org.drip.function.definition

Class R1ToRd

java.lang.Object

org.drip.function.definition.R1ToRd

public abstract class R1ToRd
extends java.lang.Object

R1ToRd provides the evaluation of the R^1 To R^d Objective Function and its derivatives for a specified variate. Default implementation of the derivatives are for non-analytical black box objective functions.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
double[]	derivative(double dblVariate, int iOrder) Calculate the Derivative Array as a double
Differential[]	differential(double dblVariate, int iOrder) Calculate the Array of Differentials
abstract double[]	evaluate(double dblVariate) Evaluate for the given Input R^1 Variate
double[]	integrate(double dblLeftEdge, double dblRightEdge) Integrate over the given Input Range Using Uniform Monte-Carlo

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

evaluate

public abstract double[] evaluate(double dblVariate)

Evaluate for the given Input R^1 Variate

Parameters:

dblVariate - The Input R^1 Variate

Returns:

The Output R^d Array

differential

public Differential[] differential(double dblVariate,
                                   int iOrder)

Calculate the Array of Differentials

Parameters:

dblVariate - Variate at which the derivative is to be calculated

iOrder - Order of the derivative to be computed

Returns:

The Array of Differentials

derivative

public double[] derivative(double dblVariate,
                           int iOrder)

Calculate the Derivative Array as a double

Parameters:

dblVariate - Variate at which the derivative is to be calculated

iOrder - Order of the derivative to be computed

Returns:

The Derivative Array

integrate

public double[] integrate(double dblLeftEdge,
                          double dblRightEdge)

Integrate over the given Input Range Using Uniform Monte-Carlo

Parameters:

dblLeftEdge - Input Left Edge

dblRightEdge - Input Right Edge

Returns:

The Array Containing the Result of the Integration over the specified Range