Skip to content

Commit

Permalink
Features:
Browse files Browse the repository at this point in the history
Bug Fixes/Re-organization:

	- Latent State Inference Segment Spec - Product Set (1)
	- Latent State Inference Segment Spec - Constructor (2, 3, 4)
	- Latent State Inference Stretch Spec (5, 6, 7)
	- Latent State Inference Stretch Spec - Name (8, 9)
	- Latent State Inference Stretch Spec - Segment (10, 11)
	- Latent State Inference Stretch Spec - Constructor (12, 13, 14)
	- State Inference Linear State Calibrator (15, 16, 17)
	- State Inference Linear State Calibrator - Constructor (18, 19, 20)
	- State Inference Linear State Calibrator - Calibrate Span (21, 22, 23)
	- State Inference Latent Sequence Builder (24, 25)
	- State Inference Latent Sequence Builder - Span (26)
	- State Inference Latent Sequence Builder - Epoch Response (27)
	- State Inference Latent Sequence Builder - Boundary Settings (28, 29)
	- State Inference Latent Sequence Builder - Curve Stretch (30)
	- State Inference Latent Sequence Builder - Credit Pricer Params (31)
	- State Inference Latent Sequence Builder - Curve Surface Quote Container (32)
	- State Inference Latent Sequence Builder - Valuation Params (33)
	- State Inference Latent Sequence Builder - Stretch Best Fit Response (34)
	- State Inference Latent Sequence Builder - Valuation Customization Params (35)
	- State Inference Latent Sequence Builder - Stretch Specification (36)
	- State Inference Latent Sequence Builder - Stretch Best Fit Response Quote Sensitivity (37)
	- State Inference Latent Sequence Builder - Preceeding Manifest Sensitivity Control Map (38)
	- State Inference Latent Sequence Builder - Response Value Sensitivity Constraint Map (39)
	- State Inference Latent Sequence Builder - Get Preceeding Manifest Sensitivity Control (40)
	- State Inference Latent Sequence Builder - Segment Calibration Response Constraint (41, 42, 43)
	- State Inference Latent Sequence Builder - Segment Sensitivity Response Constraint (44, 45, 46)
	- State Inference Latent Sequence Builder - Generate Segment Constraint Set (47, 48, 49)
	- State Inference Latent Sequence Builder - Constructor (50, 51, 52)
	- State Inference Latent Sequence Builder - Set Stretch (53, 54, 55)
	- State Inference Latent Sequence Builder - Calibrate Starting Segment (56, 57, 58)
	- State Inference Latent Sequence Builder - Calibrate Segment (59, 60)


Samples:

IdeaDRIP:
  • Loading branch information
Lakshmik committed Dec 23, 2023
1 parent 99ae9e8 commit 30699bb
Show file tree
Hide file tree
Showing 6 changed files with 547 additions and 308 deletions.
41 changes: 41 additions & 0 deletions ReleaseNotes/02_13_2023.txt
Original file line number Diff line number Diff line change
@@ -0,0 +1,41 @@

Features:

Bug Fixes/Re-organization:

- Latent State Inference Segment Spec - Product Set (1)
- Latent State Inference Segment Spec - Constructor (2, 3, 4)
- Latent State Inference Stretch Spec (5, 6, 7)
- Latent State Inference Stretch Spec - Name (8, 9)
- Latent State Inference Stretch Spec - Segment (10, 11)
- Latent State Inference Stretch Spec - Constructor (12, 13, 14)
- State Inference Linear State Calibrator (15, 16, 17)
- State Inference Linear State Calibrator - Constructor (18, 19, 20)
- State Inference Linear State Calibrator - Calibrate Span (21, 22, 23)
- State Inference Latent Sequence Builder (24, 25)
- State Inference Latent Sequence Builder - Span (26)
- State Inference Latent Sequence Builder - Epoch Response (27)
- State Inference Latent Sequence Builder - Boundary Settings (28, 29)
- State Inference Latent Sequence Builder - Curve Stretch (30)
- State Inference Latent Sequence Builder - Credit Pricer Params (31)
- State Inference Latent Sequence Builder - Curve Surface Quote Container (32)
- State Inference Latent Sequence Builder - Valuation Params (33)
- State Inference Latent Sequence Builder - Stretch Best Fit Response (34)
- State Inference Latent Sequence Builder - Valuation Customization Params (35)
- State Inference Latent Sequence Builder - Stretch Specification (36)
- State Inference Latent Sequence Builder - Stretch Best Fit Response Quote Sensitivity (37)
- State Inference Latent Sequence Builder - Preceeding Manifest Sensitivity Control Map (38)
- State Inference Latent Sequence Builder - Response Value Sensitivity Constraint Map (39)
- State Inference Latent Sequence Builder - Get Preceeding Manifest Sensitivity Control (40)
- State Inference Latent Sequence Builder - Segment Calibration Response Constraint (41, 42, 43)
- State Inference Latent Sequence Builder - Segment Sensitivity Response Constraint (44, 45, 46)
- State Inference Latent Sequence Builder - Generate Segment Constraint Set (47, 48, 49)
- State Inference Latent Sequence Builder - Constructor (50, 51, 52)
- State Inference Latent Sequence Builder - Set Stretch (53, 54, 55)
- State Inference Latent Sequence Builder - Calibrate Starting Segment (56, 57, 58)
- State Inference Latent Sequence Builder - Calibrate Segment (59, 60)


Samples:

IdeaDRIP:
Binary file modified ScheduleSheet.xlsx
Binary file not shown.
29 changes: 16 additions & 13 deletions src/main/java/org/drip/state/inference/LatentStateSegmentSpec.java
Original file line number Diff line number Diff line change
Expand Up @@ -2,6 +2,7 @@
package org.drip.state.inference;

import org.drip.product.calib.ProductQuoteSet;
import org.drip.product.definition.CalibratableComponent;

/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
Expand Down Expand Up @@ -92,7 +93,7 @@
*
* <ul>
* <li><i>LatentStateSegmentSpec</i> Constructor</li>
* <li>Retrieve the Calibration Component</li>
* <li>Retrieve the Calibration Component Array</li>
* <li>Retrieve the Calibration Manifest Measure Quote Set</li>
* </ul>
*
Expand All @@ -116,35 +117,37 @@
public class LatentStateSegmentSpec
{
private ProductQuoteSet _productQuoteSet = null;
private org.drip.product.definition.CalibratableComponent _cfic = null;
private CalibratableComponent _calibratableComponentArray = null;

/**
* LatentStateSegmentSpec constructor
*
* @param cfic The Calibratable Fixed Income Component
* @param pqs The Product Manifest Measure Quote Set Instance
* @param calibratableComponentArray The Calibratable Fixed Income Component Array
* @param productQuoteSet The Product Manifest Measure Quote Set Instance
*
* @throws java.lang.Exception Thrown if inputs are invalid
* @throws Exception Thrown if inputs are invalid
*/

public LatentStateSegmentSpec (
final org.drip.product.definition.CalibratableComponent cfic,
final org.drip.product.calib.ProductQuoteSet pqs)
throws java.lang.Exception
final CalibratableComponent calibratableComponentArray,
final ProductQuoteSet productQuoteSet)
throws Exception
{
if (null == (_cfic = cfic) || null == (_productQuoteSet = pqs))
throw new java.lang.Exception ("LatentStateSegmentSpec ctr: Invalid Inputs");
if (null == (_calibratableComponentArray = calibratableComponentArray) ||
null == (_productQuoteSet = productQuoteSet)) {
throw new Exception ("LatentStateSegmentSpec ctr: Invalid Inputs");
}
}

/**
* Retrieve the Calibration Component
* Retrieve the Calibration Component Array
*
* @return The Calibration Component
* @return The Calibration Component Array
*/

public org.drip.product.definition.CalibratableComponent component()
{
return _cfic;
return _calibratableComponentArray;
}

/**
Expand Down
Loading

0 comments on commit 30699bb

Please sign in to comment.