@Override
public double evaluate(final double dblLeftSlope) throws java.lang.Exception {
if (null == _ssb || !_ssb.calibStartingSegment(dblLeftSlope) || !_ssb.calibSegmentSequence(1))
throw new java.lang.Exception(
"CalibratableMultiSegmentSequence::evaluate => cannot set up segments!");
org.drip.spline.stretch.BoundarySettings bs = _ssb.getCalibrationBoundaryCondition();
int iBC = bs.boundaryCondition();
if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_NATURAL == iBC)
return calcRightEdgeDerivative(bs.rightDerivOrder());
if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_FINANCIAL == iBC)
return calcRightEdgeDerivative(bs.rightDerivOrder());
if (org.drip.spline.stretch.BoundarySettings.BOUNDARY_CONDITION_NOT_A_KNOT == iBC)
return calcRightEdgeDerivative(bs.rightDerivOrder())
- calcLeftEdgeDerivative(bs.leftDerivOrder());
throw new java.lang.Exception(
"CalibratableMultiSegmentSequence::evaluate => Boundary Condition " + iBC + " unknown");
}
/**
* Construct NonlinearDiscountFactorDiscountCurve instance from an array of dates and forward
* rates
*
* @param dtStart Epoch Date
* @param strCurrency Currency
* @param collatParams Collateralization Parameters
* @param adblDate Array of Dates
* @param adblRate Array of Forward Rates
* @throws java.lang.Exception Thrown if the curve cannot be created
*/
public NonlinearDiscountFactorDiscountCurve(
final org.drip.analytics.date.JulianDate dtStart,
final java.lang.String strCurrency,
final org.drip.param.valuation.CollateralizationParams collatParams,
final double[] adblDate,
final double[] adblRate)
throws java.lang.Exception {
super(dtStart.julian(), strCurrency, collatParams);
if (null == adblDate
|| 0 == adblDate.length
|| null == adblRate
|| adblDate.length != adblRate.length
|| null == dtStart)
throw new java.lang.Exception("NonlinearDiscountFactorDiscountCurve ctr: Invalid inputs");
_dblEpochDate = dtStart.julian();
org.drip.spline.params.SegmentCustomBuilderControl sbp =
new org.drip.spline.params.SegmentCustomBuilderControl(
org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new org.drip.spline.basis.PolynomialFunctionSetParams(2),
org.drip.spline.params.SegmentInelasticDesignControl.Create(0, 2),
null,
null);
int iNumSegment = adblDate.length;
_adblDate = new double[iNumSegment];
double[] adblDF = new double[iNumSegment];
org.drip.spline.params.SegmentCustomBuilderControl[] aSBP =
new org.drip.spline.params.SegmentCustomBuilderControl[adblDate.length - 1];
for (int i = 0; i < iNumSegment; ++i) {
_adblDate[i] = adblDate[i];
if (0 == i)
adblDF[0] = java.lang.Math.exp(adblRate[0] * (_dblEpochDate - _adblDate[0]) / 365.25);
else {
aSBP[i - 1] = sbp;
adblDF[i] =
java.lang.Math.exp(adblRate[i] * (_adblDate[i - 1] - _adblDate[i]) / 365.25)
* adblDF[i - 1];
}
}
_dblLeftFlatForwardRate =
-365.25 * java.lang.Math.log(adblDF[0]) / (_adblDate[0] - _dblEpochDate);
_dblRightFlatForwardRate =
-365.25
* java.lang.Math.log(adblDF[iNumSegment - 1])
/ (_adblDate[iNumSegment - 1] - _dblEpochDate);
_msr =
org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator(
"POLY_SPLINE_DF_REGIME",
adblDate,
adblDF,
aSBP,
null,
org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);
}
