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;
}
}