LinearLatentStateCalibrator.java
package org.drip.state.inference;
/*
* -*- 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>LinearLatentStateCalibrator</i> calibrates/constructs the Latent State Stretch/Span from the
* calibration instrument details. The span construction may be customized using specific settings provided
* in GlobalControlCurveParams.
*
* <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/inference/README.md">Latent State Stretch Sequence Inference</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class LinearLatentStateCalibrator extends org.drip.state.estimator.GlobalControlCurveParams {
/**
* LinearLatentStateCalibrator constructor
*
* @param scbc Segment Builder Control Parameters
* @param bs The Calibration Boundary Condition
* @param iCalibrationDetail The Calibration Detail
* @param sbfr Curve Fitness Weighted Response
* @param sbfrSensitivity Curve Fitness Weighted Response Sensitivity
*
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public LinearLatentStateCalibrator (
final org.drip.spline.params.SegmentCustomBuilderControl scbc,
final org.drip.spline.stretch.BoundarySettings bs,
final int iCalibrationDetail,
final org.drip.spline.params.StretchBestFitResponse sbfr,
final org.drip.spline.params.StretchBestFitResponse sbfrSensitivity)
throws java.lang.Exception
{
super ("", scbc, bs, iCalibrationDetail, sbfr, sbfrSensitivity);
}
/**
* Calibrate the Span from the Instruments in the Stretches and their Details.
*
* @param aStretchSpec The Stretch Sequence constituting the Span
* @param dblEpochResponse Segment Sequence Left-most Response Value
* @param valParams Valuation Parameter
* @param pricerParams Pricer Parameter
* @param vcp The Valuation Customization Parameters
* @param csqs The Market Parameters Surface and Quote
*
* @return Instance of the Latent State Span
*/
public org.drip.spline.grid.OverlappingStretchSpan calibrateSpan (
final org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec,
final double dblEpochResponse,
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.CreditPricerParams pricerParams,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
{
if (null == aStretchSpec || null == valParams) return null;
int iNumStretch = aStretchSpec.length;
org.drip.spline.grid.OverlappingStretchSpan oss = null;
if (0 == iNumStretch) return null;
for (org.drip.state.inference.LatentStateStretchSpec stretchSpec : aStretchSpec) {
if (null == stretchSpec) continue;
org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = stretchSpec.segmentSpec();
int iNumCalibComp = aSegmentSpec.length;
org.drip.state.estimator.CurveStretch cs = null;
double[] adblPredictorOrdinate = new double[iNumCalibComp + 1];
org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
org.drip.spline.params.SegmentCustomBuilderControl[iNumCalibComp];
for (int i = 0; i <= iNumCalibComp; ++i) {
adblPredictorOrdinate[i] = 0 == i ? valParams.valueDate() :
aSegmentSpec[i - 1].component().maturityDate().julian();
if (i != iNumCalibComp) aSCBC[i] = segmentBuilderControl (stretchSpec.name());
}
try {
cs = new org.drip.state.estimator.CurveStretch (stretchSpec.name(),
org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateSegmentSet
(adblPredictorOrdinate, aSCBC), aSCBC);
if (!cs.setup (new org.drip.state.inference.LatentStateSequenceBuilder (dblEpochResponse,
stretchSpec, valParams, pricerParams, csqs, vcp, oss, bestFitWeightedResponse(), new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.spline.params.PreceedingManifestSensitivityControl>(),
bestFitWeightedResponseSensitivity(), calibrationBoundaryCondition()),
calibrationDetail())) {
System.out.println ("\tMSS Setup Failed!");
return null;
}
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
if (null == oss) {
try {
oss = new org.drip.spline.grid.OverlappingStretchSpan (cs);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
} else {
if (!oss.addStretch (cs)) return null;
}
}
return oss;
}
}