CalibratableMultiSegmentSequence.java
- package org.drip.spline.stretch;
- /*
- * -*- 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>CalibratableMultiSegmentSequence</i> implements the MultiSegmentSequence span that spans multiple
- * segments. It holds the ordered segment sequence, segment sequence builder, the segment control parameters,
- * and, if available, the spanning Jacobian. It provides a variety of customization for the segment
- * construction and state representation control.
- *
- * <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/stretch/README.md">Multi-Segment Sequence Spline Stretch</a></li>
- * </ul>
- * <br><br>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class CalibratableMultiSegmentSequence extends org.drip.function.definition.R1ToR1 implements
- org.drip.spline.stretch.MultiSegmentSequence {
- private static final int MAXIMA_PREDICTOR_ORDINATE_NODE = 1;
- private static final int MINIMA_PREDICTOR_ORDINATE_NODE = 2;
- private static final int MONOTONE_PREDICTOR_ORDINATE_NODE = 4;
- private java.lang.String _strName = "";
- private org.drip.spline.stretch.SegmentSequenceBuilder _ssb = null;
- private org.drip.spline.segment.LatentStateResponseModel[] _aLSRM = null;
- private org.drip.spline.params.SegmentCustomBuilderControl[] _aSCBC = null;
- private org.drip.numerical.differentiation.WengertJacobian _wjDCoeffDEdgeParams = null;
- private boolean setDCoeffDEdgeParams (
- final int iNodeIndex,
- final org.drip.numerical.differentiation.WengertJacobian wjDCoeffDEdgeParams)
- {
- if (null == wjDCoeffDEdgeParams) return false;
- int iParameterIndex = 0 == iNodeIndex ? 0 : 2;
- if (!_wjDCoeffDEdgeParams.accumulatePartialFirstDerivative (0, iNodeIndex,
- wjDCoeffDEdgeParams.firstDerivative (0, iParameterIndex)))
- return false;
- if (!_wjDCoeffDEdgeParams.accumulatePartialFirstDerivative (1, iNodeIndex,
- wjDCoeffDEdgeParams.firstDerivative (1, iParameterIndex)))
- return false;
- if (!_wjDCoeffDEdgeParams.accumulatePartialFirstDerivative (2, iNodeIndex,
- wjDCoeffDEdgeParams.firstDerivative (2, iParameterIndex)))
- return false;
- return _wjDCoeffDEdgeParams.accumulatePartialFirstDerivative (3, iNodeIndex,
- wjDCoeffDEdgeParams.firstDerivative (3, iParameterIndex));
- }
- private final org.drip.numerical.differentiation.WengertJacobian setDResponseDEdgeResponse (
- final int iNodeIndex,
- final org.drip.numerical.differentiation.WengertJacobian wjDResponseDEdgeParams)
- {
- if (null == wjDResponseDEdgeParams) return null;
- int iNumSegment = _aLSRM.length;
- org.drip.numerical.differentiation.WengertJacobian wjDResponseDEdgeResponse = null;
- try {
- wjDResponseDEdgeResponse = new org.drip.numerical.differentiation.WengertJacobian (1, iNumSegment + 1);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return null;
- }
- for (int i = 0; i <= iNumSegment; ++i) {
- if (i == iNodeIndex) {
- if (!wjDResponseDEdgeResponse.accumulatePartialFirstDerivative (0, i,
- wjDResponseDEdgeParams.firstDerivative (0,
- org.drip.spline.segment.LatentStateResponseModel.LEFT_NODE_VALUE_PARAMETER_INDEX)) ||
- !wjDResponseDEdgeResponse.accumulatePartialFirstDerivative (0, i + 1,
- wjDResponseDEdgeParams.firstDerivative (0,
- org.drip.spline.segment.LatentStateResponseModel.RIGHT_NODE_VALUE_PARAMETER_INDEX)))
- return null;
- }
- }
- return wjDResponseDEdgeResponse;
- }
- /**
- * CalibratableMultiSegmentSequence constructor - Construct a sequence of Basis Spline Segments
- *
- * @param strName Name of the Stretch
- * @param aCS Array of Segments
- * @param aSCBC Array of Segment Builder Parameters
- *
- * @throws java.lang.Exception Thrown if the inputs are invalid
- */
- public CalibratableMultiSegmentSequence (
- final java.lang.String strName,
- final org.drip.spline.segment.LatentStateResponseModel[] aCS,
- final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC)
- throws java.lang.Exception
- {
- super (null);
- if (null == aCS || null == aSCBC || null == (_strName = strName) || _strName.isEmpty())
- throw new java.lang.Exception ("CalibratableMultiSegmentSequence ctr => Invalid inputs!");
- int iNumSegment = aCS.length;
- _aLSRM = new org.drip.spline.segment.LatentStateResponseModel[iNumSegment];
- _aSCBC = new org.drip.spline.params.SegmentCustomBuilderControl[iNumSegment];
- if (0 == iNumSegment || iNumSegment != aSCBC.length)
- throw new java.lang.Exception ("CalibratableMultiSegmentSequence ctr => Invalid inputs!");
- for (int i = 0; i < iNumSegment; ++i) {
- if (null == (_aLSRM[i] = aCS[i]) || null == (_aSCBC[i] = aSCBC[i]))
- throw new java.lang.Exception ("CalibratableMultiSegmentSequence ctr => Invalid inputs!");
- }
- }
- @Override public java.lang.String name()
- {
- return _strName;
- }
- @Override public org.drip.spline.segment.LatentStateResponseModel[] segments()
- {
- return _aLSRM;
- }
- @Override public org.drip.spline.params.SegmentCustomBuilderControl[] segmentBuilderControl()
- {
- return _aSCBC;
- }
- @Override public boolean setup (
- final org.drip.spline.stretch.SegmentSequenceBuilder ssb,
- final int iCalibrationDetail)
- {
- if (null == (_ssb = ssb) || !_ssb.setStretch (this)) return false;
- if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_FLOATING ==
- _ssb.getCalibrationBoundaryCondition().boundaryCondition()) {
- if (!_ssb.calibStartingSegment (0.) || !_ssb.calibSegmentSequence (1) ||
- !_ssb.manifestMeasureSensitivity (0.))
- return false;
- } else if (0 != (org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE & iCalibrationDetail)) {
- org.drip.function.r1tor1solver.FixedPointFinderOutput fpop = null;
- if (null == fpop || !fpop.containsRoot()) {
- try {
- fpop = new org.drip.function.r1tor1solver.FixedPointFinderZheng (0., this,
- true).findRoot();
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return false;
- }
- }
- if (null == fpop || !org.drip.numerical.common.NumberUtil.IsValid (fpop.getRoot()) ||
- !_ssb.manifestMeasureSensitivity (0.)) {
- System.out.println ("FPOP: " + fpop);
- return false;
- }
- }
- if (0 != (org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE_JACOBIAN & iCalibrationDetail)) {
- int iNumSegment = _aLSRM.length;
- try {
- if (null == (_wjDCoeffDEdgeParams = new org.drip.numerical.differentiation.WengertJacobian
- (_aLSRM[0].basisEvaluator().numBasis(), iNumSegment + 1)))
- return false;
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return false;
- }
- org.drip.numerical.differentiation.WengertJacobian wjHead = _aLSRM[0].jackDCoeffDEdgeInputs();
- if (!setDCoeffDEdgeParams (0, wjHead) || !setDCoeffDEdgeParams (1, wjHead)) return false;
- for (int i = 1; i < iNumSegment; ++i) {
- if (!setDCoeffDEdgeParams (i + 1, _aLSRM[i].jackDCoeffDEdgeInputs())) return false;
- }
- }
- return true;
- }
- @Override public boolean setup (
- final org.drip.spline.params.SegmentResponseValueConstraint srvcLeading,
- final org.drip.spline.params.SegmentResponseValueConstraint[] aSRVC,
- final org.drip.spline.params.StretchBestFitResponse sbfr,
- final org.drip.spline.stretch.BoundarySettings bs,
- final int iCalibrationDetail)
- {
- try {
- return setup (new org.drip.spline.stretch.CkSegmentSequenceBuilder (srvcLeading, aSRVC, sbfr,
- bs), iCalibrationDetail);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return false;
- }
- @Override public boolean setup (
- final double dblLeftStretchResponseValue,
- final org.drip.spline.params.SegmentResponseValueConstraint[] aSRVC,
- final org.drip.spline.params.StretchBestFitResponse sbfr,
- final org.drip.spline.stretch.BoundarySettings bs,
- final int iCalibrationDetail)
- {
- return setup (org.drip.spline.params.SegmentResponseValueConstraint.FromPredictorResponsePair
- (getLeftPredictorOrdinateEdge(), dblLeftStretchResponseValue), aSRVC, sbfr, bs,
- iCalibrationDetail);
- }
- @Override public boolean setup (
- final double dblLeftStretchResponseValue,
- final double[] adblSegmentRightResponseValue,
- final org.drip.spline.params.StretchBestFitResponse sbfr,
- final org.drip.spline.stretch.BoundarySettings bs,
- final int iCalibrationDetail)
- {
- int iNumSegment = _aLSRM.length;
- org.drip.spline.params.SegmentResponseValueConstraint[] aSRVCRight = new
- org.drip.spline.params.SegmentResponseValueConstraint[iNumSegment];
- if (0 == iNumSegment || iNumSegment != adblSegmentRightResponseValue.length) return false;
- try {
- for (int i = 0; i < iNumSegment; ++i)
- aSRVCRight[i] = new org.drip.spline.params.SegmentResponseValueConstraint (new double[]
- {_aLSRM[i].right()}, new double[] {1.}, adblSegmentRightResponseValue[i]);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return false;
- }
- return setup (dblLeftStretchResponseValue, aSRVCRight, sbfr, bs, iCalibrationDetail);
- }
- @Override public boolean setupHermite (
- final org.drip.spline.params.SegmentPredictorResponseDerivative[] aSPRDLeft,
- final org.drip.spline.params.SegmentPredictorResponseDerivative[] aSPRDRight,
- final org.drip.spline.params.SegmentResponseValueConstraint[][] aaSRVC,
- final org.drip.spline.params.StretchBestFitResponse sbfr,
- final int iSetupMode)
- {
- if (null == aSPRDLeft || null == aSPRDRight) return false;
- int iNumSegment = _aLSRM.length;
- if (iNumSegment != aSPRDLeft.length || iNumSegment != aSPRDRight.length || (null != aaSRVC &&
- iNumSegment != aaSRVC.length))
- return false;
- for (int i = 0; i < iNumSegment; ++i) {
- try {
- int iNumSegmentConstraint = 0;
- org.drip.spline.params.SegmentBasisFlexureConstraint[] aSBFC = null;
- if (null != aaSRVC && null != aaSRVC[i]) {
- aSBFC = new org.drip.spline.params.SegmentBasisFlexureConstraint[iNumSegmentConstraint =
- aaSRVC[i].length];
- for (int j = 0; i < iNumSegmentConstraint; ++j)
- aSBFC[j] = null == aaSRVC[i][j] ? null : aaSRVC[i][j].responseIndexedBasisConstraint
- (_aLSRM[i].basisEvaluator(), _aLSRM[i]);
- }
- if (0 != (org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE & iSetupMode) &&
- !_aLSRM[i].calibrateState (new org.drip.spline.params.SegmentStateCalibrationInputs (new
- double[] {_aLSRM[i].left(), _aLSRM[i].right()}, new double[]
- {aSPRDLeft[i].responseValue(), aSPRDRight[i].responseValue()},
- aSPRDLeft[i].getDResponseDPredictorOrdinate(),
- aSPRDRight[i].getDResponseDPredictorOrdinate(), aSBFC, null == sbfr ?
- null : sbfr.sizeToSegment (_aLSRM[i]))))
- return false;
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return false;
- }
- }
- if (0 != (org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE_JACOBIAN & iSetupMode)) {
- try {
- if (null == (_wjDCoeffDEdgeParams = new org.drip.numerical.differentiation.WengertJacobian
- (_aLSRM[0].basisEvaluator().numBasis(), iNumSegment + 1)))
- return false;
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return false;
- }
- org.drip.numerical.differentiation.WengertJacobian wjDCoeffDEdgeParamsHead =
- _aLSRM[0].jackDCoeffDEdgeInputs();
- if (!setDCoeffDEdgeParams (0, wjDCoeffDEdgeParamsHead) || !setDCoeffDEdgeParams (1,
- wjDCoeffDEdgeParamsHead))
- return false;
- for (int i = 1; i < iNumSegment; ++i) {
- if (!setDCoeffDEdgeParams (i + 1, _aLSRM[i].jackDCoeffDEdgeInputs())) return false;
- }
- }
- return true;
- }
- @Override public double evaluate (
- final double dblLeftSlope)
- throws java.lang.Exception
- {
- if (null == _ssb || !_ssb.calibStartingSegment (dblLeftSlope) || !_ssb.calibSegmentSequence (1))
- throw new java.lang.Exception
- ("CalibratableMultiSegmentSequence::evaluate => cannot set up segments!");
- org.drip.spline.stretch.BoundarySettings bs = _ssb.getCalibrationBoundaryCondition();
- int iBC = bs.boundaryCondition();
- if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_NATURAL == iBC)
- return calcRightEdgeDerivative (bs.rightDerivOrder());
- if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_FINANCIAL == iBC)
- {
- return calcRightEdgeDerivative (bs.rightDerivOrder());
- }
- if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_NOT_A_KNOT == iBC)
- return calcRightEdgeDerivative (bs.rightDerivOrder()) - calcLeftEdgeDerivative
- (bs.leftDerivOrder());
- throw new java.lang.Exception ("CalibratableMultiSegmentSequence::evaluate => Boundary Condition " +
- iBC + " unknown");
- }
- @Override public double integrate (
- final double dblBegin,
- final double dblEnd)
- throws java.lang.Exception
- {
- if (!org.drip.numerical.common.NumberUtil.IsValid (dblBegin) || !org.drip.numerical.common.NumberUtil.IsValid
- (dblEnd))
- throw new java.lang.Exception ("CalibratableMultiSegmentSequence::integrate => Invalid Inputs");
- return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
- }
- @Override public boolean setLeftNode (
- final double dblStretchLeftResponse,
- final double dblStretchLeftResponseSlope,
- final double dblStretchRightResponse,
- final org.drip.spline.params.StretchBestFitResponse sbfr)
- {
- return _aLSRM[0].calibrate
- (org.drip.spline.params.SegmentResponseValueConstraint.FromPredictorResponsePair
- (getLeftPredictorOrdinateEdge(), dblStretchLeftResponse), dblStretchLeftResponseSlope,
- org.drip.spline.params.SegmentResponseValueConstraint.FromPredictorResponsePair
- (getRightPredictorOrdinateEdge(), dblStretchRightResponse), null == sbfr ? null :
- sbfr.sizeToSegment (_aLSRM[0]));
- }
- @Override public double responseValue (
- final double dblPredictorOrdinate)
- throws java.lang.Exception
- {
- return _aLSRM[containingIndex (dblPredictorOrdinate, true, true)].responseValue
- (dblPredictorOrdinate);
- }
- @Override public double responseValueDerivative (
- final double dblPredictorOrdinate,
- final int iOrder)
- throws java.lang.Exception
- {
- return _aLSRM[containingIndex (dblPredictorOrdinate, true, true)].calcResponseValueDerivative
- (dblPredictorOrdinate, iOrder);
- }
- @Override public org.drip.spline.params.SegmentPredictorResponseDerivative calcSPRD (
- final double dblPredictorOrdinate)
- {
- int iIndex = -1;
- try {
- iIndex = containingIndex (dblPredictorOrdinate, true, true);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return null;
- }
- int iCk = _aSCBC[iIndex].inelasticParams().Ck();
- double adblDeriv[] = new double[iCk];
- try {
- for (int i = 0; i < iCk; ++i)
- adblDeriv[i] = _aLSRM[iIndex].calcResponseValueDerivative (dblPredictorOrdinate, i);
- return new org.drip.spline.params.SegmentPredictorResponseDerivative
- (_aLSRM[iIndex].responseValue (dblPredictorOrdinate), adblDeriv);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- @Override public org.drip.numerical.differentiation.WengertJacobian jackDResponseDCalibrationInput (
- final double dblPredictorOrdinate,
- final int iOrder)
- {
- int iIndex = -1;
- try {
- iIndex = containingIndex (dblPredictorOrdinate, true, true);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return null;
- }
- return setDResponseDEdgeResponse (iIndex, _aLSRM[iIndex].jackDResponseDEdgeInput
- (dblPredictorOrdinate, iOrder));
- }
- @Override public org.drip.numerical.differentiation.WengertJacobian jackDResponseDManifestMeasure (
- final java.lang.String strManifestMeasure,
- final double dblPredictorOrdinate,
- final int iOrder)
- {
- int iPriorImpactFadeIndex = 0;
- int iNumSegment = _aLSRM.length;
- try {
- int iIndex = containingIndex (dblPredictorOrdinate, true, true);
- boolean bContainingSegmentImpactFade = _aLSRM[iIndex].impactFade (strManifestMeasure);
- if (!bContainingSegmentImpactFade && 0 != iIndex) {
- for (int i = iIndex - 1; i >= 0; --i) {
- if (_aLSRM[i].impactFade (strManifestMeasure)) {
- iPriorImpactFadeIndex = i;
- break;
- }
- }
- }
- org.drip.numerical.differentiation.WengertJacobian wjDResponseDManifestMeasure = new
- org.drip.numerical.differentiation.WengertJacobian (1, iNumSegment);
- for (int i = 0; i < iNumSegment; ++i) {
- double dblDResponseDManifestMeasurei = 0.;
- if (i == iIndex)
- dblDResponseDManifestMeasurei = _aLSRM[i].calcDResponseDManifest (strManifestMeasure,
- dblPredictorOrdinate, iOrder);
- else if (i == iIndex - 1)
- dblDResponseDManifestMeasurei = _aLSRM[i + 1].calcDResponseDPreceedingManifest
- (strManifestMeasure, dblPredictorOrdinate, iOrder);
- else if (!bContainingSegmentImpactFade && i >= iPriorImpactFadeIndex && i < iIndex - 1)
- dblDResponseDManifestMeasurei = _aLSRM[i].calcDResponseDManifest (strManifestMeasure,
- _aLSRM[i].right(), iOrder);
- if (!wjDResponseDManifestMeasure.accumulatePartialFirstDerivative (0, i,
- dblDResponseDManifestMeasurei))
- return null;
- }
- return wjDResponseDManifestMeasure;
- } catch (java.lang.Exception e) {
- // e.printStackTrace();
- }
- return null;
- }
- @Override public org.drip.spline.segment.Monotonocity monotoneType (
- final double dblPredictorOrdinate)
- {
- int iIndex = -1;
- try {
- iIndex = containingIndex (dblPredictorOrdinate, true, true);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return null;
- }
- return _aLSRM[iIndex].monotoneType();
- }
- @Override public boolean isLocallyMonotone()
- throws java.lang.Exception
- {
- int iNumSegment = _aLSRM.length;
- for (int i = 0; i < iNumSegment; ++i) {
- org.drip.spline.segment.Monotonocity mono = null;
- try {
- mono = _aLSRM[i].monotoneType();
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- if (null == mono || org.drip.spline.segment.Monotonocity.MONOTONIC != mono.type()) return false;
- }
- return true;
- }
- @Override public boolean isCoMonotone (
- final double[] adblMeasuredResponse)
- throws java.lang.Exception
- {
- int iNumSegment = _aLSRM.length;
- int[] aiMonotoneType = new int[iNumSegment];
- int[] aiNodeMiniMax = new int[iNumSegment + 1];
- if (null == adblMeasuredResponse || adblMeasuredResponse.length != iNumSegment + 1)
- throw new java.lang.Exception
- ("CalibratableMultiSegmentSequence::isCoMonotone => Data input inconsistent with the segment");
- for (int i = 0; i < iNumSegment + 1; ++i) {
- if (0 == i || iNumSegment == i)
- aiNodeMiniMax[i] = MONOTONE_PREDICTOR_ORDINATE_NODE;
- else {
- if (adblMeasuredResponse[i - 1] < adblMeasuredResponse[i] && adblMeasuredResponse[i + 1] <
- adblMeasuredResponse[i])
- aiNodeMiniMax[i] = MAXIMA_PREDICTOR_ORDINATE_NODE;
- else if (adblMeasuredResponse[i - 1] > adblMeasuredResponse[i] && adblMeasuredResponse[i + 1]
- > adblMeasuredResponse[i])
- aiNodeMiniMax[i] = MINIMA_PREDICTOR_ORDINATE_NODE;
- else
- aiNodeMiniMax[i] = MONOTONE_PREDICTOR_ORDINATE_NODE;
- }
- if (i < iNumSegment) {
- org.drip.spline.segment.Monotonocity mono = _aLSRM[i].monotoneType();
- if (null != mono) aiMonotoneType[i] = mono.type();
- }
- }
- for (int i = 1; i < iNumSegment; ++i) {
- if (MAXIMA_PREDICTOR_ORDINATE_NODE == aiNodeMiniMax[i]) {
- if (org.drip.spline.segment.Monotonocity.MAXIMA != aiMonotoneType[i] &&
- org.drip.spline.segment.Monotonocity.MAXIMA != aiMonotoneType[i - 1])
- return false;
- } else if (MINIMA_PREDICTOR_ORDINATE_NODE == aiNodeMiniMax[i]) {
- if (org.drip.spline.segment.Monotonocity.MINIMA != aiMonotoneType[i] &&
- org.drip.spline.segment.Monotonocity.MINIMA != aiMonotoneType[i - 1])
- return false;
- }
- }
- return true;
- }
- @Override public boolean isKnot (
- final double dblPredictorOrdinate)
- {
- if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorOrdinate)) return false;
- int iNumSegment = _aLSRM.length;
- for (int i = 0; i < iNumSegment; ++i) {
- if (dblPredictorOrdinate == _aLSRM[i].left()) return false;
- }
- return dblPredictorOrdinate == _aLSRM[iNumSegment - 1].left();
- }
- @Override public double calcLeftEdgeDerivative (
- final int iOrder)
- throws java.lang.Exception
- {
- org.drip.spline.segment.LatentStateResponseModel lsrm = _aLSRM[0];
- return lsrm.calcResponseValueDerivative (lsrm.left(), iOrder);
- }
- @Override public double calcRightEdgeDerivative (
- final int iOrder)
- throws java.lang.Exception
- {
- org.drip.spline.segment.LatentStateResponseModel lsrm = _aLSRM[_aLSRM.length - 1];
- return lsrm.calcResponseValueDerivative (lsrm.right(), iOrder);
- }
- @Override public boolean resetNode (
- final int iPredictorOrdinateIndex,
- final double dblResponseReset)
- {
- if (0 == iPredictorOrdinateIndex || 1 == iPredictorOrdinateIndex || _aLSRM.length <
- iPredictorOrdinateIndex || !org.drip.numerical.common.NumberUtil.IsValid (dblResponseReset))
- return false;
- return _aLSRM[iPredictorOrdinateIndex - 1].calibrate (_aLSRM[iPredictorOrdinateIndex - 2],
- dblResponseReset, null);
- }
- @Override public boolean resetNode (
- final int iPredictorOrdinateIndex,
- final org.drip.spline.params.SegmentResponseValueConstraint srvcReset)
- {
- if (0 == iPredictorOrdinateIndex || 1 == iPredictorOrdinateIndex || _aLSRM.length <
- iPredictorOrdinateIndex || null == srvcReset)
- return false;
- return _aLSRM[iPredictorOrdinateIndex - 1].calibrate (_aLSRM[iPredictorOrdinateIndex - 2], srvcReset,
- null);
- }
- @Override public org.drip.function.definition.R1ToR1 toAU()
- {
- org.drip.function.definition.R1ToR1 au = new
- org.drip.function.definition.R1ToR1 (null)
- {
- @Override public double evaluate (
- final double dblVariate)
- throws java.lang.Exception
- {
- return responseValue (dblVariate);
- }
- @Override public double derivative (
- final double dblVariate,
- final int iOrder)
- throws java.lang.Exception
- {
- return responseValueDerivative (dblVariate, iOrder);
- }
- };
- return au;
- }
- @Override public boolean in (
- final double dblPredictorOrdinate)
- throws java.lang.Exception
- {
- if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorOrdinate))
- throw new java.lang.Exception ("CalibratableMultiSegmentSequence::in => Invalid inputs");
- return dblPredictorOrdinate >= getLeftPredictorOrdinateEdge() && dblPredictorOrdinate <=
- getRightPredictorOrdinateEdge();
- }
- @Override public double getLeftPredictorOrdinateEdge()
- {
- return _aLSRM[0].left();
- }
- @Override public double getRightPredictorOrdinateEdge()
- {
- return _aLSRM[_aLSRM.length - 1].right();
- }
- @Override public int containingIndex (
- final double dblPredictorOrdinate,
- final boolean bIncludeLeft,
- final boolean bIncludeRight)
- throws java.lang.Exception
- {
- if (!in (dblPredictorOrdinate))
- throw new java.lang.Exception
- ("CalibratableMultiSegmentSequence::containingIndex => Predictor Ordinate not in the Stretch Range");
- int iNumSegment = _aLSRM.length;
- for (int i = 0 ; i < iNumSegment; ++i) {
- boolean bLeftValid = bIncludeLeft ? _aLSRM[i].left() <= dblPredictorOrdinate : _aLSRM[i].left() <
- dblPredictorOrdinate;
- boolean bRightValid = bIncludeRight ? _aLSRM[i].right() >= dblPredictorOrdinate :
- _aLSRM[i].right() > dblPredictorOrdinate;
- if (bLeftValid && bRightValid) return i;
- }
- throw new java.lang.Exception
- ("CalibratableMultiSegmentSequence::containingIndex => Cannot locate Containing Index");
- }
- @Override public CalibratableMultiSegmentSequence clipLeft (
- final java.lang.String strName,
- final double dblPredictorOrdinate)
- {
- int iNumSegment = _aLSRM.length;
- int iContainingPredictorOrdinateIndex = 0;
- try {
- iContainingPredictorOrdinateIndex = containingIndex (dblPredictorOrdinate, true, false);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return null;
- }
- int iNumClippedSegment = iNumSegment - iContainingPredictorOrdinateIndex;
- org.drip.spline.segment.LatentStateResponseModel[] aCS = new
- org.drip.spline.segment.LatentStateResponseModel[iNumClippedSegment];
- org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
- org.drip.spline.params.SegmentCustomBuilderControl[iNumClippedSegment];
- for (int i = 0; i < iNumClippedSegment; ++i) {
- if (null == (aCS[i] = 0 == i ?
- _aLSRM[iContainingPredictorOrdinateIndex].clipLeftOfPredictorOrdinate (dblPredictorOrdinate)
- : _aLSRM[i + iContainingPredictorOrdinateIndex]))
- return null;
- aSCBC[i] = _aSCBC[i + iContainingPredictorOrdinateIndex];
- }
- try {
- return new CalibratableMultiSegmentSequence (strName, aCS, aSCBC);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- @Override public CalibratableMultiSegmentSequence clipRight (
- final java.lang.String strName,
- final double dblPredictorOrdinate)
- {
- int iContainingPredictorOrdinateIndex = 0;
- try {
- iContainingPredictorOrdinateIndex = containingIndex (dblPredictorOrdinate, false, true);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- return null;
- }
- org.drip.spline.segment.LatentStateResponseModel[] aCS = new
- org.drip.spline.segment.LatentStateResponseModel[iContainingPredictorOrdinateIndex + 1];
- org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
- org.drip.spline.params.SegmentCustomBuilderControl[iContainingPredictorOrdinateIndex + 1];
- for (int i = 0; i <= iContainingPredictorOrdinateIndex; ++i) {
- if (null == (aCS[i] = iContainingPredictorOrdinateIndex == i ?
- _aLSRM[iContainingPredictorOrdinateIndex].clipRightOfPredictorOrdinate (dblPredictorOrdinate)
- : _aLSRM[i]))
- return null;
- aSCBC[i] = _aSCBC[i];
- }
- try {
- return new CalibratableMultiSegmentSequence (strName, aCS, aSCBC);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- @Override public double curvatureDPE()
- throws java.lang.Exception
- {
- double dblDPE = 0.;
- for (org.drip.spline.segment.LatentStateResponseModel lsrm : _aLSRM)
- dblDPE += lsrm.curvatureDPE();
- return dblDPE;
- }
- @Override public double lengthDPE()
- throws java.lang.Exception
- {
- double dblDPE = 0.;
- for (org.drip.spline.segment.LatentStateResponseModel lsrm : _aLSRM)
- dblDPE += lsrm.lengthDPE();
- return dblDPE;
- }
- @Override public double bestFitDPE (
- final org.drip.spline.params.StretchBestFitResponse rbfr)
- throws java.lang.Exception
- {
- if (null == rbfr) return 0.;
- double dblDPE = 0.;
- for (org.drip.spline.segment.LatentStateResponseModel lsrm : _aLSRM)
- dblDPE += lsrm.bestFitDPE (rbfr.sizeToSegment (lsrm));
- return dblDPE;
- }
- @Override public org.drip.state.representation.MergeSubStretchManager msm()
- {
- return null;
- }
- @Override public java.lang.String displayString()
- {
- java.lang.StringBuffer sb = new java.lang.StringBuffer();
- for (int i = 0; i < _aLSRM.length; ++i)
- sb.append (_aLSRM[i].displayString() + " \n");
- return sb.toString();
- }
- }