ExponentialTension.java

  1. package org.drip.function.r1tor1;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * 
  17.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  18.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  19.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  20.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  21.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  22.  *      and computational support.
  23.  *  
  24.  *      https://lakshmidrip.github.io/DROP/
  25.  *  
  26.  *  DROP is composed of three modules:
  27.  *  
  28.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  29.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  30.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  31.  * 
  32.  *  DROP Product Core implements libraries for the following:
  33.  *  - Fixed Income Analytics
  34.  *  - Loan Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Portfolio Core implements libraries for the following:
  38.  *  - Asset Allocation Analytics
  39.  *  - Asset Liability Management Analytics
  40.  *  - Capital Estimation Analytics
  41.  *  - Exposure Analytics
  42.  *  - Margin Analytics
  43.  *  - XVA Analytics
  44.  * 
  45.  *  DROP Computational Core implements libraries for the following:
  46.  *  - Algorithm Support
  47.  *  - Computation Support
  48.  *  - Function Analysis
  49.  *  - Model Validation
  50.  *  - Numerical Analysis
  51.  *  - Numerical Optimizer
  52.  *  - Spline Builder
  53.  *  - Statistical Learning
  54.  * 
  55.  *  Documentation for DROP is Spread Over:
  56.  * 
  57.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  58.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  59.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  60.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  61.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  62.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  63.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  64.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  65.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  66.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  67.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  68.  * 
  69.  *  Licensed under the Apache License, Version 2.0 (the "License");
  70.  *      you may not use this file except in compliance with the License.
  71.  *   
  72.  *  You may obtain a copy of the License at
  73.  *      http://www.apache.org/licenses/LICENSE-2.0
  74.  *  
  75.  *  Unless required by applicable law or agreed to in writing, software
  76.  *      distributed under the License is distributed on an "AS IS" BASIS,
  77.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  78.  *  
  79.  *  See the License for the specific language governing permissions and
  80.  *      limitations under the License.
  81.  */

  83. /**
  84.  * <i>ExponentialTension</i> provides the evaluation of the Exponential Tension Function and its derivatives
  85.  * for a specified variate.
  86.  *
  87.  *  <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  91.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/function/README.md">R<sup>d</sup> To R<sup>d</sup> Function Analysis</a></li>
  92.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/function/r1tor1/README.md">Built-in R<sup>1</sup> To R<sup>1</sup> Functions</a></li>
  93.  *  </ul>
  94.  *
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class ExponentialTension extends org.drip.function.definition.R1ToR1 {
  99.     private boolean _bIsBaseNatural = false;
  100.     private double _dblBase = java.lang.Double.NaN;
  101.     private double _dblTension = java.lang.Double.NaN;

  103.     /**
  104.      * ExponentialTension constructor
  105.      * 
  106.      * @param dblBase Base of the ExponentialTension Function
  107.      * @param dblTension Tension of the ExponentialTension Function
  108.      * 
  109.      * @throws java.lang.Exception Thrown if the input is invalid
  110.      */

  112.     public ExponentialTension (
  113.         final double dblBase,
  114.         final double dblTension)
  115.         throws java.lang.Exception
  116.     {
  117.         super (null);

  119.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblBase = dblBase) ||
  120.             !org.drip.numerical.common.NumberUtil.IsValid (_dblTension = dblTension))
  121.             throw new java.lang.Exception ("ExponentialTension ctr: Invalid Inputs");

  123.         _bIsBaseNatural = _dblBase == java.lang.Math.E;
  124.     }

  126.     @Override public double evaluate (
  127.         final double dblVariate)
  128.         throws java.lang.Exception
  129.     {
  130.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblVariate))
  131.             throw new java.lang.Exception ("ExponentialTension::evaluate => Invalid Inputs");

  133.         return _bIsBaseNatural ? java.lang.Math.exp (_dblTension * dblVariate) : java.lang.Math.pow
  134.             (_dblBase, _dblTension * dblVariate);
  135.     }

  137.     @Override public double derivative (
  138.         final double dblVariate,
  139.         final int iOrder)
  140.         throws java.lang.Exception
  141.     {
  142.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblVariate) || 0 > iOrder)
  143.             throw new java.lang.Exception ("ExponentialTension::derivative => Invalid Inputs");

  145.         double dblDerivFactor = 1.;

  147.         for (int i = 0; i < iOrder; ++i)
  148.             dblDerivFactor *= _dblTension;

  150.         return _bIsBaseNatural ? dblDerivFactor * java.lang.Math.exp (_dblTension * dblVariate) :
  151.             dblDerivFactor * java.lang.Math.exp (_dblTension * dblVariate);
  152.     }

  154.     @Override public double integrate (
  155.         final double dblBegin,
  156.         final double dblEnd)
  157.         throws java.lang.Exception
  158.     {
  159.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblBegin) || !org.drip.numerical.common.NumberUtil.IsValid
  160.             (dblEnd))
  161.             throw new java.lang.Exception ("ExponentialTension::integrate => Invalid Inputs");

  163.         return _bIsBaseNatural ? (java.lang.Math.exp (_dblTension * dblEnd) - java.lang.Math.exp (_dblTension
  164.             * dblBegin)) / _dblTension : (java.lang.Math.pow (_dblBase, _dblTension * dblEnd) -
  165.                 java.lang.Math.pow (_dblBase, _dblTension * dblBegin)) / (_dblTension * java.lang.Math.log
  166.                     (_dblBase));
  167.     }

  169.     /**
  170.      * Is the base natural?
  171.      * 
  172.      * @return TRUE - Base is off of natural logarithm
  173.      */

  175.     public boolean isBaseNatural()
  176.     {
  177.         return _bIsBaseNatural;
  178.     }

  180.     /**
  181.      * Retrieve the Base
  182.      * 
  183.      * @return The Base
  184.      */

  186.     public double getBase()
  187.     {
  188.         return _dblBase;
  189.     }

  191.     /**
  192.      * Retrieve the Tension Parameter
  193.      * 
  194.      * @return Tension Parameter
  195.      */

  197.     public double getTension()
  198.     {
  199.         return _dblTension;
  200.     }

  202.     public static final void main (
  203.         final java.lang.String[] astrArgs)
  204.         throws java.lang.Exception
  205.     {
  206.         ExponentialTension e = new ExponentialTension (java.lang.Math.E, 2.);

  208.         System.out.println ("E[0.0] = " + e.evaluate (0.0));

  210.         System.out.println ("E[0.5] = " + e.evaluate (0.5));

  212.         System.out.println ("E[1.0] = " + e.evaluate (1.0));

  214.         System.out.println ("EDeriv[0.0] = " + e.derivative (0.0, 2));

  216.         System.out.println ("EDeriv[0.5] = " + e.derivative (0.5, 2));

  218.         System.out.println ("EDeriv[1.0] = " + e.derivative (1.0, 2));
  219.     }
  220. }
Created with JaCoCo 0.7.9.201702052155