CalibratableMultiSegmentSequence.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>CalibratableMultiSegmentSequence</i> implements the MultiSegmentSequence span that spans multiple
  85.  * segments. It holds the ordered segment sequence, segment sequence builder, the segment control parameters,
  86.  * and, if available, the spanning Jacobian. It provides a variety of customization for the segment
  87.  * construction and state representation control.
  88.  *
  89.  * <br><br>
  90.  *  <ul>
  91.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  92.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/SplineBuilderLibrary.md">Spline Builder Library</a></li>
  93.  *      <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>
  94.  *      <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>
  95.  *  </ul>
  96.  * <br><br>
  97.  *
  98.  * @author Lakshmi Krishnamurthy
  99.  */

  101. public class CalibratableMultiSegmentSequence extends org.drip.function.definition.R1ToR1 implements
  102.     org.drip.spline.stretch.MultiSegmentSequence {
  103.     private static final int MAXIMA_PREDICTOR_ORDINATE_NODE = 1;
  104.     private static final int MINIMA_PREDICTOR_ORDINATE_NODE = 2;
  105.     private static final int MONOTONE_PREDICTOR_ORDINATE_NODE = 4;

  107.     private java.lang.String _strName = "";
  108.     private org.drip.spline.stretch.SegmentSequenceBuilder _ssb = null;
  109.     private org.drip.spline.segment.LatentStateResponseModel[] _aLSRM = null;
  110.     private org.drip.spline.params.SegmentCustomBuilderControl[] _aSCBC = null;
  111.     private org.drip.numerical.differentiation.WengertJacobian _wjDCoeffDEdgeParams = null;

  113.     private boolean setDCoeffDEdgeParams (
  114.         final int iNodeIndex,
  115.         final org.drip.numerical.differentiation.WengertJacobian wjDCoeffDEdgeParams)
  116.     {
  117.         if (null == wjDCoeffDEdgeParams) return false;

  119.         int iParameterIndex = 0 == iNodeIndex ? 0 : 2;

  121.         if (!_wjDCoeffDEdgeParams.accumulatePartialFirstDerivative (0, iNodeIndex,
  122.             wjDCoeffDEdgeParams.firstDerivative (0, iParameterIndex)))
  123.             return false;

  125.         if (!_wjDCoeffDEdgeParams.accumulatePartialFirstDerivative (1, iNodeIndex,
  126.             wjDCoeffDEdgeParams.firstDerivative (1, iParameterIndex)))
  127.             return false;

  129.         if (!_wjDCoeffDEdgeParams.accumulatePartialFirstDerivative (2, iNodeIndex,
  130.             wjDCoeffDEdgeParams.firstDerivative (2, iParameterIndex)))
  131.             return false;

  133.         return _wjDCoeffDEdgeParams.accumulatePartialFirstDerivative (3, iNodeIndex,
  134.             wjDCoeffDEdgeParams.firstDerivative (3, iParameterIndex));
  135.     }

  137.     private final org.drip.numerical.differentiation.WengertJacobian setDResponseDEdgeResponse (
  138.         final int iNodeIndex,
  139.         final org.drip.numerical.differentiation.WengertJacobian wjDResponseDEdgeParams)
  140.     {
  141.         if (null == wjDResponseDEdgeParams) return null;

  143.         int iNumSegment = _aLSRM.length;
  144.         org.drip.numerical.differentiation.WengertJacobian wjDResponseDEdgeResponse = null;

  146.         try {
  147.             wjDResponseDEdgeResponse = new org.drip.numerical.differentiation.WengertJacobian (1, iNumSegment + 1);
  148.         } catch (java.lang.Exception e) {
  149.             e.printStackTrace();

  151.             return null;
  152.         }

  154.         for (int i = 0; i <= iNumSegment; ++i) {
  155.             if (i == iNodeIndex) {
  156.                 if (!wjDResponseDEdgeResponse.accumulatePartialFirstDerivative (0, i,
  157.                     wjDResponseDEdgeParams.firstDerivative (0,
  158.                         org.drip.spline.segment.LatentStateResponseModel.LEFT_NODE_VALUE_PARAMETER_INDEX)) ||
  159.                             !wjDResponseDEdgeResponse.accumulatePartialFirstDerivative (0, i + 1,
  160.                                 wjDResponseDEdgeParams.firstDerivative (0,
  161.                                     org.drip.spline.segment.LatentStateResponseModel.RIGHT_NODE_VALUE_PARAMETER_INDEX)))
  162.                     return null;
  163.             }
  164.         }

  166.         return wjDResponseDEdgeResponse;
  167.     }

  169.     /**
  170.      * CalibratableMultiSegmentSequence constructor - Construct a sequence of Basis Spline Segments
  171.      * 
  172.      * @param strName Name of the Stretch
  173.      * @param aCS Array of Segments
  174.      * @param aSCBC Array of Segment Builder Parameters
  175.      * 
  176.      * @throws java.lang.Exception Thrown if the inputs are invalid
  177.      */

  179.     public CalibratableMultiSegmentSequence (
  180.         final java.lang.String strName,
  181.         final org.drip.spline.segment.LatentStateResponseModel[] aCS,
  182.         final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC)
  183.         throws java.lang.Exception
  184.     {
  185.         super (null);

  187.         if (null == aCS || null == aSCBC || null == (_strName = strName) || _strName.isEmpty())
  188.             throw new java.lang.Exception ("CalibratableMultiSegmentSequence ctr => Invalid inputs!");

  190.         int iNumSegment = aCS.length;
  191.         _aLSRM = new org.drip.spline.segment.LatentStateResponseModel[iNumSegment];
  192.         _aSCBC = new org.drip.spline.params.SegmentCustomBuilderControl[iNumSegment];

  194.         if (0 == iNumSegment || iNumSegment != aSCBC.length)
  195.             throw new java.lang.Exception ("CalibratableMultiSegmentSequence ctr => Invalid inputs!");

  197.         for (int i = 0; i < iNumSegment; ++i) {
  198.             if (null == (_aLSRM[i] = aCS[i]) || null == (_aSCBC[i] = aSCBC[i]))
  199.                 throw new java.lang.Exception ("CalibratableMultiSegmentSequence ctr => Invalid inputs!");
  200.         }
  201.     }

  203.     @Override public java.lang.String name()
  204.     {
  205.         return _strName;
  206.     }

  208.     @Override public org.drip.spline.segment.LatentStateResponseModel[] segments()
  209.     {
  210.         return _aLSRM;
  211.     }

  213.     @Override public org.drip.spline.params.SegmentCustomBuilderControl[] segmentBuilderControl()
  214.     {
  215.         return _aSCBC;
  216.     }

  218.     @Override public boolean setup (
  219.         final org.drip.spline.stretch.SegmentSequenceBuilder ssb,
  220.         final int iCalibrationDetail)
  221.     {
  222.         if (null == (_ssb = ssb) || !_ssb.setStretch (this)) return false;

  224.         if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_FLOATING ==
  225.             _ssb.getCalibrationBoundaryCondition().boundaryCondition()) {
  226.             if (!_ssb.calibStartingSegment (0.) || !_ssb.calibSegmentSequence (1) ||
  227.                 !_ssb.manifestMeasureSensitivity (0.))
  228.                 return false;
  229.         } else if (0 != (org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE & iCalibrationDetail)) {
  230.             org.drip.function.r1tor1solver.FixedPointFinderOutput fpop = null;

  232.             if (null == fpop || !fpop.containsRoot()) {
  233.                 try {
  234.                     fpop = new org.drip.function.r1tor1solver.FixedPointFinderZheng (0., this,
  235.                         true).findRoot();
  236.                 } catch (java.lang.Exception e) {
  237.                     e.printStackTrace();

  239.                     return false;
  240.                 }
  241.             }

  243.             if (null == fpop || !org.drip.numerical.common.NumberUtil.IsValid (fpop.getRoot()) ||
  244.                 !_ssb.manifestMeasureSensitivity (0.)) {
  245.                 System.out.println ("FPOP: " + fpop);

  247.                 return false;
  248.             }
  249.         }

  251.         if (0 != (org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE_JACOBIAN & iCalibrationDetail)) {
  252.             int iNumSegment = _aLSRM.length;

  254.             try {
  255.                 if (null == (_wjDCoeffDEdgeParams = new org.drip.numerical.differentiation.WengertJacobian
  256.                     (_aLSRM[0].basisEvaluator().numBasis(), iNumSegment + 1)))
  257.                     return false;
  258.             } catch (java.lang.Exception e) {
  259.                 e.printStackTrace();

  261.                 return false;
  262.             }

  264.             org.drip.numerical.differentiation.WengertJacobian wjHead = _aLSRM[0].jackDCoeffDEdgeInputs();

  266.             if (!setDCoeffDEdgeParams (0, wjHead) || !setDCoeffDEdgeParams (1, wjHead)) return false;

  268.             for (int i = 1; i < iNumSegment; ++i) {
  269.                 if (!setDCoeffDEdgeParams (i + 1, _aLSRM[i].jackDCoeffDEdgeInputs())) return false;
  270.             }
  271.         }

  273.         return true;
  274.     }

  276.     @Override public boolean setup (
  277.         final org.drip.spline.params.SegmentResponseValueConstraint srvcLeading,
  278.         final org.drip.spline.params.SegmentResponseValueConstraint[] aSRVC,
  279.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  280.         final org.drip.spline.stretch.BoundarySettings bs,
  281.         final int iCalibrationDetail)
  282.     {
  283.         try {
  284.             return setup (new org.drip.spline.stretch.CkSegmentSequenceBuilder (srvcLeading, aSRVC, sbfr,
  285.                 bs), iCalibrationDetail);
  286.         } catch (java.lang.Exception e) {
  287.             e.printStackTrace();
  288.         }

  290.         return false;
  291.     }

  293.     @Override public boolean setup (
  294.         final double dblLeftStretchResponseValue,
  295.         final org.drip.spline.params.SegmentResponseValueConstraint[] aSRVC,
  296.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  297.         final org.drip.spline.stretch.BoundarySettings bs,
  298.         final int iCalibrationDetail)
  299.     {
  300.         return setup (org.drip.spline.params.SegmentResponseValueConstraint.FromPredictorResponsePair
  301.             (getLeftPredictorOrdinateEdge(), dblLeftStretchResponseValue), aSRVC, sbfr, bs,
  302.                 iCalibrationDetail);
  303.     }

  305.     @Override public boolean setup (
  306.         final double dblLeftStretchResponseValue,
  307.         final double[] adblSegmentRightResponseValue,
  308.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  309.         final org.drip.spline.stretch.BoundarySettings bs,
  310.         final int iCalibrationDetail)
  311.     {
  312.         int iNumSegment = _aLSRM.length;
  313.         org.drip.spline.params.SegmentResponseValueConstraint[] aSRVCRight = new
  314.             org.drip.spline.params.SegmentResponseValueConstraint[iNumSegment];

  316.         if (0 == iNumSegment || iNumSegment != adblSegmentRightResponseValue.length) return false;

  318.         try {
  319.             for (int i = 0; i < iNumSegment; ++i)
  320.                 aSRVCRight[i] = new org.drip.spline.params.SegmentResponseValueConstraint (new double[]
  321.                     {_aLSRM[i].right()}, new double[] {1.}, adblSegmentRightResponseValue[i]);
  322.         } catch (java.lang.Exception e) {
  323.             e.printStackTrace();

  325.             return false;
  326.         }

  328.         return setup (dblLeftStretchResponseValue, aSRVCRight, sbfr, bs, iCalibrationDetail);
  329.     }

  331.     @Override public boolean setupHermite (
  332.         final org.drip.spline.params.SegmentPredictorResponseDerivative[] aSPRDLeft,
  333.         final org.drip.spline.params.SegmentPredictorResponseDerivative[] aSPRDRight,
  334.         final org.drip.spline.params.SegmentResponseValueConstraint[][] aaSRVC,
  335.         final org.drip.spline.params.StretchBestFitResponse sbfr,
  336.         final int iSetupMode)
  337.     {
  338.         if (null == aSPRDLeft || null == aSPRDRight) return false;

  340.         int iNumSegment = _aLSRM.length;

  342.         if (iNumSegment != aSPRDLeft.length || iNumSegment != aSPRDRight.length || (null != aaSRVC &&
  343.             iNumSegment != aaSRVC.length))
  344.             return false;

  346.         for (int i = 0; i < iNumSegment; ++i) {
  347.             try {
  348.                 int iNumSegmentConstraint = 0;
  349.                 org.drip.spline.params.SegmentBasisFlexureConstraint[] aSBFC = null;

  351.                 if (null != aaSRVC && null != aaSRVC[i]) {
  352.                     aSBFC = new org.drip.spline.params.SegmentBasisFlexureConstraint[iNumSegmentConstraint =
  353.                         aaSRVC[i].length];

  355.                     for (int j = 0; i < iNumSegmentConstraint; ++j)
  356.                         aSBFC[j] = null == aaSRVC[i][j] ? null : aaSRVC[i][j].responseIndexedBasisConstraint
  357.                             (_aLSRM[i].basisEvaluator(), _aLSRM[i]);
  358.                 }

  360.                 if (0 != (org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE & iSetupMode) &&
  361.                     !_aLSRM[i].calibrateState (new org.drip.spline.params.SegmentStateCalibrationInputs (new
  362.                         double[] {_aLSRM[i].left(), _aLSRM[i].right()}, new double[]
  363.                             {aSPRDLeft[i].responseValue(), aSPRDRight[i].responseValue()},
  364.                                 aSPRDLeft[i].getDResponseDPredictorOrdinate(),
  365.                                     aSPRDRight[i].getDResponseDPredictorOrdinate(), aSBFC, null == sbfr ?
  366.                                         null : sbfr.sizeToSegment (_aLSRM[i]))))
  367.                     return false;
  368.             } catch (java.lang.Exception e) {
  369.                 e.printStackTrace();

  371.                 return false;
  372.             }
  373.         }

  375.         if (0 != (org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE_JACOBIAN & iSetupMode)) {
  376.             try {
  377.                 if (null == (_wjDCoeffDEdgeParams = new org.drip.numerical.differentiation.WengertJacobian
  378.                     (_aLSRM[0].basisEvaluator().numBasis(), iNumSegment + 1)))
  379.                     return false;
  380.             } catch (java.lang.Exception e) {
  381.                 e.printStackTrace();

  383.                 return false;
  384.             }

  386.             org.drip.numerical.differentiation.WengertJacobian wjDCoeffDEdgeParamsHead =
  387.                 _aLSRM[0].jackDCoeffDEdgeInputs();

  389.             if (!setDCoeffDEdgeParams (0, wjDCoeffDEdgeParamsHead) || !setDCoeffDEdgeParams (1,
  390.                 wjDCoeffDEdgeParamsHead))
  391.                 return false;

  393.             for (int i = 1; i < iNumSegment; ++i) {
  394.                 if (!setDCoeffDEdgeParams (i + 1, _aLSRM[i].jackDCoeffDEdgeInputs())) return false;
  395.             }
  396.         }

  398.         return true;
  399.     }

  401.     @Override public double evaluate (
  402.         final double dblLeftSlope)
  403.         throws java.lang.Exception
  404.     {
  405.         if (null == _ssb || !_ssb.calibStartingSegment (dblLeftSlope) || !_ssb.calibSegmentSequence (1))
  406.             throw new java.lang.Exception
  407.                 ("CalibratableMultiSegmentSequence::evaluate => cannot set up segments!");

  409.         org.drip.spline.stretch.BoundarySettings bs = _ssb.getCalibrationBoundaryCondition();

  411.         int iBC = bs.boundaryCondition();

  413.         if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_NATURAL == iBC)
  414.             return calcRightEdgeDerivative (bs.rightDerivOrder());

  416.         if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_FINANCIAL == iBC)
  417.         {
  418.             return calcRightEdgeDerivative (bs.rightDerivOrder());
  419.         }

  421.         if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_NOT_A_KNOT == iBC)
  422.             return calcRightEdgeDerivative (bs.rightDerivOrder()) - calcLeftEdgeDerivative
  423.                 (bs.leftDerivOrder());

  425.         throw new java.lang.Exception ("CalibratableMultiSegmentSequence::evaluate => Boundary Condition " +
  426.             iBC + " unknown");
  427.     }

  429.     @Override public double integrate (
  430.         final double dblBegin,
  431.         final double dblEnd)
  432.         throws java.lang.Exception
  433.     {
  434.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblBegin) || !org.drip.numerical.common.NumberUtil.IsValid
  435.             (dblEnd))
  436.             throw new java.lang.Exception ("CalibratableMultiSegmentSequence::integrate => Invalid Inputs");

  438.         return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
  439.     }

  441.     @Override public boolean setLeftNode (
  442.         final double dblStretchLeftResponse,
  443.         final double dblStretchLeftResponseSlope,
  444.         final double dblStretchRightResponse,
  445.         final org.drip.spline.params.StretchBestFitResponse sbfr)
  446.     {
  447.         return _aLSRM[0].calibrate
  448.             (org.drip.spline.params.SegmentResponseValueConstraint.FromPredictorResponsePair
  449.                 (getLeftPredictorOrdinateEdge(), dblStretchLeftResponse), dblStretchLeftResponseSlope,
  450.                     org.drip.spline.params.SegmentResponseValueConstraint.FromPredictorResponsePair
  451.                         (getRightPredictorOrdinateEdge(), dblStretchRightResponse), null == sbfr ? null :
  452.                             sbfr.sizeToSegment (_aLSRM[0]));
  453.     }

  455.     @Override public double responseValue (
  456.         final double dblPredictorOrdinate)
  457.         throws java.lang.Exception
  458.     {
  459.         return _aLSRM[containingIndex (dblPredictorOrdinate, true, true)].responseValue
  460.             (dblPredictorOrdinate);
  461.     }

  463.     @Override public double responseValueDerivative (
  464.         final double dblPredictorOrdinate,
  465.         final int iOrder)
  466.         throws java.lang.Exception
  467.     {
  468.         return _aLSRM[containingIndex (dblPredictorOrdinate, true, true)].calcResponseValueDerivative
  469.             (dblPredictorOrdinate, iOrder);
  470.     }

  472.     @Override public org.drip.spline.params.SegmentPredictorResponseDerivative calcSPRD (
  473.         final double dblPredictorOrdinate)
  474.     {
  475.         int iIndex = -1;

  477.         try {
  478.             iIndex = containingIndex (dblPredictorOrdinate, true, true);
  479.         } catch (java.lang.Exception e) {
  480.             e.printStackTrace();

  482.             return null;
  483.         }

  485.         int iCk = _aSCBC[iIndex].inelasticParams().Ck();

  487.         double adblDeriv[] = new double[iCk];

  489.         try {
  490.             for (int i = 0; i < iCk; ++i)
  491.                 adblDeriv[i] = _aLSRM[iIndex].calcResponseValueDerivative (dblPredictorOrdinate, i);

  493.             return new org.drip.spline.params.SegmentPredictorResponseDerivative
  494.                 (_aLSRM[iIndex].responseValue (dblPredictorOrdinate), adblDeriv);
  495.         } catch (java.lang.Exception e) {
  496.             e.printStackTrace();
  497.         }

  499.         return null;
  500.     }

  502.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDResponseDCalibrationInput (
  503.         final double dblPredictorOrdinate,
  504.         final int iOrder)
  505.     {
  506.         int iIndex = -1;

  508.         try {
  509.             iIndex = containingIndex (dblPredictorOrdinate, true, true);
  510.         } catch (java.lang.Exception e) {
  511.             e.printStackTrace();

  513.             return null;
  514.         }

  516.         return setDResponseDEdgeResponse (iIndex, _aLSRM[iIndex].jackDResponseDEdgeInput
  517.             (dblPredictorOrdinate, iOrder));
  518.     }

  520.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDResponseDManifestMeasure (
  521.         final java.lang.String strManifestMeasure,
  522.         final double dblPredictorOrdinate,
  523.         final int iOrder)
  524.     {
  525.         int iPriorImpactFadeIndex = 0;
  526.         int iNumSegment = _aLSRM.length;

  528.         try {
  529.             int iIndex = containingIndex (dblPredictorOrdinate, true, true);

  531.             boolean bContainingSegmentImpactFade = _aLSRM[iIndex].impactFade (strManifestMeasure);

  533.             if (!bContainingSegmentImpactFade && 0 != iIndex) {
  534.                 for (int i = iIndex - 1; i >= 0; --i) {
  535.                     if (_aLSRM[i].impactFade (strManifestMeasure)) {
  536.                         iPriorImpactFadeIndex = i;
  537.                         break;
  538.                     }
  539.                 }
  540.             }

  542.             org.drip.numerical.differentiation.WengertJacobian wjDResponseDManifestMeasure = new
  543.                 org.drip.numerical.differentiation.WengertJacobian (1, iNumSegment);

  545.             for (int i = 0; i < iNumSegment; ++i) {
  546.                 double dblDResponseDManifestMeasurei = 0.;

  548.                 if (i == iIndex)
  549.                     dblDResponseDManifestMeasurei = _aLSRM[i].calcDResponseDManifest (strManifestMeasure,
  550.                         dblPredictorOrdinate, iOrder);
  551.                 else if (i == iIndex - 1)
  552.                     dblDResponseDManifestMeasurei = _aLSRM[i + 1].calcDResponseDPreceedingManifest
  553.                         (strManifestMeasure, dblPredictorOrdinate, iOrder);
  554.                 else if (!bContainingSegmentImpactFade && i >= iPriorImpactFadeIndex && i < iIndex - 1)
  555.                     dblDResponseDManifestMeasurei = _aLSRM[i].calcDResponseDManifest (strManifestMeasure,
  556.                         _aLSRM[i].right(), iOrder);

  558.                 if (!wjDResponseDManifestMeasure.accumulatePartialFirstDerivative (0, i,
  559.                     dblDResponseDManifestMeasurei))
  560.                     return null;
  561.             }

  563.             return wjDResponseDManifestMeasure;
  564.         } catch (java.lang.Exception e) {
  565.             // e.printStackTrace();
  566.         }

  568.         return null;
  569.     }

  571.     @Override public org.drip.spline.segment.Monotonocity monotoneType (
  572.         final double dblPredictorOrdinate)
  573.     {
  574.         int iIndex = -1;

  576.         try {
  577.             iIndex = containingIndex (dblPredictorOrdinate, true, true);
  578.         } catch (java.lang.Exception e) {
  579.             e.printStackTrace();

  581.             return null;
  582.         }

  584.         return _aLSRM[iIndex].monotoneType();
  585.     }

  587.     @Override public boolean isLocallyMonotone()
  588.         throws java.lang.Exception
  589.     {
  590.         int iNumSegment = _aLSRM.length;

  592.         for (int i = 0; i < iNumSegment; ++i) {
  593.             org.drip.spline.segment.Monotonocity mono = null;

  595.             try {
  596.                 mono = _aLSRM[i].monotoneType();
  597.             } catch (java.lang.Exception e) {
  598.                 e.printStackTrace();
  599.             }

  601.             if (null == mono || org.drip.spline.segment.Monotonocity.MONOTONIC != mono.type()) return false;
  602.         }

  604.         return true;
  605.     }

  607.     @Override public boolean isCoMonotone (
  608.         final double[] adblMeasuredResponse)
  609.         throws java.lang.Exception
  610.     {
  611.         int iNumSegment = _aLSRM.length;
  612.         int[] aiMonotoneType = new int[iNumSegment];
  613.         int[] aiNodeMiniMax = new int[iNumSegment + 1];

  615.         if (null == adblMeasuredResponse || adblMeasuredResponse.length != iNumSegment + 1)
  616.             throw new java.lang.Exception
  617.                 ("CalibratableMultiSegmentSequence::isCoMonotone => Data input inconsistent with the segment");

  619.         for (int i = 0; i < iNumSegment + 1; ++i) {
  620.             if (0 == i || iNumSegment == i)
  621.                 aiNodeMiniMax[i] = MONOTONE_PREDICTOR_ORDINATE_NODE;
  622.             else {
  623.                 if (adblMeasuredResponse[i - 1] < adblMeasuredResponse[i] && adblMeasuredResponse[i + 1] <
  624.                     adblMeasuredResponse[i])
  625.                     aiNodeMiniMax[i] = MAXIMA_PREDICTOR_ORDINATE_NODE;
  626.                 else if (adblMeasuredResponse[i - 1] > adblMeasuredResponse[i] && adblMeasuredResponse[i + 1]
  627.                     > adblMeasuredResponse[i])
  628.                     aiNodeMiniMax[i] = MINIMA_PREDICTOR_ORDINATE_NODE;
  629.                 else
  630.                     aiNodeMiniMax[i] = MONOTONE_PREDICTOR_ORDINATE_NODE;
  631.             }

  633.             if (i < iNumSegment) {
  634.                 org.drip.spline.segment.Monotonocity mono = _aLSRM[i].monotoneType();

  636.                 if (null != mono) aiMonotoneType[i] = mono.type();
  637.             }
  638.         }

  640.         for (int i = 1; i < iNumSegment; ++i) {
  641.             if (MAXIMA_PREDICTOR_ORDINATE_NODE == aiNodeMiniMax[i]) {
  642.                 if (org.drip.spline.segment.Monotonocity.MAXIMA != aiMonotoneType[i] &&
  643.                     org.drip.spline.segment.Monotonocity.MAXIMA != aiMonotoneType[i - 1])
  644.                     return false;
  645.             } else if (MINIMA_PREDICTOR_ORDINATE_NODE == aiNodeMiniMax[i]) {
  646.                 if (org.drip.spline.segment.Monotonocity.MINIMA != aiMonotoneType[i] &&
  647.                     org.drip.spline.segment.Monotonocity.MINIMA != aiMonotoneType[i - 1])
  648.                     return false;
  649.             }
  650.         }

  652.         return true;
  653.     }

  655.     @Override public boolean isKnot (
  656.         final double dblPredictorOrdinate)
  657.     {
  658.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorOrdinate)) return false;

  660.         int iNumSegment = _aLSRM.length;

  662.         for (int i = 0; i < iNumSegment; ++i) {
  663.             if (dblPredictorOrdinate == _aLSRM[i].left()) return false;
  664.         }

  666.         return dblPredictorOrdinate == _aLSRM[iNumSegment - 1].left();
  667.     }

  669.     @Override public double calcLeftEdgeDerivative (
  670.         final int iOrder)
  671.         throws java.lang.Exception
  672.     {
  673.         org.drip.spline.segment.LatentStateResponseModel lsrm = _aLSRM[0];

  675.         return lsrm.calcResponseValueDerivative (lsrm.left(), iOrder);
  676.     }

  678.     @Override public double calcRightEdgeDerivative (
  679.         final int iOrder)
  680.         throws java.lang.Exception
  681.     {
  682.         org.drip.spline.segment.LatentStateResponseModel lsrm = _aLSRM[_aLSRM.length - 1];

  684.         return lsrm.calcResponseValueDerivative (lsrm.right(), iOrder);
  685.     }

  687.     @Override public boolean resetNode (
  688.         final int iPredictorOrdinateIndex,
  689.         final double dblResponseReset)
  690.     {
  691.         if (0 == iPredictorOrdinateIndex || 1 == iPredictorOrdinateIndex || _aLSRM.length <
  692.             iPredictorOrdinateIndex || !org.drip.numerical.common.NumberUtil.IsValid (dblResponseReset))
  693.             return false;

  695.         return _aLSRM[iPredictorOrdinateIndex - 1].calibrate (_aLSRM[iPredictorOrdinateIndex - 2],
  696.             dblResponseReset, null);
  697.     }

  699.     @Override public boolean resetNode (
  700.         final int iPredictorOrdinateIndex,
  701.         final org.drip.spline.params.SegmentResponseValueConstraint srvcReset)
  702.     {
  703.         if (0 == iPredictorOrdinateIndex || 1 == iPredictorOrdinateIndex || _aLSRM.length <
  704.             iPredictorOrdinateIndex || null == srvcReset)
  705.             return false;

  707.         return _aLSRM[iPredictorOrdinateIndex - 1].calibrate (_aLSRM[iPredictorOrdinateIndex - 2], srvcReset,
  708.             null);
  709.     }

  711.     @Override public org.drip.function.definition.R1ToR1 toAU()
  712.     {
  713.         org.drip.function.definition.R1ToR1 au = new
  714.             org.drip.function.definition.R1ToR1 (null)
  715.         {
  716.             @Override public double evaluate (
  717.                 final double dblVariate)
  718.                 throws java.lang.Exception
  719.             {
  720.                 return responseValue (dblVariate);
  721.             }

  723.             @Override public double derivative (
  724.                 final double dblVariate,
  725.                 final int iOrder)
  726.                 throws java.lang.Exception
  727.             {
  728.                 return responseValueDerivative (dblVariate, iOrder);
  729.             }
  730.         };

  732.         return au;
  733.     }

  735.     @Override public boolean in (
  736.         final double dblPredictorOrdinate)
  737.         throws java.lang.Exception
  738.     {
  739.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorOrdinate))
  740.             throw new java.lang.Exception ("CalibratableMultiSegmentSequence::in => Invalid inputs");

  742.         return dblPredictorOrdinate >= getLeftPredictorOrdinateEdge() && dblPredictorOrdinate <=
  743.             getRightPredictorOrdinateEdge();
  744.     }

  746.     @Override public double getLeftPredictorOrdinateEdge()
  747.     {
  748.         return _aLSRM[0].left();
  749.     }

  751.     @Override public double getRightPredictorOrdinateEdge()
  752.     {
  753.         return _aLSRM[_aLSRM.length - 1].right();
  754.     }

  756.     @Override public int containingIndex (
  757.         final double dblPredictorOrdinate,
  758.         final boolean bIncludeLeft,
  759.         final boolean bIncludeRight)
  760.         throws java.lang.Exception
  761.     {
  762.         if (!in (dblPredictorOrdinate))
  763.             throw new java.lang.Exception
  764.                 ("CalibratableMultiSegmentSequence::containingIndex => Predictor Ordinate not in the Stretch Range");

  766.         int iNumSegment = _aLSRM.length;

  768.         for (int i = 0 ; i < iNumSegment; ++i) {
  769.             boolean bLeftValid = bIncludeLeft ? _aLSRM[i].left() <= dblPredictorOrdinate : _aLSRM[i].left() <
  770.                 dblPredictorOrdinate;

  772.             boolean bRightValid = bIncludeRight ? _aLSRM[i].right() >= dblPredictorOrdinate :
  773.                 _aLSRM[i].right() > dblPredictorOrdinate;

  775.             if (bLeftValid && bRightValid) return i;
  776.         }

  778.         throw new java.lang.Exception
  779.             ("CalibratableMultiSegmentSequence::containingIndex => Cannot locate Containing Index");
  780.     }

  782.     @Override public CalibratableMultiSegmentSequence clipLeft (
  783.         final java.lang.String strName,
  784.         final double dblPredictorOrdinate)
  785.     {
  786.         int iNumSegment = _aLSRM.length;
  787.         int iContainingPredictorOrdinateIndex = 0;

  789.         try {
  790.             iContainingPredictorOrdinateIndex = containingIndex (dblPredictorOrdinate, true, false);
  791.         } catch (java.lang.Exception e) {
  792.             e.printStackTrace();

  794.             return null;
  795.         }

  797.         int iNumClippedSegment = iNumSegment - iContainingPredictorOrdinateIndex;
  798.         org.drip.spline.segment.LatentStateResponseModel[] aCS = new
  799.             org.drip.spline.segment.LatentStateResponseModel[iNumClippedSegment];
  800.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  801.             org.drip.spline.params.SegmentCustomBuilderControl[iNumClippedSegment];

  803.         for (int i = 0; i < iNumClippedSegment; ++i) {
  804.             if (null == (aCS[i] = 0 == i ?
  805.                 _aLSRM[iContainingPredictorOrdinateIndex].clipLeftOfPredictorOrdinate (dblPredictorOrdinate)
  806.                     : _aLSRM[i + iContainingPredictorOrdinateIndex]))
  807.                 return null;

  809.             aSCBC[i] = _aSCBC[i + iContainingPredictorOrdinateIndex];
  810.         }

  812.         try {
  813.             return new CalibratableMultiSegmentSequence (strName, aCS, aSCBC);
  814.         } catch (java.lang.Exception e) {
  815.             e.printStackTrace();
  816.         }

  818.         return null;
  819.     }

  821.     @Override public CalibratableMultiSegmentSequence clipRight (
  822.         final java.lang.String strName,
  823.         final double dblPredictorOrdinate)
  824.     {
  825.         int iContainingPredictorOrdinateIndex = 0;

  827.         try {
  828.             iContainingPredictorOrdinateIndex = containingIndex (dblPredictorOrdinate, false, true);
  829.         } catch (java.lang.Exception e) {
  830.             e.printStackTrace();

  832.             return null;
  833.         }

  835.         org.drip.spline.segment.LatentStateResponseModel[] aCS = new
  836.             org.drip.spline.segment.LatentStateResponseModel[iContainingPredictorOrdinateIndex + 1];
  837.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  838.             org.drip.spline.params.SegmentCustomBuilderControl[iContainingPredictorOrdinateIndex + 1];

  840.         for (int i = 0; i <= iContainingPredictorOrdinateIndex; ++i) {
  841.             if (null == (aCS[i] = iContainingPredictorOrdinateIndex == i ?
  842.                 _aLSRM[iContainingPredictorOrdinateIndex].clipRightOfPredictorOrdinate (dblPredictorOrdinate)
  843.                     : _aLSRM[i]))
  844.                 return null;

  846.             aSCBC[i] = _aSCBC[i];
  847.         }

  849.         try {
  850.             return new CalibratableMultiSegmentSequence (strName, aCS, aSCBC);
  851.         } catch (java.lang.Exception e) {
  852.             e.printStackTrace();
  853.         }

  855.         return null;
  856.     }

  858.     @Override public double curvatureDPE()
  859.         throws java.lang.Exception
  860.     {
  861.         double dblDPE = 0.;

  863.         for (org.drip.spline.segment.LatentStateResponseModel lsrm : _aLSRM)
  864.             dblDPE += lsrm.curvatureDPE();

  866.         return dblDPE;
  867.     }

  869.     @Override public double lengthDPE()
  870.         throws java.lang.Exception
  871.     {
  872.         double dblDPE = 0.;

  874.         for (org.drip.spline.segment.LatentStateResponseModel lsrm : _aLSRM)
  875.             dblDPE += lsrm.lengthDPE();

  877.         return dblDPE;
  878.     }

  880.     @Override public double bestFitDPE (
  881.         final org.drip.spline.params.StretchBestFitResponse rbfr)
  882.         throws java.lang.Exception
  883.     {
  884.         if (null == rbfr) return 0.;

  886.         double dblDPE = 0.;

  888.         for (org.drip.spline.segment.LatentStateResponseModel lsrm : _aLSRM)
  889.             dblDPE += lsrm.bestFitDPE (rbfr.sizeToSegment (lsrm));

  891.         return dblDPE;
  892.     }

  894.     @Override public org.drip.state.representation.MergeSubStretchManager msm()
  895.     {
  896.         return null;
  897.     }

  899.     @Override public java.lang.String displayString()
  900.     {
  901.         java.lang.StringBuffer sb = new java.lang.StringBuffer();

  903.         for (int i = 0; i < _aLSRM.length; ++i)
  904.             sb.append (_aLSRM[i].displayString() + " \n");

  906.         return sb.toString();
  907.     }
  908. }
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