CkSegmentSequenceBuilder.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>CkSegmentSequenceBuilder</i> implements the SegmentSequenceBuilder interface to customize segment
* sequence construction. Customization is applied at several levels:
*
* <br><br>
* <ul>
* <li>
* Segment Calibration Boundary Setting/Segment Best Fit Response Settings
* </li>
* <li>
* Segment Response Value Constraints for the starting and the subsequent Segments
* </li>
* </ul>
*
* <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 CkSegmentSequenceBuilder implements org.drip.spline.stretch.SegmentSequenceBuilder {
private org.drip.spline.stretch.BoundarySettings _bs = null;
private org.drip.spline.stretch.MultiSegmentSequence _mss = null;
private org.drip.spline.params.StretchBestFitResponse _rbfr = null;
private org.drip.spline.params.SegmentResponseValueConstraint[] _aSRVC = null;
private org.drip.spline.params.SegmentResponseValueConstraint _srvcLeading = null;
/**
* CkSegmentSequenceBuilder constructor
*
* @param srvcLeading Leading Segment Response Value Constraint
* @param aSRVC Array of Segment Response Value Constraints
* @param rbfr Sequence Best Fit Weighted Response
* @param bs The Calibration Boundary Condition
*
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public CkSegmentSequenceBuilder (
final org.drip.spline.params.SegmentResponseValueConstraint srvcLeading,
final org.drip.spline.params.SegmentResponseValueConstraint[] aSRVC,
final org.drip.spline.params.StretchBestFitResponse rbfr,
final org.drip.spline.stretch.BoundarySettings bs)
throws java.lang.Exception
{
_rbfr = rbfr;
_aSRVC = aSRVC;
_srvcLeading = srvcLeading;
if (null == _srvcLeading && (null == _aSRVC || 0 == _aSRVC.length) && null == _rbfr)
throw new java.lang.Exception ("CkSegmentSequenceBuilder ctr: Invalid inputs!");
if (null == (_bs = bs))
throw new java.lang.Exception ("CkSegmentSequenceBuilder ctr: Invalid inputs!");
}
@Override public boolean setStretch (
final org.drip.spline.stretch.MultiSegmentSequence mss)
{
if (null == mss) return false;
_mss = mss;
return true;
}
@Override public org.drip.spline.stretch.BoundarySettings getCalibrationBoundaryCondition()
{
return _bs;
}
@Override public boolean calibStartingSegment (
final double dblLeftSlope)
{
if (null == _mss) return false;
org.drip.spline.segment.LatentStateResponseModel[] aCS = _mss.segments();
return null != aCS && 0 < aCS.length && aCS[0].calibrate (_srvcLeading, dblLeftSlope, null == _aSRVC
? null : _aSRVC[0], null == _rbfr ? null : _rbfr.sizeToSegment (aCS[0]));
}
@Override public boolean calibSegmentSequence (
final int iStartingSegment)
{
if (null == _mss) return false;
org.drip.spline.segment.LatentStateResponseModel[] aCS = _mss.segments();
int iNumSegment = aCS.length;
for (int iSegment = iStartingSegment; iSegment < iNumSegment; ++iSegment) {
if (!aCS[iSegment].calibrate (0 == iSegment ? null : aCS[iSegment - 1], null == _aSRVC ? null :
_aSRVC[iSegment], null == _rbfr ? null : _rbfr.sizeToSegment (aCS[iSegment])))
return false;
}
return true;
}
@Override public boolean manifestMeasureSensitivity (
final double dblLeftSlopeSensitivity)
{
return true;
}
}