param strName Stretch Name
  315.      * @param adblPredictorOrdinate Array of Predictor Ordinates
  316.      * @param adblResponseValue Array of Response Values
  317.      * @param aSCBC Array of Segment Builder Parameters
  318.      * @param sbfr Stretch Fitness Weighted Response
  319.      * @param iSetupMode Segment Setup Mode
  320.      * @param bEliminateSpuriousExtrema TRUE - Eliminate Spurious Extrema
  321.      * @param bApplyMonotoneFilter TRUE - Apply Monotone Filter
  322.      * 
  323.      * @return Hyman (1989) Monotone Preserving Stretch
  324.      */

  326.     public static final org.drip.spline.stretch.MultiSegmentSequence CreateHyman89MonotoneStretch (
  327.         final java.lang.String strName,
  328.         final double[] adblPredictorOrdinate,
  329.         final double[] adblResponseValue,
  330.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  331.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  332.         final int iSetupMode,
  333.         final boolean bEliminateSpuriousExtrema,
  334.         final boolean bApplyMonotoneFilter)
  335.     {
  336.         org.drip.spline.pchip.LocalMonotoneCkGenerator lmcg =
  337.             org.drip.spline.pchip.LocalMonotoneCkGenerator.Create (adblPredictorOrdinate, adblResponseValue,
  338.                 org.drip.spline.pchip.LocalMonotoneCkGenerator.C1_HYMAN89, bEliminateSpuriousExtrema,
  339.                     bApplyMonotoneFilter);

  341.         return null == lmcg ? null : CustomSlopeHermiteSpline (strName, adblPredictorOrdinate,
  342.             adblResponseValue, lmcg.C1(), aSCBC, sbfr, iSetupMode);
  343.     }

  345.     /**
  346.      * Create the Harmonic Monotone Preserving Stretch. The reference is:
  347.      * 
  348.      *  Fritcsh and Butland (1984) A Method for constructing local monotonic piece-wise cubic interpolants -
  349.      *      SIAM J on Scientific and Statistical Computing 5, 300-304.
  350.      * 
  351.      * @param strName Stretch Name
  352.      * @param adblPredictorOrdinate Array of Predictor Ordinates
  353.      * @param adblResponseValue Array of Response Values
  354.      * @param aSCBC Array of Segment Builder Parameters
  355.      * @param sbfr Stretch Fitness Weighted Response
  356.      * @param iSetupMode Segment Setup Mode
  357.      * @param bEliminateSpuriousExtrema TRUE - Eliminate Spurious Extrema
  358.      * @param bApplyMonotoneFilter TRUE - Apply Monotone Filter
  359.      * 
  360.      * @return Harmonic Monotone Preserving Stretch
  361.      */

  363.     public static final org.drip.spline.stretch.MultiSegmentSequence CreateHarmonicMonotoneStretch (
  364.         final java.lang.String strName,
  365.         final double[] adblPredictorOrdinate,
  366.         final double[] adblResponseValue,
  367.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  368.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  369.         final int iSetupMode,
  370.         final boolean bEliminateSpuriousExtrema,
  371.         final boolean bApplyMonotoneFilter)
  372.     {
  373.         org.drip.spline.pchip.LocalMonotoneCkGenerator lmcg =
  374.             org.drip.spline.pchip.LocalMonotoneCkGenerator.Create (adblPredictorOrdinate, adblResponseValue,
  375.                 org.drip.spline.pchip.LocalMonotoneCkGenerator.C1_HARMONIC, bEliminateSpuriousExtrema,
  376.                     bApplyMonotoneFilter);

  378.         return null == lmcg ? null : CustomSlopeHermiteSpline (strName, adblPredictorOrdinate,
  379.             adblResponseValue, lmcg.C1(), aSCBC, sbfr, iSetupMode);
  380.     }

  382.     /**
  383.      * Create the Van Leer Limiter Stretch. The reference is:
  384.      * 
  385.      *  Van Leer (1974) Towards the Ultimate Conservative Difference Scheme. II - Monotonicity and
  386.      *      Conservation combined in a Second-Order Scheme, Journal of Computational Physics 14 (4), 361-370.
  387.      * 
  388.      * @param strName Stretch Name
  389.      * @param adblPredictorOrdinate Array of Predictor Ordinates
  390.      * @param adblResponseValue Array of Response Values
  391.      * @param aSCBC Array of Segment Builder Parameters
  392.      * @param sbfr Stretch Fitness Weighted Response
  393.      * @param iSetupMode Segment Setup Mode
  394.      * @param bEliminateSpuriousExtrema TRUE - Eliminate Spurious Extrema
  395.      * @param bApplyMonotoneFilter TRUE - Apply Monotone Filter
  396.      * 
  397.      * @return The Van Leer Limiter Stretch
  398.      */

  400.     public static final org.drip.spline.stretch.MultiSegmentSequence CreateVanLeerLimiterStretch (
  401.         final java.lang.String strName,
  402.         final double[] adblPredictorOrdinate,
  403.         final double[] adblResponseValue,
  404.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  405.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  406.         final int iSetupMode,
  407.         final boolean bEliminateSpuriousExtrema,
  408.         final boolean bApplyMonotoneFilter)
  409.     {
  410.         org.drip.spline.pchip.LocalMonotoneCkGenerator lmcg =
  411.             org.drip.spline.pchip.LocalMonotoneCkGenerator.Create (adblPredictorOrdinate, adblResponseValue,
  412.                 org.drip.spline.pchip.LocalMonotoneCkGenerator.C1_VAN_LEER, bEliminateSpuriousExtrema,
  413.                     bApplyMonotoneFilter);

  415.         return null == lmcg ? null : CustomSlopeHermiteSpline (strName, adblPredictorOrdinate,
  416.             adblResponseValue, lmcg.C1(), aSCBC, sbfr, iSetupMode);
  417.     }

  419.     /**
  420.      * Create the Kruger Stretch. The reference is:
  421.      * 
  422.      *  Kruger (2002) Constrained Cubic Spline Interpolations for Chemical Engineering Application,
  423.      *      http://www.korf.co.uk/spline.pdf
  424.      * 
  425.      * @param strName Stretch Name
  426.      * @param adblPredictorOrdinate Array of Predictor Ordinates
  427.      * @param adblResponseValue Array of Response Values
  428.      * @param aSCBC Array of Segment Builder Parameters
  429.      * @param sbfr Stretch Fitness Weighted Response
  430.      * @param iSetupMode Segment Setup Mode
  431.      * @param bEliminateSpuriousExtrema TRUE - Eliminate Spurious Extrema
  432.      * @param bApplyMonotoneFilter TRUE - Apply Monotone Filter
  433.      * 
  434.      * @return The Kruger Stretch
  435.      */

  437.     public static final org.drip.spline.stretch.MultiSegmentSequence CreateKrugerStretch (
  438.         final java.lang.String strName,
  439.         final double[] adblPredictorOrdinate,
  440.         final double[] adblResponseValue,
  441.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  442.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  443.         final int iSetupMode,
  444.         final boolean bEliminateSpuriousExtrema,
  445.         final boolean bApplyMonotoneFilter)
  446.     {
  447.         org.drip.spline.pchip.LocalMonotoneCkGenerator lmcg =
  448.             org.drip.spline.pchip.LocalMonotoneCkGenerator.Create (adblPredictorOrdinate, adblResponseValue,
  449.                 org.drip.spline.pchip.LocalMonotoneCkGenerator.C1_KRUGER, bEliminateSpuriousExtrema,
  450.                     bApplyMonotoneFilter);

  452.         return null == lmcg ? null : CustomSlopeHermiteSpline (strName, adblPredictorOrdinate,
  453.             adblResponseValue, lmcg.C1(), aSCBC, sbfr, iSetupMode);
  454.     }

  456.     /**
  457.      * Create the Huynh Le Floch Limiter Stretch. The reference is:
  458.      * 
  459.      *  Huynh (1993) Accurate Monotone Cubic Interpolation, SIAM J on Numerical Analysis 30 (1), 57-100.
  460.      * 
  461.      * @param strName Stretch Name
  462.      * @param adblPredictorOrdinate Array of Predictor Ordinates
  463.      * @param adblResponseValue Array of Response Values
  464.      * @param aSCBC Array of Segment Builder Parameters
  465.      * @param sbfr Stretch Fitness Weighted Response
  466.      * @param iSetupMode Segment Setup Mode
  467.      * @param bEliminateSpuriousExtrema TRUE - Eliminate Spurious Extrema
  468.      * @param bApplyMonotoneFilter TRUE - Apply Monotone Filter
  469.      * 
  470.      * @return The Huynh Le Floch Limiter Stretch
  471.      */

  473.     public static final org.drip.spline.stretch.MultiSegmentSequence CreateHuynhLeFlochLimiterStretch (
  474.         final java.lang.String strName,
  475.         final double[] adblPredictorOrdinate,
  476.         final double[] adblResponseValue,
  477.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  478.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  479.         final int iSetupMode,
  480.         final boolean bEliminateSpuriousExtrema,
  481.         final boolean bApplyMonotoneFilter)
  482.     {
  483.         org.drip.spline.pchip.LocalMonotoneCkGenerator lmcg =
  484.             org.drip.spline.pchip.LocalMonotoneCkGenerator.Create (adblPredictorOrdinate, adblResponseValue,
  485.                 org.drip.spline.pchip.LocalMonotoneCkGenerator.C1_KRUGER, bEliminateSpuriousExtrema,
  486.                     bApplyMonotoneFilter);

  488.         return null == lmcg ? null : CustomSlopeHermiteSpline (strName, adblPredictorOrdinate,
  489.             adblResponseValue, lmcg.C1(), aSCBC, sbfr, iSetupMode);
  490.     }

  492.     /**
  493.      * Generate the local control C1 Slope using the Akima Cubic Algorithm. The reference is:
  494.      * 
  495.      *  Akima (1970): A New Method of Interpolation and Smooth Curve Fitting based on Local Procedures,
  496.      *      Journal of the Association for the Computing Machinery 17 (4), 589-602.
  497.      * 
  498.      * @param strName Stretch Name
  499.      * @param adblPredictorOrdinate Array of Predictor Ordinates
  500.      * @param adblResponseValue Array of Response Values
  501.      * @param aSCBC Array of Segment Builder Parameters
  502.      * @param sbfr Stretch Fitness Weighted Response
  503.      * @param iSetupMode Segment Setup Mode
  504.      * @param bEliminateSpuriousExtrema TRUE - Eliminate Spurious Extrema
  505.      * @param bApplyMonotoneFilter TRUE - Apply Monotone Filter
  506.      * 
  507.      * @return The Akima Local Control Stretch Instance
  508.      */

  510.     public static final org.drip.spline.stretch.MultiSegmentSequence CreateAkimaStretch (
  511.         final java.lang.String strName,
  512.         final double[] adblPredictorOrdinate,
  513.         final double[] adblResponseValue,
  514.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  515.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  516.         final int iSetupMode,
  517.         final boolean bEliminateSpuriousExtrema,
  518.         final boolean bApplyMonotoneFilter)
  519.     {
  520.         org.drip.spline.pchip.LocalMonotoneCkGenerator lmcg =
  521.             org.drip.spline.pchip.LocalMonotoneCkGenerator.Create (adblPredictorOrdinate, adblResponseValue,
  522.                 org.drip.spline.pchip.LocalMonotoneCkGenerator.C1_AKIMA, bEliminateSpuriousExtrema,
  523.                     bApplyMonotoneFilter);

  525.         return null == lmcg ? null : CustomSlopeHermiteSpline (strName, adblPredictorOrdinate,
  526.             adblResponseValue, lmcg.C1(), aSCBC, sbfr, iSetupMode);
  527.     }

  529.     /**
  530.      * Generate the local control C1 Slope using the Hagan-West Monotone Convex Algorithm. The references
  531.      *  are:
  532.      * 
  533.      *  Hagan, P., and G. West (2006): Interpolation Methods for Curve Construction, Applied Mathematical
  534.      *   Finance 13 (2): 89-129.
  535.      * 
  536.      *  Hagan, P., and G. West (2008): Methods for Curve a Yield Curve, Wilmott Magazine: 70-81.
  537.      * 
  538.      * @param strName Stretch Name
  539.      * @param adblPredictorOrdinate Array of Predictor Ordinates
  540.      * @param adblObservation Array of Observations
  541.      * @param aSCBC Array of Segment Builder Parameters
  542.      * @param sbfr Stretch Fitness Weighted Response
  543.      * @param iSetupMode Segment Setup Mode
  544.      * @param bLinearNodeInference Apply Linear Node Inference from Observations
  545.      * @param bEliminateSpuriousExtrema TRUE - Eliminate Spurious Extrema
  546.      * @param bApplyMonotoneFilter TRUE - Apply Monotone Filter
  547.      * 
  548.      * @return The Monotone-Convex Local Control Stretch Instance
  549.      */

  551.     public static final org.drip.spline.stretch.MultiSegmentSequence CreateMonotoneConvexStretch (
  552.         final java.lang.String strName,
  553.         final double[] adblPredictorOrdinate,
  554.         final double[] adblObservation,
  555.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
  556.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  557.         final int iSetupMode,
  558.         final boolean bLinearNodeInference,
  559.         final boolean bEliminateSpuriousExtrema,
  560.         final boolean bApplyMonotoneFilter)
  561.     {
  562.         org.drip.spline.pchip.MonotoneConvexHaganWest mchw =
  563.             org.drip.spline.pchip.MonotoneConvexHaganWest.Create (adblPredictorOrdinate, adblObservation,
  564.                 bLinearNodeInference);

  566.         if (null == mchw) return null;

  568.         org.drip.spline.pchip.LocalMonotoneCkGenerator lmcg =
  569.             org.drip.spline.pchip.LocalMonotoneCkGenerator.Create (mchw.predictorOrdinates(),
  570.                 mchw.responseValues(), org.drip.spline.pchip.LocalMonotoneCkGenerator.C1_MONOTONE_CONVEX,
  571.                     bEliminateSpuriousExtrema, bApplyMonotoneFilter);

  573.         return null == lmcg ? null : CustomSlopeHermiteSpline (strName, mchw.predictorOrdinates(),
  574.             mchw.responseValues(), lmcg.C1(), aSCBC, sbfr, iSetupMode);
  575.     }
  576. }
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