@Override
public boolean setNodeValue(final int iNodeIndex, final double dblNodeDF) {
if (!org.drip.quant.common.NumberUtil.IsValid(dblNodeDF)) return false;
int iNumDate = _adblDate.length;
if (iNodeIndex > iNumDate) return false;
if (0 == iNodeIndex) {
_dblLeftFlatForwardRate =
-365.25 * java.lang.Math.log(_dblLeftNodeDF = dblNodeDF) / (_adblDate[0] - _dblEpochDate);
return true;
}
if (1 == iNodeIndex)
return _msr.setLeftNode(_dblLeftNodeDF, _dblLeftNodeDFSlope, dblNodeDF, null);
if (iNumDate - 1 == iNodeIndex) {
try {
_dblRightFlatForwardRate =
-365.25
* java.lang.Math.log(_msr.responseValue(_adblDate[iNodeIndex]))
/ (_adblDate[iNodeIndex] - _dblEpochDate);
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
}
return _msr.resetNode(iNodeIndex, dblNodeDF);
}
/**
* Create a Regression Spline Instance over the specified array of Predictor Ordinate Knot Points
* and the Set of the Points to be Best Fit.
*
* @param strName Name of the Stretch
* @param adblKnotPredictorOrdinate Array of the Predictor Ordinate Knots
* @param aSCBC Array of Segment Builder Parameters
* @param sbfr Stretch Fitness Weighted Response
* @param bs The Calibration Boundary Condition
* @param iCalibrationDetail The Calibration Detail
* @return Stretch instance
*/
public static final org.drip.spline.stretch.MultiSegmentSequence CreateRegressionSplineEstimator(
final java.lang.String strName,
final double[] adblKnotPredictorOrdinate,
final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
final org.drip.spline.params.StretchBestFitResponse sbfr,
final org.drip.spline.stretch.BoundarySettings bs,
final int iCalibrationDetail) {
org.drip.spline.stretch.MultiSegmentSequence mss =
CreateUncalibratedStretchEstimator(strName, adblKnotPredictorOrdinate, aSCBC);
if (null == mss) return null;
return mss.setup(null, null, sbfr, bs, iCalibrationDetail) ? mss : null;
}
/**
* Create a calibrated Stretch Instance over the specified Predictor Ordinates and the Response
* Value Constraints, with the Segment Builder Parameters.
*
* @param strName Name of the Stretch
* @param adblPredictorOrdinate Predictor Ordinate Array
* @param srvcStretchLeft Stretch Left Constraint
* @param aSRVC Array of Segment Constraints - One per Segment
* @param aSCBC Array of Segment Builder Parameters - One per Segment
* @param sbfr Stretch Fitness Weighted Response
* @param bs The Calibration Boundary Condition
* @param iCalibrationDetail The Calibration Detail
* @return Stretch Instance
*/
public static final org.drip.spline.stretch.MultiSegmentSequence CreateCalibratedStretchEstimator(
final java.lang.String strName,
final double[] adblPredictorOrdinate,
final org.drip.spline.params.SegmentResponseValueConstraint srvcStretchLeft,
final org.drip.spline.params.SegmentResponseValueConstraint[] aSRVC,
final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
final org.drip.spline.params.StretchBestFitResponse sbfr,
final org.drip.spline.stretch.BoundarySettings bs,
final int iCalibrationDetail) {
org.drip.spline.stretch.MultiSegmentSequence mss =
CreateUncalibratedStretchEstimator(strName, adblPredictorOrdinate, aSCBC);
return null == mss
? null
: mss.setup(srvcStretchLeft, aSRVC, sbfr, bs, iCalibrationDetail) ? mss : null;
}
@Override
public org.drip.quant.calculus.WengertJacobian jackDDFDManifestMeasure(
final double dblDate, final java.lang.String strManifestMeasure) {
if (!org.drip.quant.common.NumberUtil.IsValid(dblDate)) return null;
org.drip.quant.calculus.WengertJacobian wj = null;
try {
wj = new org.drip.quant.calculus.WengertJacobian(1, _adblDate.length);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
for (int i = 0; i < _adblDate.length; ++i) {
if (!wj.accumulatePartialFirstDerivative(0, i, 0.)) return null;
}
if (dblDate <= _dblEpochDate) return wj;
if (dblDate <= _adblDate[0]) {
try {
return wj.accumulatePartialFirstDerivative(
0,
0,
(dblDate - _dblEpochDate)
/ (_adblDate[0] - _dblEpochDate)
* java.lang.Math.exp(
_dblLeftFlatForwardRate * (_adblDate[0] - dblDate) / 365.25))
? wj
: null;
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
if (dblDate <= _adblDate[_adblDate.length - 1])
return _msr.jackDResponseDCalibrationInput(dblDate, 1);
try {
return wj.accumulatePartialFirstDerivative(
0,
_adblDate.length - 1,
(dblDate - _dblEpochDate)
/ (_adblDate[_adblDate.length - 1] - _dblEpochDate)
* java.lang.Math.exp(
_dblRightFlatForwardRate
* (_adblDate[_adblDate.length - 1] - dblDate)
/ 365.25))
? wj
: null;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and
* Response Values using the specified Basis Splines.
*
* @param strName Name of the Stretch
* @param adblPredictorOrdinate Predictor Ordinate Array
* @param adblResponseValue Response Value Array
* @param aSCBC Array of Segment Builder Parameters
* @param rbfr Stretch Fitness Weighted Response
* @param bs The Calibration Boundary Condition
* @param iCalibrationDetail The Calibration Detail
* @return Stretch instance
*/
public static final org.drip.spline.stretch.MultiSegmentSequence CreateCalibratedStretchEstimator(
final java.lang.String strName,
final double[] adblPredictorOrdinate,
final double[] adblResponseValue,
final org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC,
final org.drip.spline.params.StretchBestFitResponse rbfr,
final org.drip.spline.stretch.BoundarySettings bs,
final int iCalibrationDetail) {
org.drip.spline.stretch.MultiSegmentSequence mss =
CreateUncalibratedStretchEstimator(strName, adblPredictorOrdinate, aSCBC);
if (null == mss || null == adblResponseValue) return null;
int iNumRightNode = adblResponseValue.length - 1;
double[] adblResponseValueRight = new double[iNumRightNode];
if (0 == iNumRightNode) return null;
for (int i = 0; i < iNumRightNode; ++i) adblResponseValueRight[i] = adblResponseValue[i + 1];
return mss.setup(adblResponseValue[0], adblResponseValueRight, rbfr, bs, iCalibrationDetail)
? mss
: null;
}
@Override
public double df(final double dblDate) throws java.lang.Exception {
if (!org.drip.quant.common.NumberUtil.IsValid(dblDate))
throw new java.lang.Exception("NonlinearDiscountFactorDiscountCurve::df => Invalid Inputs");
if (dblDate <= _dblEpochDate) return 1.;
if (dblDate <= _adblDate[0])
return java.lang.Math.exp(-1. * _dblLeftFlatForwardRate * (dblDate - _dblEpochDate) / 365.25);
return (dblDate <= _adblDate[_adblDate.length - 1]
? _msr.responseValue(dblDate)
: java.lang.Math.exp(
-1. * _dblRightFlatForwardRate * (dblDate - _dblEpochDate) / 365.25))
* turnAdjust(epoch().julian(), dblDate);
}
/**
* Calculate the calibration metric for the node
*
* @return Calibration Metric
* @throws java.lang.Exception
*/
public double getCalibrationMetric() throws java.lang.Exception {
return _msr.calcRightEdgeDerivative(2);
}
