BasisSplineTermStructure.java
- package org.drip.state.curve;
- /*
- * -*- 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
- *
- * 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>BasisSplineTermStructure</i> implements the TermStructure Interface - if holds the latent states Term
- * Structure Parameters.
- *
- * <br><br>
- * <ul>
- * <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
- * <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
- * <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/README.md">Latent State Inference and Creation Utilities</a></li>
- * <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/curve/README.md">Basis Spline Based Latent States</a></li>
- * </ul>
- * <br><br>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class BasisSplineTermStructure extends org.drip.analytics.definition.NodeStructure {
- private org.drip.spline.grid.Span _span = null;
- /**
- * BasisSplineTermStructure Constructor
- *
- * @param iEpochDate The Epoch Date
- * @param label Term Structure Latent State Label
- * @param strCurrency The Currency
- * @param span The Latent State Span
- *
- * @throws java.lang.Exception Thrown if the Inputs are Invalid
- */
- public BasisSplineTermStructure (
- final int iEpochDate,
- final org.drip.state.identifier.CustomLabel label,
- final java.lang.String strCurrency,
- final org.drip.spline.grid.Span span)
- throws java.lang.Exception
- {
- super (iEpochDate, label, strCurrency);
- _span = span;
- }
- @Override public double node (
- final int iPredictorOrdinate)
- throws java.lang.Exception
- {
- double dblSpanLeft = _span.left();
- if (dblSpanLeft >= iPredictorOrdinate) return _span.calcResponseValue (dblSpanLeft);
- double dblSpanRight = _span.right();
- if (dblSpanRight <= iPredictorOrdinate) return _span.calcResponseValue (dblSpanRight);
- return _span.calcResponseValue (iPredictorOrdinate);
- }
- @Override public double nodeDerivative (
- final int iPredictorOrdinate,
- final int iOrder)
- throws java.lang.Exception
- {
- if (!org.drip.numerical.common.NumberUtil.IsValid (iPredictorOrdinate))
- throw new java.lang.Exception ("BasisSplineTermStructure::nodeDerivative => Invalid Inputs");
- double dblSpanLeft = _span.left();
- if (dblSpanLeft >= iPredictorOrdinate)
- return _span.calcResponseValueDerivative (dblSpanLeft, iOrder);
- double dblSpanRight = _span.right();
- if (dblSpanRight <= iPredictorOrdinate)
- return _span.calcResponseValueDerivative (dblSpanRight, iOrder);
- return _span.calcResponseValueDerivative (iPredictorOrdinate, iOrder);
- }
- }