LatentStateMergeSubStretch.java
package org.drip.state.representation;
/*
* -*- 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>LatentStateMergeSubStretch</i> implements merged stretch that is common to multiple latent states. It
* is identified by the start/end date predictor ordinates, and the Latent State Label. Its methods provide
* the following functionality:
*
* <br><br>
* <ul>
* <li>
* Identify if the specified predictor ordinate belongs to the sub stretch
* </li>
* <li>
* Shift that sub stretch start/end
* </li>
* <li>
* Identify if the this overlaps the supplied sub stretch, and coalesce them if possible
* </li>
* <li>
* Retrieve the label, start, and end
* </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/representation/README.md">Latent State Merge Sub-stretch</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class LatentStateMergeSubStretch {
private double _dblEndDate = java.lang.Double.NaN;
private double _dblStartDate = java.lang.Double.NaN;
private org.drip.state.identifier.LatentStateLabel _lsl = null;
/**
* LatentStateMergeSubStretch constructor
*
* @param dblStartDate Merge Stretch Start Date
* @param dblEndDate Merge Stretch End Date
* @param lsl The Latent State Label
*
* @throws java.lang.Exception Thrown if Inputs are invalid
*/
public LatentStateMergeSubStretch (
final double dblStartDate,
final double dblEndDate,
final org.drip.state.identifier.LatentStateLabel lsl)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblStartDate = dblStartDate) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblEndDate = dblEndDate) || _dblStartDate >=
_dblEndDate || null == (_lsl = lsl))
throw new java.lang.Exception ("LatentStateMergeSubStretch ctr: Invalid Inputs");
}
/**
* Retrieve the Merge Stretch Start Date
*
* @return The Merge Stretch Start Date
*/
public double start()
{
return _dblStartDate;
}
/**
* Shift/Adjust the Start Date
*
* @param dblNewStartDate The new Date to be Shifted to
*
* @return TRUE - Start Date successfully shifted
*/
public boolean shiftStart (
final double dblNewStartDate)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblNewStartDate)) return false;
_dblStartDate = dblNewStartDate;
return true;
}
/**
* Retrieve the Merge Stretch End Date
*
* @return The Merge Stretch End Date
*/
public double end()
{
return _dblEndDate;
}
/**
* Shift/Adjust the End Date
*
* @param dblNewEndDate The new Date to be Shifted to
*
* @return TRUE - End Date successfully shifted
*/
public boolean shiftEnd (
final double dblNewEndDate)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblNewEndDate)) return false;
_dblEndDate = dblNewEndDate;
return true;
}
/**
* Retrieve the Latent State Label
*
* @return The Latent State Label
*/
public org.drip.state.identifier.LatentStateLabel label()
{
return _lsl;
}
/**
* Indicate whether Specified Merge Stretch's Label matches with the current one
*
* @param lsmsOther The Supplied Merge Stretch
*
* @return TRUE - Merge Stretches Index Match
*/
public boolean indexMatch (
final LatentStateMergeSubStretch lsmsOther)
{
return null != _lsl && null != lsmsOther && lsmsOther.label().match (label());
}
/**
* Indicate whether the specified Date is "inside" the Stretch Range.
*
* @param dblDate Date whose "inside"ness is asked for
*
* @return TRUE - Date is Inside
*/
public boolean in (
final double dblDate)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblDate)) return false;
return dblDate >= _dblStartDate && dblDate <= _dblEndDate;
}
/**
* Identify if the Supplied Merge Stretch overlaps with the provided one.
*
* @param lsmlOther The Supplied Merge Stretch
*
* @return TRUE - Merge Stretches Overlap
*/
public boolean overlap (
final LatentStateMergeSubStretch lsmlOther)
{
return null == lsmlOther || lsmlOther.start() >= end() || lsmlOther.end() <= start() ? false : true;
}
/**
* Coalesce the supplied Merge Stretch with the current one (if possible) to create a new Merge Stretch
*
* @param lsmlOther The Supplied Merge Stretch
*
* @return The Coalesced Merge Stretch
*/
public LatentStateMergeSubStretch coalesce (
final LatentStateMergeSubStretch lsmlOther)
{
if (!overlap (lsmlOther) || !indexMatch (lsmlOther)) return null;
try {
return new LatentStateMergeSubStretch (start() < lsmlOther.start() ? start() :
lsmlOther.start(), end() > lsmlOther.end() ? end() : lsmlOther.end(), label());
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
}