Package org.drip.function.r1tor1
Built-in R1 To R1 Functions
- Author:
- Lakshmi Krishnamurthy
-
Class Summary Class Description AlmgrenEnhancedEulerUpdate AlmgrenEnhancedEulerUpdate is a R1 To R1 Function that is used in Almgren (2009, 2012) to illustrate the Construction of the Enhanced Euler Update Scheme.AndersenPiterbargMeanReverter AndersenPiterbargMeanReverter implements the mean-reverting Univariate Function detailed in:
Andersen and Piterbarg (2010): Interest Rate Modeling (3 Volumes), Atlantic Financial Press.Bennett Bennett is implementation of the Bennett's Function used in the Estimation of the Bennett's Concentration Inequality.BernsteinPolynomial BernsteinPolynomial provides the evaluation of the BernsteinPolynomial and its derivatives for a specified variate.ExponentialDecay ExponentialDecay implements the scaled exponential decay Univariate Function.ExponentialTension ExponentialTension provides the evaluation of the Exponential Tension Function and its derivatives for a specified variate.FlatUnivariate FlatUnivariate implements the level constant Univariate Function.FunctionClassSupremum FunctionClassSupremum implements the Univariate Function that corresponds to the Supremum among the specified Class of Functions.HyperbolicTension HyperbolicTension provides the evaluation of the Hyperbolic Tension Function and its derivatives for a specified variate.ISDABucketCurvatureTenorScaler ISDABucketCurvatureTenorScaler generates the ISDA SIMM Tenor Scaling Factor for a given Bucket Curvature.LinearRationalShapeControl LinearRationalShapeControl implements the deterministic rational shape control functionality on top of the estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = 1 / [1 + lambda * x]
where is the normalized ordinate mapped as x === (x - x_i-1) / (x_i - x_i-1)
Module = Computational Core Module Library = Numerical Analysis Library Project = Rd To Rd Function Analysis Package = Built-in R1 To R1 FunctionsLinearRationalTensionExponential LinearRationalTensionExponential provides the evaluation of the Convolution of the Linear Rational and the Tension Exponential Functions and its derivatives for a specified variate.MonicPolynomial MonicPolynomial implements the Multi-root R1 to R1 Monic Polynomial.NaturalLogSeriesElement NaturalLogSeriesElement implements an element in the natural log series expansion.OffsetIdempotent OffsetIdempotent provides the Implementation of the Offset Idempotent Operator - f(x) = x - C.Polynomial Polynomial provides the evaluation of the nth order Polynomial and its derivatives for a specified variate.QuadraticRationalShapeControl QuadraticRationalShapeControl implements the deterministic rational shape control functionality on top of the estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = 1 / [1 + lambda * x * (1-x)]
where is the normalized ordinate mapped as
x ==== (x - x_i-1) / (x_i - x_i-1)
Module = Computational Core Module Library = Numerical Analysis Library Project = Rd To Rd Function Analysis Package = Built-in R1 To R1 FunctionsR1UnivariateCIRPDF R1UnivariateCIRPDF exposes the R1 Univariate Cox-Ingersoll-Ross Probability Density Function.SABRLIBORCapVolatility SABRLIBORCapVolatility implements the Deterministic, Non-local Cap Volatility Scheme detailed in:
Rebonato, R., K.Sinc Sinc computes the Pi Z-Scaled Reciprocal of the Sine Function of Pi times the Argument.UnivariateConvolution UnivariateConvolution provides the evaluation of the Convolution au1 * au2 and its derivatives for a specified variate.UnivariateReciprocal UnivariateReciprocal provides the evaluation 1/f(x) instead of f(x) for a given f.UnivariateReflection UnivariateReflection provides the evaluation f(1-x) instead of f(x) for a given f.