LatentStateMergeSubStretch.java

  1. package org.drip.state.representation;

  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.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * 
  17.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  18.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  19.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  20.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  21.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  22.  *      and computational support.
  23.  *  
  24.  *      https://lakshmidrip.github.io/DROP/
  25.  *  
  26.  *  DROP is composed of three modules:
  27.  *  
  28.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  29.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  30.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  31.  * 
  32.  *  DROP Product Core implements libraries for the following:
  33.  *  - Fixed Income Analytics
  34.  *  - Loan Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Portfolio Core implements libraries for the following:
  38.  *  - Asset Allocation Analytics
  39.  *  - Asset Liability Management Analytics
  40.  *  - Capital Estimation Analytics
  41.  *  - Exposure Analytics
  42.  *  - Margin Analytics
  43.  *  - XVA Analytics
  44.  * 
  45.  *  DROP Computational Core implements libraries for the following:
  46.  *  - Algorithm Support
  47.  *  - Computation Support
  48.  *  - Function Analysis
  49.  *  - Model Validation
  50.  *  - Numerical Analysis
  51.  *  - Numerical Optimizer
  52.  *  - Spline Builder
  53.  *  - Statistical Learning
  54.  * 
  55.  *  Documentation for DROP is Spread Over:
  56.  * 
  57.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  58.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  59.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  60.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  61.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  62.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  63.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  64.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  65.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  66.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  67.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  68.  * 
  69.  *  Licensed under the Apache License, Version 2.0 (the "License");
  70.  *      you may not use this file except in compliance with the License.
  71.  *   
  72.  *  You may obtain a copy of the License at
  73.  *      http://www.apache.org/licenses/LICENSE-2.0
  74.  *  
  75.  *  Unless required by applicable law or agreed to in writing, software
  76.  *      distributed under the License is distributed on an "AS IS" BASIS,
  77.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  78.  *  
  79.  *  See the License for the specific language governing permissions and
  80.  *      limitations under the License.
  81.  */

  83. /**
  84.  * <i>LatentStateMergeSubStretch</i> implements merged stretch that is common to multiple latent states. It
  85.  * is identified by the start/end date predictor ordinates, and the Latent State Label. Its methods provide
  86.  * the following functionality:
  87.  *
  88.  *  <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Identify if the specified predictor ordinate belongs to the sub stretch
  92.  *      </li>
  93.  *      <li>
  94.  *          Shift that sub stretch start/end
  95.  *      </li>
  96.  *      <li>
  97.  *          Identify if the this overlaps the supplied sub stretch, and coalesce them if possible
  98.  *      </li>
  99.  *      <li>
  100.  *          Retrieve the label, start, and end
  101.  *      </li>
  102.  *  </ul>
  103.  *
  104.  *  <br><br>
  105.  *  <ul>
  106.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  107.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  108.  *      <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>
  109.  *      <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>
  110.  *  </ul>
  111.  * <br><br>
  112.  *
  113.  * @author Lakshmi Krishnamurthy
  114.  */

  116. public class LatentStateMergeSubStretch {
  117.     private double _dblEndDate = java.lang.Double.NaN;
  118.     private double _dblStartDate = java.lang.Double.NaN;
  119.     private org.drip.state.identifier.LatentStateLabel _lsl = null;

  121.     /**
  122.      * LatentStateMergeSubStretch constructor
  123.      * 
  124.      * @param dblStartDate Merge Stretch Start Date
  125.      * @param dblEndDate Merge Stretch End Date
  126.      * @param lsl The Latent State Label
  127.      * 
  128.      * @throws java.lang.Exception Thrown if Inputs are invalid
  129.      */

  131.     public LatentStateMergeSubStretch (
  132.         final double dblStartDate,
  133.         final double dblEndDate,
  134.         final org.drip.state.identifier.LatentStateLabel lsl)
  135.         throws java.lang.Exception
  136.     {
  137.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblStartDate = dblStartDate) ||
  138.             !org.drip.numerical.common.NumberUtil.IsValid (_dblEndDate = dblEndDate) || _dblStartDate >=
  139.                 _dblEndDate || null == (_lsl = lsl))
  140.             throw new java.lang.Exception ("LatentStateMergeSubStretch ctr: Invalid Inputs");
  141.     }

  143.     /**
  144.      * Retrieve the Merge Stretch Start Date
  145.      * 
  146.      * @return The Merge Stretch Start Date
  147.      */

  149.     public double start()
  150.     {
  151.         return _dblStartDate;
  152.     }

  154.     /**
  155.      * Shift/Adjust the Start Date
  156.      * 
  157.      * @param dblNewStartDate The new Date to be Shifted to
  158.      * 
  159.      * @return TRUE - Start Date successfully shifted
  160.      */

  162.     public boolean shiftStart (
  163.         final double dblNewStartDate)
  164.     {
  165.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblNewStartDate)) return false;

  167.         _dblStartDate = dblNewStartDate;
  168.         return true;
  169.     }

  171.     /**
  172.      * Retrieve the Merge Stretch End Date
  173.      * 
  174.      * @return The Merge Stretch End Date
  175.      */

  177.     public double end()
  178.     {
  179.         return _dblEndDate;
  180.     }

  182.     /**
  183.      * Shift/Adjust the End Date
  184.      * 
  185.      * @param dblNewEndDate The new Date to be Shifted to
  186.      * 
  187.      * @return TRUE - End Date successfully shifted
  188.      */

  190.     public boolean shiftEnd (
  191.         final double dblNewEndDate)
  192.     {
  193.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblNewEndDate)) return false;

  195.         _dblEndDate = dblNewEndDate;
  196.         return true;
  197.     }

  199.     /**
  200.      * Retrieve the Latent State Label
  201.      * 
  202.      * @return The Latent State Label
  203.      */

  205.     public org.drip.state.identifier.LatentStateLabel label()
  206.     {
  207.         return _lsl;
  208.     }

  210.     /**
  211.      * Indicate whether Specified Merge Stretch's Label matches with the current one
  212.      * 
  213.      * @param lsmsOther The Supplied Merge Stretch
  214.      * 
  215.      * @return TRUE - Merge Stretches Index Match
  216.      */

  218.     public boolean indexMatch (
  219.         final LatentStateMergeSubStretch lsmsOther)
  220.     {
  221.         return null != _lsl && null != lsmsOther && lsmsOther.label().match (label());
  222.     }

  224.     /**
  225.      * Indicate whether the specified Date is "inside" the Stretch Range.
  226.      * 
  227.      * @param dblDate Date whose "inside"ness is asked for
  228.      * 
  229.      * @return TRUE - Date is Inside
  230.      */

  232.     public boolean in (
  233.         final double dblDate)
  234.     {
  235.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblDate)) return false;

  237.         return dblDate >= _dblStartDate && dblDate <= _dblEndDate;
  238.     }

  240.     /**
  241.      * Identify if the Supplied Merge Stretch overlaps with the provided one.
  242.      * 
  243.      * @param lsmlOther The Supplied Merge Stretch
  244.      * 
  245.      * @return TRUE - Merge Stretches Overlap
  246.      */

  248.     public boolean overlap (
  249.         final LatentStateMergeSubStretch lsmlOther)
  250.     {
  251.         return null == lsmlOther || lsmlOther.start() >= end() || lsmlOther.end() <= start() ? false : true;
  252.     }

  254.     /**
  255.      * Coalesce the supplied Merge Stretch with the current one (if possible) to create a new Merge Stretch
  256.      * 
  257.      * @param lsmlOther The Supplied Merge Stretch
  258.      * 
  259.      * @return The Coalesced Merge Stretch
  260.      */

  262.     public LatentStateMergeSubStretch coalesce (
  263.         final LatentStateMergeSubStretch lsmlOther)
  264.     {
  265.         if (!overlap (lsmlOther) || !indexMatch (lsmlOther)) return null;

  267.         try {
  268.             return new LatentStateMergeSubStretch (start() < lsmlOther.start() ? start() :
  269.                 lsmlOther.start(), end() > lsmlOther.end() ? end() : lsmlOther.end(), label());
  270.         } catch (java.lang.Exception e) {
  271.             e.printStackTrace();
  272.         }

  274.         return null;
  275.     }
  276. }
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