CurveStretch.java

package org.drip.state.estimator;

/*
 * -*- 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>CurveStretch</i> expands the regular Multi-Segment Stretch to aid the calibration of Boot-strapped
 * Instruments. In particular, CurveStretch implements the following functions that are used at different
 * stages of curve construction sequence:
 *
 *  <br><br>
 *  <ul>
 *      <li>
 *          Mark the Range of the "built" Segments
 *      </li>
 *      <li>
 *          Clear the built range mark to signal the start of a fresh calibration run
 *      </li>
 *      <li>
 *          Indicate if the specified Predictor Ordinate is inside the "Built" Range
 *      </li>
 *      <li>
 *          Retrieve the MergeSubStretchManager
 *      </li>
 *  </ul>
 *
 *  <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/estimator/README.md">Multi-Pass Customized Stretch Curve</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class CurveStretch extends org.drip.spline.stretch.CalibratableMultiSegmentSequence {
    private double _dblBuiltPredictorOrdinateRight = java.lang.Double.NaN;
    private org.drip.state.representation.MergeSubStretchManager _msm = null;

    /**
     * CurveStretch 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 CurveStretch (
        final java.lang.String strName,
        final org.drip.spline.segment.LatentStateResponseModel[] aCS,
        final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC)
        throws java.lang.Exception
    {
        super (strName, aCS, aSCBC);

        _dblBuiltPredictorOrdinateRight = getLeftPredictorOrdinateEdge();
    }

    /**
     * Mark the Range of the "built" Segments, and set the set of Merge Latent States
     * 
     * @param iSegment The Current Segment Range Built
     * @param setLSL Set of the merging Latent State Labels
     * 
     * @return TRUE - Range successfully marked as "built"
     */

    public boolean markSegmentBuilt (
        final int iSegment,
        final java.util.Set<org.drip.state.identifier.LatentStateLabel> setLSL)
    {
        org.drip.spline.segment.LatentStateResponseModel[] aCS = segments();

        if (iSegment >= aCS.length) return false;

        _dblBuiltPredictorOrdinateRight = aCS[iSegment].right();

        if (null == setLSL || 0 == setLSL.size()) return true;

        if (null == _msm) _msm = new org.drip.state.representation.MergeSubStretchManager();

        for (org.drip.state.identifier.LatentStateLabel lsl : setLSL) {
            try {
                if (!_msm.addMergeStretch (new org.drip.state.representation.LatentStateMergeSubStretch
                    (aCS[iSegment].left(), aCS[iSegment].right(), lsl)))
                    return false;
            } catch (java.lang.Exception e) {
                e.printStackTrace();
            }
        }

        return true;
    }

    /**
     * Clear the built range mark to signal the start of a fresh calibration run
     * 
     * @return TRUE - Built Range successfully cleared
     */

    public boolean clearBuiltRange()
    {
        _dblBuiltPredictorOrdinateRight = getLeftPredictorOrdinateEdge();

        _msm = null;
        return true;
    }

    /**
     * Indicate if the specified Predictor Ordinate is inside the "Built" Range
     * 
     * @param dblPredictorOrdinate The Predictor Ordinate
     * 
     * @return TRUE - The specified Predictor Ordinate is inside the "Built" Range
     * 
     * @throws java.lang.Exception Thrown if inputs are invalid
     */

    public boolean inBuiltRange (
        final double dblPredictorOrdinate)
        throws java.lang.Exception
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorOrdinate))
            throw new java.lang.Exception ("CurveStretch.inBuiltRange => Invalid Inputs");

        return dblPredictorOrdinate >= getLeftPredictorOrdinateEdge() && dblPredictorOrdinate <=
            _dblBuiltPredictorOrdinateRight;
    }

    @Override public org.drip.state.representation.MergeSubStretchManager msm()
    {
        return _msm;
    }
}