BoundarySettings.java

  1. package org.drip.spline.stretch;

  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>BoundarySettings</i> implements the Boundary Settings that determine the full extent of description of
  85.  * the regime's State. It exports functions that:
  86.  *
  87.  * <br><br>
  88.  *  <ul>
  89.  *      <li>
  90.  *          Specify the type of the boundary condition (NATURAL/FLOATING/IS-A-KNOT)
  91.  *      </li>
  92.  *      <li>
  93.  *          Boundary Condition specific additional parameters (e.g., Derivative Orders and Matches)
  94.  *      </li>
  95.  *      <li>
  96.  *          Static methods that help construct standard boundary settings
  97.  *      </li>
  98.  *  </ul>
  99.  *
  100.  * <br><br>
  101.  *  <ul>
  102.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  103.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/SplineBuilderLibrary.md">Spline Builder Library</a></li>
  104.  *      <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>
  105.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spline/stretch/README.md">Multi-Segment Sequence Spline Stretch</a></li>
  106.  *  </ul>
  107.  * <br><br>
  108.  *
  109.  * @author Lakshmi Krishnamurthy
  110.  */

  112. public class BoundarySettings {

  114.     /**
  115.      * Calibration Boundary Condition: Floating Boundary Condition
  116.      */

  118.     public static final int BOUNDARY_CONDITION_FLOATING = 1;

  120.     /**
  121.      * Calibration Boundary Condition: Natural Boundary Condition
  122.      */

  124.     public static final int BOUNDARY_CONDITION_NATURAL = 2;

  126.     /**
  127.      * Calibration Boundary Condition: Financial Boundary Condition
  128.      */

  130.     public static final int BOUNDARY_CONDITION_FINANCIAL = 4;

  132.     /**
  133.      * Calibration Boundary Condition: Not-A-Knot Boundary Condition
  134.      */

  136.     public static final int BOUNDARY_CONDITION_NOT_A_KNOT = 8;

  138.     private int _iLeftDerivOrder = -1;
  139.     private int _iRightDerivOrder = -1;
  140.     private int _iBoundaryConditionType = -1;

  142.     /**
  143.      * Return the Instance of the Standard Natural Boundary Condition
  144.      * 
  145.      * @return Instance of the Standard Natural Boundary Condition
  146.      */

  148.     public static final BoundarySettings NaturalStandard()
  149.     {
  150.         try {
  151.             return new BoundarySettings (-1, 2, BOUNDARY_CONDITION_NATURAL);
  152.         } catch (java.lang.Exception e) {
  153.             e.printStackTrace();
  154.         }

  156.         return null;
  157.     }

  159.     /**
  160.      * Return the Instance of the Standard Floating Boundary Condition
  161.      * 
  162.      * @return Instance of the Standard Floating Boundary Condition
  163.      */

  165.     public static final BoundarySettings FloatingStandard()
  166.     {
  167.         try {
  168.             return new BoundarySettings (-1, -1, BOUNDARY_CONDITION_FLOATING);
  169.         } catch (java.lang.Exception e) {
  170.             e.printStackTrace();
  171.         }

  173.         return null;
  174.     }

  176.     /**
  177.      * Return the Instance of the Standard Financial Boundary Condition
  178.      * 
  179.      * @return Instance of the Standard Financial Boundary Condition
  180.      */

  182.     public static final BoundarySettings FinancialStandard()
  183.     {
  184.         try {
  185.             return new BoundarySettings (-1, 1, BOUNDARY_CONDITION_FINANCIAL);
  186.         } catch (java.lang.Exception e) {
  187.             e.printStackTrace();
  188.         }

  190.         return null;
  191.     }

  193.     /**
  194.      * Return the Instance of the Standard Not-A-Knot Boundary Condition
  195.      * 
  196.      * @param iLeftDerivOrder Order of the Left Derivative
  197.      * @param iRightDerivOrder Order of the Right Derivative
  198.      * 
  199.      * @return Instance of the Standard Not-A-Knot Boundary Condition
  200.      */

  202.     public static final BoundarySettings NotAKnotStandard (
  203.         final int iLeftDerivOrder,
  204.         final int iRightDerivOrder)
  205.     {
  206.         try {
  207.             return new BoundarySettings (iLeftDerivOrder, iRightDerivOrder, BOUNDARY_CONDITION_NOT_A_KNOT);
  208.         } catch (java.lang.Exception e) {
  209.             e.printStackTrace();
  210.         }

  212.         return null;
  213.     }

  215.     /**
  216.      * BoundarySettings constructor
  217.      * 
  218.      * @param iLeftDerivOrder Order of the Left Derivative
  219.      * @param iRightDerivOrder Order of the Right Derivative
  220.      * @param iBoundaryConditionType Type of the Boundary Condition - NATURAL/FINANCIAL/NOT_A_KNOT
  221.      * 
  222.      * @throws java.lang.Exception Thrown if Inputs are invalid
  223.      */

  225.     public BoundarySettings (
  226.         final int iLeftDerivOrder,
  227.         final int iRightDerivOrder,
  228.         final int iBoundaryConditionType)
  229.         throws java.lang.Exception
  230.     {
  231.         if (BOUNDARY_CONDITION_FLOATING != (_iBoundaryConditionType = iBoundaryConditionType) &&
  232.             BOUNDARY_CONDITION_NATURAL != _iBoundaryConditionType && BOUNDARY_CONDITION_FINANCIAL !=
  233.                 _iBoundaryConditionType && BOUNDARY_CONDITION_NOT_A_KNOT != _iBoundaryConditionType)
  234.             throw new java.lang.Exception ("BoundarySettings ct: Invalid Inputs");

  236.         _iLeftDerivOrder = iLeftDerivOrder;
  237.         _iRightDerivOrder = iRightDerivOrder;
  238.     }

  240.     /**
  241.      * Retrieve the Order of the Left Derivative
  242.      * 
  243.      * @return The Order of the Left Derivative
  244.      */

  246.     public int leftDerivOrder()
  247.     {
  248.         return _iLeftDerivOrder;
  249.     }

  251.     /**
  252.      * Retrieve the Order of the Right Derivative
  253.      * 
  254.      * @return The Order of the Right Derivative
  255.      */

  257.     public int rightDerivOrder()
  258.     {
  259.         return _iRightDerivOrder;
  260.     }

  262.     /**
  263.      * Retrieve the Type of the Boundary Condition
  264.      * 
  265.      * @return The Type of the Boundary Condition
  266.      */

  268.     public int boundaryCondition()
  269.     {
  270.         return _iBoundaryConditionType;
  271.     }
  272. }
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