Interface for classes decorating SmootherCostFunction. More...

#include <CostFunctionDecorator.hpp>

Inheritance diagram for julian::ir::CostFunctionDecorator:

Public Member Functions
	CostFunctionDecorator (SmartPointer< SmootherCostFunction > c)
	Constructor. More...

virtual arma::mat	giveQmatrix (const InterpolatedCurve &) const
	returns Q matrix, the quadratic term of optimization cost function More...

virtual arma::mat	giveCvector (const InterpolatedCurve &) const
	returns C vector, the linear term of optimization cost function More...

virtual double	calculateCost (const InterpolatedCurve &) const
	calculates value of cost function More...

virtual std::vector< double >	giveSmoothedCurve (const InterpolatedCurve &) const
	returns curve as vector of doubles More...

virtual void	updateSmoothedCurve (InterpolatedCurve &, const std::vector< double > &) const
	updates the curve as with the vector of doubles More...

virtual CostFunctionDecorator *	clone () const
	virtual copy constructor More...

virtual	~CostFunctionDecorator ()
	destructor More...

Public Member Functions inherited from julian::ir::SmootherCostFunction
	SmootherCostFunction ()
	constructor More...

virtual	~SmootherCostFunction ()
	destructor More...

Protected Member Functions
arma::mat	matrixD (int size, int order) const
	Creates matrix representation of differential operator. More...

arma::mat	matrixX (const InterpolatedCurve &c, int order) const
	Creates matrix representation of differential operator. More...

Private Attributes
SmartPointer< SmootherCostFunction >	cost_function_
	Pointer to decorator interface. More...

Detailed Description

Interface for classes decorating SmootherCostFunction.

CostFunctionDecorator is a interface for all classes decorating the SmootherCostFunction. CostFunctionSmoother's derived classes are used to define the cost function of optimization problems used in ir::InterpolatedCurve construction.

Class also contains methods to calculate the D matrix and X matrix that implements differential operator.

Constructor & Destructor Documentation

julian::ir::CostFunctionDecorator::CostFunctionDecorator ( SmartPointer< SmootherCostFunction > c )

inlineexplicit

Constructor.

virtual julian::ir::CostFunctionDecorator::~CostFunctionDecorator ( )

inlinevirtual

destructor

Member Function Documentation

double julian::ir::CostFunctionDecorator::calculateCost ( const InterpolatedCurve & input ) const

virtual

calculates value of cost function

Implements julian::ir::SmootherCostFunction.

Reimplemented in julian::ir::FirstDerivativeCostFunction, and julian::ir::SecondDerivativeCostFunction.

CostFunctionDecorator * julian::ir::CostFunctionDecorator::clone ( ) const

virtual

virtual copy constructor

Implements julian::ir::SmootherCostFunction.

Reimplemented in julian::ir::FirstDerivativeCostFunction, and julian::ir::SecondDerivativeCostFunction.

arma::mat julian::ir::CostFunctionDecorator::giveCvector ( const InterpolatedCurve & input ) const

virtual

returns C vector, the linear term of optimization cost function

Implements julian::ir::SmootherCostFunction.

Reimplemented in julian::ir::FirstDerivativeCostFunction, and julian::ir::SecondDerivativeCostFunction.

arma::mat julian::ir::CostFunctionDecorator::giveQmatrix ( const InterpolatedCurve & input ) const

virtual

returns Q matrix, the quadratic term of optimization cost function

Implements julian::ir::SmootherCostFunction.

Reimplemented in julian::ir::FirstDerivativeCostFunction, and julian::ir::SecondDerivativeCostFunction.

std::vector< double > julian::ir::CostFunctionDecorator::giveSmoothedCurve ( const InterpolatedCurve & input ) const

virtual

returns curve as vector of doubles

InterpolatedCurve may be represented by different

Implements julian::ir::SmootherCostFunction.

arma::mat julian::ir::CostFunctionDecorator::matrixD	(	int	size,
		int	derivative
	)		const

protected

Creates matrix representation of differential operator.

Numerical derivative of a function f can be approximated using following formula

$\frac{df(x)}{dx}|_{x=x_i} \approx \frac{f(x_{i+1}) - f(x_{i})}{x_{i+1}-x_{i}}$

If $F = [f(x_1), f(x_2), ..., f(x_n)]$ then differencing of function can be presented in matrix form"

$\frac{dF}{sX} = X^{-1} \times D_{1} \times F$

where:

$D_{1} = \begin{bmatrix} 0 & 0 & 0 & \dots & 0 & 0 \\ -1 & 1 & 0 & \dots & 0 & 0 \\ 0 & -1 & 1 & \dots & 0 & 0 \\ 0 & 0 &-1 & \dots & 0 & 0 \\ \hdotsfor{6} \\ 0 & 0 & 0 & \dots & -1 & 1 \end{bmatrix}$

$X = \begin{bmatrix} x_{1} - x_{0} & 0 & 0 & \dots & 0 & 0 \\ 0 & x_{2} - x_{1} & 0 & \dots & 0 & 0 \\ 0 & 0 & x_{3} - x_{2} & \dots & 0 & 0 \\ 0 & 0 & 0 & \dots & 0 & 0 \\ \hdotsfor{6} \\ 0 & 0 & 0 &\dots & 0 & x_{n}-x_{n-1} \end{bmatrix}$

The second derivative can be calculated by analogy.

This method calculates the D matrix.

Parameters

size	Size of D matrix
derivative	Order of derivative

arma::mat julian::ir::CostFunctionDecorator::matrixX	(	const InterpolatedCurve &	c,
		int	order
	)		const

protected

Creates matrix representation of differential operator.

Numerical derivative of a function f can be approximated using following formula

$\frac{df(x)}{dx}|_{x=x_i} \approx \frac{f(x_{i+1}) - f(x_{i})}{x_{i+1}-x_{i}}$

If $F = [f(x_1), f(x_2), ..., f(x_n)]$ then differencing of function can be presented in matrix form:

$\frac{dF}{dX} = X^{-1} \times D_{1} \times F$

where:

$D_{1} = \begin{bmatrix} 0 & 0 & 0 & \dots & 0 & 0 \\ -1 & 1 & 0 & \dots & 0 & 0 \\ 0 & -1 & 1 & \dots & 0 & 0 \\ 0 & 0 &-1 & \dots & 0 & 0 \\ \hdotsfor{6} \\ 0 & 0 & 0 & \dots & -1 & 1 \end{bmatrix}$

$X = \begin{bmatrix} x_{1} - x_{0} & 0 & 0 & \dots & 0 & 0 \\ 0 & x_{2} - x_{1} & 0 & \dots & 0 & 0 \\ 0 & 0 & x_{3} - x_{2} & \dots & 0 & 0 \\ 0 & 0 & 0 & \dots & 0 & 0 \\ \hdotsfor{6} \\ 0 & 0 & 0 &\dots & 0 & x_{n}-x_{n-1} \end{bmatrix}$

The second derivative can be calculated by analogy.

This method calculates the X matrix.

Parameters

c	Curve which derivative we calculates
order	Order of derivative

void julian::ir::CostFunctionDecorator::updateSmoothedCurve	(	InterpolatedCurve &	c,
		const std::vector< double > &	r
	)		const

virtual

updates the curve as with the vector of doubles

Implements julian::ir::SmootherCostFunction.

Member Data Documentation

SmartPointer<SmootherCostFunction> julian::ir::CostFunctionDecorator::cost_function_

private

Pointer to decorator interface.

The documentation for this class was generated from the following files:

C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/estimators/costFunctions/CostFunctionDecorator.hpp
C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/estimators/costFunctions/CostFunctionDecorator.cpp

Public Member Functions

Protected Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation