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;
    }
}