org.drip.function.definition

Class RdToRd

java.lang.Object

org.drip.function.definition.RdToRd

public abstract class RdToRd
extends java.lang.Object

RdToRd provides the evaluation of the R^d To R^d objective function and its derivatives for a specified set of R^d variates. 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[] adblVariate, int iVariateIndex, int iOrder) Calculate the Derivative Array as a double
Differential[]	differential(double[] adblVariate, int iVariateIndex, int iOrder) Calculate the Array of Differentials
abstract double[]	evaluate(double[] adblVariate) Evaluate for the given Input R^d Variates
double[]	integrate(double[] adblLeftEdge, double[] adblRightEdge) 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[] adblVariate)

Evaluate for the given Input R^d Variates

Parameters:

adblVariate - Array of Input R^d Variates

Returns:

The Output R^d Variates

differential

public Differential[] differential(double[] adblVariate,
                                   int iVariateIndex,
                                   int iOrder)

Calculate the Array of Differentials

Parameters:

adblVariate - Variate Array at which the derivative is to be calculated

iVariateIndex - Index of the Variate whose Derivative is to be computed

iOrder - Order of the derivative to be computed

Returns:

The Array of Differentials

derivative

public double[] derivative(double[] adblVariate,
                           int iVariateIndex,
                           int iOrder)

Calculate the Derivative Array as a double

Parameters:

adblVariate - Variate Array at which the derivative is to be calculated

iVariateIndex - Index of the Variate whose Derivative is to be computed

iOrder - Order of the derivative to be computed

Returns:

The Derivative Array

integrate

public double[] integrate(double[] adblLeftEdge,
                          double[] adblRightEdge)

Integrate over the given Input Range Using Uniform Monte-Carlo

Parameters:

adblLeftEdge - Array of Input Left Edge

adblRightEdge - Array of Input Right Edge

Returns:

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