LatentStateStretchBuilder.java

  1. package org.drip.state.estimator;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * 
  15.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  16.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  17.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  18.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  19.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  20.  *      and computational support.
  21.  *  
  22.  *      https://lakshmidrip.github.io/DROP/
  23.  *  
  24.  *  DROP is composed of three modules:
  25.  *  
  26.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  27.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  28.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  29.  * 
  30.  *  DROP Product Core implements libraries for the following:
  31.  *  - Fixed Income Analytics
  32.  *  - Loan Analytics
  33.  *  - Transaction Cost Analytics
  34.  * 
  35.  *  DROP Portfolio Core implements libraries for the following:
  36.  *  - Asset Allocation Analytics
  37.  *  - Asset Liability Management Analytics
  38.  *  - Capital Estimation Analytics
  39.  *  - Exposure Analytics
  40.  *  - Margin Analytics
  41.  *  - XVA Analytics
  42.  * 
  43.  *  DROP Computational Core implements libraries for the following:
  44.  *  - Algorithm Support
  45.  *  - Computation Support
  46.  *  - Function Analysis
  47.  *  - Model Validation
  48.  *  - Numerical Analysis
  49.  *  - Numerical Optimizer
  50.  *  - Spline Builder
  51.  *  - Statistical Learning
  52.  * 
  53.  *  Documentation for DROP is Spread Over:
  54.  * 
  55.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  56.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  57.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  58.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  59.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  60.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  61.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  62.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  63.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  64.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  65.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  66.  * 
  67.  *  Licensed under the Apache License, Version 2.0 (the "License");
  68.  *      you may not use this file except in compliance with the License.
  69.  *   
  70.  *  You may obtain a copy of the License at
  71.  *      http://www.apache.org/licenses/LICENSE-2.0
  72.  *  
  73.  *  Unless required by applicable law or agreed to in writing, software
  74.  *      distributed under the License is distributed on an "AS IS" BASIS,
  75.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  76.  *  
  77.  *  See the License for the specific language governing permissions and
  78.  *      limitations under the License.
  79.  */

  81. /**
  82.  * <i>LatentStateStretchBuilder</i> contains the Functionality to construct the Curve Latent State Stretch
  83.  * for the different Latent States.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  89.  *      <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>
  90.  *      <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>
  91.  *  </ul>
  92.  * <br><br>
  93.  * 
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class LatentStateStretchBuilder {

  99.     /**
  100.      * Construct a Forward Latent State Stretch Spec Instance
  101.      * 
  102.      * @param strName Stretch Name
  103.      * @param aCalibComp Array of Calibration Components
  104.      * @param astrCalibMeasure Array of the Calibration Measures
  105.      * @param adblCalibQuote Array of the Calibration Quotes
  106.      * 
  107.      * @return Forward Latent State Stretch Spec Instance
  108.      */

  110.     public static final org.drip.state.inference.LatentStateStretchSpec ForwardStretchSpec (
  111.         final java.lang.String strName,
  112.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  113.         final java.lang.String[] astrCalibMeasure,
  114.         final double[] adblCalibQuote)
  115.     {
  116.         if (null == aCalibComp || null == astrCalibMeasure || null == adblCalibQuote) return null;

  118.         int iNumComp = aCalibComp.length;
  119.         org.drip.state.inference.LatentStateSegmentSpec[] aLSSS = new
  120.             org.drip.state.inference.LatentStateSegmentSpec[iNumComp];

  122.         if (0 == iNumComp || iNumComp != astrCalibMeasure.length || iNumComp != adblCalibQuote.length)
  123.             return null;

  125.         try {
  126.             for (int i = 0; i < iNumComp; ++i) {
  127.                 if (null == aCalibComp[i] || null == astrCalibMeasure[i] || astrCalibMeasure[i].isEmpty() ||
  128.                     !org.drip.numerical.common.NumberUtil.IsValid (adblCalibQuote[i]))
  129.                     return null;

  131.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  132.                     mapForwardLabel = aCalibComp[i].forwardLabel();

  134.                 if (null == mapForwardLabel || 0 == mapForwardLabel.size()) return null;

  136.                 org.drip.product.calib.ProductQuoteSet pqs = aCalibComp[i].calibQuoteSet (new
  137.                     org.drip.state.representation.LatentStateSpecification[] {new
  138.                         org.drip.state.representation.LatentStateSpecification 
  139.                             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FORWARD,
  140.                                 org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE,
  141.                                     mapForwardLabel.get ("DERIVED"))});

  143.                 if (null == pqs || !pqs.set (astrCalibMeasure[i], adblCalibQuote[i])) return null;

  145.                 aLSSS[i] = new org.drip.state.inference.LatentStateSegmentSpec (aCalibComp[i], pqs);
  146.             }

  148.             return new org.drip.state.inference.LatentStateStretchSpec (strName, aLSSS);
  149.         } catch (java.lang.Exception e) {
  150.             e.printStackTrace();
  151.         }

  153.         return null;
  154.     }

  156.     /**
  157.      * Construct a Merged Forward-Funding Latent State Stretch Spec Instance
  158.      * 
  159.      * @param strName Stretch Name
  160.      * @param aCalibComp Array of Calibration Components
  161.      * @param astrCalibMeasure Array of the Calibration Measures
  162.      * @param adblCalibQuote Array of the Calibration Quotes
  163.      * 
  164.      * @return Merged Forward-Funding Latent State Stretch Spec Instance
  165.      */

  167.     public static final org.drip.state.inference.LatentStateStretchSpec ForwardFundingStretchSpec (
  168.         final java.lang.String strName,
  169.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  170.         final java.lang.String[] astrCalibMeasure,
  171.         final double[] adblCalibQuote)
  172.     {
  173.         if (null == aCalibComp || null == astrCalibMeasure || null == adblCalibQuote) return null;

  175.         int iNumComp = aCalibComp.length;
  176.         org.drip.state.inference.LatentStateSegmentSpec[] aLSSS = new
  177.             org.drip.state.inference.LatentStateSegmentSpec[iNumComp];

  179.         if (0 == iNumComp || iNumComp != astrCalibMeasure.length || iNumComp != adblCalibQuote.length)
  180.             return null;

  182.         try {
  183.             for (int i = 0; i < iNumComp; ++i) {
  184.                 if (null == aCalibComp[i] || null == astrCalibMeasure[i] || astrCalibMeasure[i].isEmpty() ||
  185.                     !org.drip.numerical.common.NumberUtil.IsValid (adblCalibQuote[i]))
  186.                     return null;

  188.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  189.                     mapForwardLabel = aCalibComp[i].forwardLabel();

  191.                 if (null == mapForwardLabel || 0 == mapForwardLabel.size()) return null;

  193.                 org.drip.product.calib.ProductQuoteSet pqs = aCalibComp[i].calibQuoteSet (new
  194.                     org.drip.state.representation.LatentStateSpecification[] {new
  195.                         org.drip.state.representation.LatentStateSpecification
  196.                             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FUNDING,
  197.                                 org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR,
  198.                     org.drip.state.identifier.FundingLabel.Standard (aCalibComp[i].payCurrency())), new
  199.                         org.drip.state.representation.LatentStateSpecification 
  200.                             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FORWARD,
  201.                                 org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE,
  202.                                     mapForwardLabel.get ("DERIVED"))});

  204.                 if (null == pqs || !pqs.set (astrCalibMeasure[i], adblCalibQuote[i])) return null;

  206.                 aLSSS[i] = new org.drip.state.inference.LatentStateSegmentSpec (aCalibComp[i], pqs);
  207.             }

  209.             return new org.drip.state.inference.LatentStateStretchSpec (strName, aLSSS);
  210.         } catch (java.lang.Exception e) {
  211.             e.printStackTrace();
  212.         }

  214.         return null;
  215.     }

  217.     /**
  218.      * Construct a Funding Latent State Stretch Spec Instance
  219.      * 
  220.      * @param strName Stretch Name
  221.      * @param aCalibComp Array of Calibration Components
  222.      * @param astrCalibMeasure Array of the Calibration Measures
  223.      * @param adblCalibQuote Array of the Calibration Quotes
  224.      * 
  225.      * @return Funding Latent State Stretch Spec Instance
  226.      */

  228.     public static final org.drip.state.inference.LatentStateStretchSpec FundingStretchSpec (
  229.         final java.lang.String strName,
  230.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  231.         final java.lang.String[] astrCalibMeasure,
  232.         final double[] adblCalibQuote)
  233.     {
  234.         if (null == aCalibComp || null == astrCalibMeasure || null == adblCalibQuote) return null;

  236.         int iNumComp = aCalibComp.length;
  237.         org.drip.state.inference.LatentStateSegmentSpec[] aLSSS = new
  238.             org.drip.state.inference.LatentStateSegmentSpec[iNumComp];

  240.         if (0 == iNumComp || iNumComp != astrCalibMeasure.length || iNumComp != adblCalibQuote.length)
  241.             return null;

  243.         try {
  244.             for (int i = 0; i < iNumComp; ++i) {
  245.                 if (null == aCalibComp[i] || null == astrCalibMeasure[i] || astrCalibMeasure[i].isEmpty() ||
  246.                     !org.drip.numerical.common.NumberUtil.IsValid (adblCalibQuote[i]))
  247.                     return null;

  249.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  250.                     mapForwardLabel = aCalibComp[i].forwardLabel();

  252.                 if (null == mapForwardLabel || 0 == mapForwardLabel.size()) return null;

  254.                 org.drip.product.calib.ProductQuoteSet pqs = aCalibComp[i].calibQuoteSet (new
  255.                     org.drip.state.representation.LatentStateSpecification[] {new
  256.                         org.drip.state.representation.LatentStateSpecification
  257.                             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FUNDING,
  258.                                 org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR,
  259.                                     org.drip.state.identifier.FundingLabel.Standard
  260.                                         (aCalibComp[i].payCurrency()))});

  262.                 if (null == pqs || !pqs.set (astrCalibMeasure[i], adblCalibQuote[i])) return null;

  264.                 aLSSS[i] = new org.drip.state.inference.LatentStateSegmentSpec (aCalibComp[i], pqs);
  265.             }

  267.             return new org.drip.state.inference.LatentStateStretchSpec (strName, aLSSS);
  268.         } catch (java.lang.Exception e) {
  269.             e.printStackTrace();
  270.         }

  272.         return null;
  273.     }

  275.     /**
  276.      * Construct a Forward Latent State Stretch Spec Instance
  277.      * 
  278.      * @param strName Stretch Name
  279.      * @param aCalibComp Array of Calibration Components
  280.      * @param strCalibMeasure The Calibration Measure
  281.      * @param adblCalibQuote Array of the Calibration Quotes
  282.      * 
  283.      * @return Forward Latent State Stretch Spec Instance
  284.      */

  286.     public static final org.drip.state.inference.LatentStateStretchSpec ForwardStretchSpec (
  287.         final java.lang.String strName,
  288.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  289.         final java.lang.String strCalibMeasure,
  290.         final double[] adblCalibQuote)
  291.     {
  292.         if (null == strCalibMeasure || strCalibMeasure.isEmpty() || null == adblCalibQuote) return null;

  294.         int iNumComp = adblCalibQuote.length;
  295.         java.lang.String[] astrCalibMeasure = new java.lang.String[iNumComp];

  297.         for (int i = 0; i < iNumComp; ++i)
  298.             astrCalibMeasure[i] = strCalibMeasure;

  300.         return ForwardStretchSpec (strName, aCalibComp, astrCalibMeasure, adblCalibQuote);
  301.     }

  303.     /**
  304.      * Construct a Merged Forward-Funding Latent State Stretch Spec Instance
  305.      * 
  306.      * @param strName Stretch Name
  307.      * @param aCalibComp Array of Calibration Components
  308.      * @param strCalibMeasure The Calibration Measure
  309.      * @param adblCalibQuote Array of the Calibration Quotes
  310.      * 
  311.      * @return Merged Forward-Funding Latent State Stretch Spec Instance
  312.      */

  314.     public static final org.drip.state.inference.LatentStateStretchSpec ForwardFundingStretchSpec (
  315.         final java.lang.String strName,
  316.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  317.         final java.lang.String strCalibMeasure,
  318.         final double[] adblCalibQuote)
  319.     {
  320.         if (null == strCalibMeasure || strCalibMeasure.isEmpty() || null == adblCalibQuote) return null;

  322.         int iNumComp = adblCalibQuote.length;
  323.         java.lang.String[] astrCalibMeasure = new java.lang.String[iNumComp];

  325.         for (int i = 0; i < iNumComp; ++i)
  326.             astrCalibMeasure[i] = strCalibMeasure;

  328.         return ForwardFundingStretchSpec (strName, aCalibComp, astrCalibMeasure, adblCalibQuote);
  329.     }

  331.     /**
  332.      * Construct a Funding Latent State Stretch Spec Instance
  333.      * 
  334.      * @param strName Stretch Name
  335.      * @param aCalibComp Array of Calibration Components
  336.      * @param strCalibMeasure The Calibration Measure
  337.      * @param adblCalibQuote Array of the Calibration Quotes
  338.      * 
  339.      * @return Funding Latent State Stretch Spec Instance
  340.      */

  342.     public static final org.drip.state.inference.LatentStateStretchSpec FundingStretchSpec (
  343.         final java.lang.String strName,
  344.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  345.         final java.lang.String strCalibMeasure,
  346.         final double[] adblCalibQuote)
  347.     {
  348.         if (null == strCalibMeasure || strCalibMeasure.isEmpty() || null == adblCalibQuote) return null;

  350.         int iNumComp = adblCalibQuote.length;
  351.         java.lang.String[] astrCalibMeasure = new java.lang.String[iNumComp];

  353.         for (int i = 0; i < iNumComp; ++i)
  354.             astrCalibMeasure[i] = strCalibMeasure;

  356.         return FundingStretchSpec (strName, aCalibComp, astrCalibMeasure, adblCalibQuote);
  357.     }

  359.     /**
  360.      * Construct an instance of LatentStateStretchSpec for the Construction of the Forward Curve from the
  361.      *  specified Inputs
  362.      * 
  363.      * @param strName Stretch Name
  364.      * @param aCCSP Array of Calibration Cross Currency Swap Pair Instances
  365.      * @param valParams The Valuation Parameters
  366.      * @param mktParams The Basket Market Parameters to imply the Market Quote Measure
  367.      * @param adblBasis Array of the Basis on either the Reference Component or the Derived Component
  368.      * @param bBasisOnDerivedComponent TRUE - Apply the Basis on the Derived Component
  369.      * @param bBasisOnDerivedStream TRUE - Apply the Basis on the Derived Stream (FALSE - Reference Stream)
  370.      * 
  371.      * @return Instance of LatentStateStretchSpec
  372.      */

  374.     public static final org.drip.state.inference.LatentStateStretchSpec ComponentPairForwardStretch (
  375.         final java.lang.String strName,
  376.         final org.drip.product.fx.ComponentPair[] aCCSP,
  377.         final org.drip.param.valuation.ValuationParams valParams,
  378.         final org.drip.param.market.CurveSurfaceQuoteContainer mktParams,
  379.         final double[] adblBasis,
  380.         final boolean bBasisOnDerivedComponent,
  381.         final boolean bBasisOnDerivedStream)
  382.     {
  383.         if (null == aCCSP || null == mktParams || null == adblBasis) return null;

  385.         int iNumCCSP = aCCSP.length;

  387.         if (0 == iNumCCSP || adblBasis.length != iNumCCSP) return null;

  389.         org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = new
  390.             org.drip.state.inference.LatentStateSegmentSpec[iNumCCSP];

  392.         for (int i = 0; i < iNumCCSP; ++i) {
  393.             if (null == aCCSP[i]) return null;

  395.             try {
  396.                 if (null == (aSegmentSpec[i] = aCCSP[i].derivedForwardSpec (valParams, mktParams,
  397.                     adblBasis[i], bBasisOnDerivedComponent, bBasisOnDerivedStream)))
  398.                     return null;
  399.             } catch (java.lang.Exception e) {
  400.                 e.printStackTrace();

  402.                 return null;
  403.             }
  404.         }

  406.         try {
  407.             return new org.drip.state.inference.LatentStateStretchSpec (strName, aSegmentSpec);
  408.         } catch (java.lang.Exception e) {
  409.             e.printStackTrace();
  410.         }

  412.         return null;
  413.     }

  415.     /**
  416.      * Construct an instance of LatentStateStretchSpec for the Construction of the Discount Curve from the
  417.      *  specified Inputs
  418.      * 
  419.      * @param strName Stretch Name
  420.      * @param aCCSP Array of Calibration Cross Currency Swap Pair Instances
  421.      * @param valParams The Valuation Parameters
  422.      * @param mktParams The Basket Market Parameters to imply the Market Quote Measure
  423.      * @param adblReferenceComponentBasis Array of the Reference Component Reference Leg Basis Spread
  424.      * @param adblSwapRate Array of the IRS Calibration Swap Rates
  425.      * @param bBasisOnDerivedLeg TRUE - Apply the Basis on the Derived Leg (FALSE - Reference Leg)
  426.      * 
  427.      * @return Instance of LatentStateStretchSpec
  428.      */

  430.     public static final org.drip.state.inference.LatentStateStretchSpec ComponentPairDiscountStretch (
  431.         final java.lang.String strName,
  432.         final org.drip.product.fx.ComponentPair[] aCCSP,
  433.         final org.drip.param.valuation.ValuationParams valParams,
  434.         final org.drip.param.market.CurveSurfaceQuoteContainer mktParams,
  435.         final double[] adblReferenceComponentBasis,
  436.         final double[] adblSwapRate,
  437.         final boolean bBasisOnDerivedLeg)
  438.     {
  439.         if (null == aCCSP || null == mktParams || null == adblReferenceComponentBasis || null ==
  440.             adblSwapRate)
  441.             return null;

  443.         int iNumCCSP = aCCSP.length;

  445.         if (0 == iNumCCSP || adblReferenceComponentBasis.length != iNumCCSP || adblSwapRate.length !=
  446.             iNumCCSP)
  447.             return null;

  449.         org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = new
  450.             org.drip.state.inference.LatentStateSegmentSpec[iNumCCSP];

  452.         for (int i = 0; i < iNumCCSP; ++i) {
  453.             if (null == (aSegmentSpec[i] = aCCSP[i].derivedFundingForwardSpec (valParams, mktParams,
  454.                 adblReferenceComponentBasis[i], bBasisOnDerivedLeg, adblSwapRate[i])))
  455.                 return null;
  456.         }

  458.         try {
  459.             return new org.drip.state.inference.LatentStateStretchSpec (strName, aSegmentSpec);
  460.         } catch (java.lang.Exception e) {
  461.             e.printStackTrace();
  462.         }

  464.         return null;
  465.     }

  467.     /**
  468.      * Construct a FX Latent State Stretch Spec Instance
  469.      * 
  470.      * @param strName Stretch Name
  471.      * @param aCalibComp Array of Calibration Components
  472.      * @param astrCalibMeasure Array of the Calibration Measures
  473.      * @param adblCalibQuote Array of the Calibration Quotes
  474.      * 
  475.      * @return FX Latent State Stretch Spec Instance
  476.      */

  478.     public static final org.drip.state.inference.LatentStateStretchSpec FXStretchSpec (
  479.         final java.lang.String strName,
  480.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  481.         final java.lang.String[] astrCalibMeasure,
  482.         final double[] adblCalibQuote)
  483.     {
  484.         if (null == aCalibComp || null == astrCalibMeasure || null == adblCalibQuote) return null;

  486.         int iNumComp = aCalibComp.length;
  487.         org.drip.state.inference.LatentStateSegmentSpec[] aLSSS = new
  488.             org.drip.state.inference.LatentStateSegmentSpec[iNumComp];

  490.         if (0 == iNumComp || iNumComp != astrCalibMeasure.length || iNumComp != adblCalibQuote.length)
  491.             return null;

  493.         try {
  494.             for (int i = 0; i < iNumComp; ++i) {
  495.                 if (null == aCalibComp[i] || null == astrCalibMeasure[i] || astrCalibMeasure[i].isEmpty() ||
  496.                     !org.drip.numerical.common.NumberUtil.IsValid (adblCalibQuote[i]))
  497.                     return null;

  499.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>
  500.                     mapFXLabel = aCalibComp[i].fxLabel();

  502.                 if (null == mapFXLabel || 0 == mapFXLabel.size()) return null;

  504.                 org.drip.product.calib.ProductQuoteSet pqs = aCalibComp[i].calibQuoteSet (new
  505.                     org.drip.state.representation.LatentStateSpecification[] {new
  506.                         org.drip.state.representation.LatentStateSpecification 
  507.                             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FX,
  508.                                 org.drip.analytics.definition.LatentStateStatic.FX_QM_FORWARD_OUTRIGHT,
  509.                                     mapFXLabel.get ("DERIVED"))});

  511.                 if (null == pqs || !pqs.set (astrCalibMeasure[i], adblCalibQuote[i])) return null;

  513.                 aLSSS[i] = new org.drip.state.inference.LatentStateSegmentSpec (aCalibComp[i], pqs);
  514.             }

  516.             return new org.drip.state.inference.LatentStateStretchSpec (strName, aLSSS);
  517.         } catch (java.lang.Exception e) {
  518.             e.printStackTrace();
  519.         }

  521.         return null;
  522.     }

  524.     /**
  525.      * Construct a FX Latent State Stretch Spec Instance
  526.      * 
  527.      * @param strName Stretch Name
  528.      * @param aCalibComp Array of Calibration Components
  529.      * @param strCalibMeasure The Calibration Measure
  530.      * @param adblCalibQuote Array of the Calibration Quotes
  531.      * 
  532.      * @return FX Latent State Stretch Spec Instance
  533.      */

  535.     public static final org.drip.state.inference.LatentStateStretchSpec FXStretchSpec (
  536.         final java.lang.String strName,
  537.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  538.         final java.lang.String strCalibMeasure,
  539.         final double[] adblCalibQuote)
  540.     {
  541.         if (null == strCalibMeasure || strCalibMeasure.isEmpty() || null == adblCalibQuote) return null;

  543.         int iNumComp = adblCalibQuote.length;
  544.         java.lang.String[] astrCalibMeasure = new java.lang.String[iNumComp];

  546.         for (int i = 0; i < iNumComp; ++i)
  547.             astrCalibMeasure[i] = strCalibMeasure;

  549.         return FXStretchSpec (strName, aCalibComp, astrCalibMeasure, adblCalibQuote);
  550.     }
  551. }
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