ExponentialTension.java
package org.drip.function.r1tor1;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>ExponentialTension</i> provides the evaluation of the Exponential Tension Function and its derivatives
* for a specified variate.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
* <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>
* <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>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ExponentialTension extends org.drip.function.definition.R1ToR1 {
private boolean _bIsBaseNatural = false;
private double _dblBase = java.lang.Double.NaN;
private double _dblTension = java.lang.Double.NaN;
/**
* ExponentialTension constructor
*
* @param dblBase Base of the ExponentialTension Function
* @param dblTension Tension of the ExponentialTension Function
*
* @throws java.lang.Exception Thrown if the input is invalid
*/
public ExponentialTension (
final double dblBase,
final double dblTension)
throws java.lang.Exception
{
super (null);
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblBase = dblBase) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblTension = dblTension))
throw new java.lang.Exception ("ExponentialTension ctr: Invalid Inputs");
_bIsBaseNatural = _dblBase == java.lang.Math.E;
}
@Override public double evaluate (
final double dblVariate)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblVariate))
throw new java.lang.Exception ("ExponentialTension::evaluate => Invalid Inputs");
return _bIsBaseNatural ? java.lang.Math.exp (_dblTension * dblVariate) : java.lang.Math.pow
(_dblBase, _dblTension * dblVariate);
}
@Override public double derivative (
final double dblVariate,
final int iOrder)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblVariate) || 0 > iOrder)
throw new java.lang.Exception ("ExponentialTension::derivative => Invalid Inputs");
double dblDerivFactor = 1.;
for (int i = 0; i < iOrder; ++i)
dblDerivFactor *= _dblTension;
return _bIsBaseNatural ? dblDerivFactor * java.lang.Math.exp (_dblTension * dblVariate) :
dblDerivFactor * java.lang.Math.exp (_dblTension * dblVariate);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblBegin) || !org.drip.numerical.common.NumberUtil.IsValid
(dblEnd))
throw new java.lang.Exception ("ExponentialTension::integrate => Invalid Inputs");
return _bIsBaseNatural ? (java.lang.Math.exp (_dblTension * dblEnd) - java.lang.Math.exp (_dblTension
* dblBegin)) / _dblTension : (java.lang.Math.pow (_dblBase, _dblTension * dblEnd) -
java.lang.Math.pow (_dblBase, _dblTension * dblBegin)) / (_dblTension * java.lang.Math.log
(_dblBase));
}
/**
* Is the base natural?
*
* @return TRUE - Base is off of natural logarithm
*/
public boolean isBaseNatural()
{
return _bIsBaseNatural;
}
/**
* Retrieve the Base
*
* @return The Base
*/
public double getBase()
{
return _dblBase;
}
/**
* Retrieve the Tension Parameter
*
* @return Tension Parameter
*/
public double getTension()
{
return _dblTension;
}
public static final void main (
final java.lang.String[] astrArgs)
throws java.lang.Exception
{
ExponentialTension e = new ExponentialTension (java.lang.Math.E, 2.);
System.out.println ("E[0.0] = " + e.evaluate (0.0));
System.out.println ("E[0.5] = " + e.evaluate (0.5));
System.out.println ("E[1.0] = " + e.evaluate (1.0));
System.out.println ("EDeriv[0.0] = " + e.derivative (0.0, 2));
System.out.println ("EDeriv[0.5] = " + e.derivative (0.5, 2));
System.out.println ("EDeriv[1.0] = " + e.derivative (1.0, 2));
}
}