BoundedUniformIntegerDistribution.java

  1. package org.drip.measure.discrete;

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

  81. /**
  82.  * <i>BoundedUniformIntegerDistribution</i> implements the Univariate Bounded Uniform Integer Distribution,
  83.  * with the Integer being generated between a (n inclusive) lower and an upper Bound.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/README.md">R<sup>d</sup> Continuous/Discrete Probability Measures</a></li>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/discrete/README.md">Antithetic, Quadratically Re-sampled, De-biased Distribution</a></li>
  91.  *  </ul>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class BoundedUniformIntegerDistribution extends org.drip.measure.continuous.R1Univariate {
  97.     private int _iStart = -1;
  98.     private int _iFinish = -1;

  100.     /**
  101.      * Construct a Univariate Bounded Uniform Integer Distribution
  102.      * 
  103.      * @param iStart The Starting Integer
  104.      * @param iFinish The Finishing Integer
  105.      * 
  106.      * @throws java.lang.Exception Thrown if the inputs are invalid
  107.      */

  109.     public BoundedUniformIntegerDistribution (
  110.         final int iStart,
  111.         final int iFinish)
  112.         throws java.lang.Exception
  113.     {
  114.         if ((_iFinish = iFinish) <= (_iStart = iStart))
  115.             throw new java.lang.Exception ("BoundedUniformIntegerDistribution constructor: Invalid inputs");
  116.     }

  118.     /**
  119.      * Retrieve the Start
  120.      * 
  121.      * @return The Start
  122.      */

  124.     public int start()
  125.     {
  126.         return _iStart;
  127.     }

  129.     /**
  130.      * Retrieve the Finish
  131.      * 
  132.      * @return The Finish
  133.      */

  135.     public int finish()
  136.     {
  137.         return _iFinish;
  138.     }

  140.     @Override public double[] support()
  141.     {
  142.         return new double[]
  143.         {
  144.             _iStart,
  145.             _iFinish
  146.         };
  147.     }

  149.     @Override public double cumulative (
  150.         final double dblX)
  151.         throws java.lang.Exception
  152.     {
  153.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
  154.             throw new java.lang.Exception
  155.                 ("BoundedUniformIntegerDistribution::cumulative => Invalid inputs");

  157.         if (dblX <= _iStart) return 0.;

  159.         if (dblX >= _iFinish) return 1.;

  161.         return (dblX - _iStart) / (_iFinish - _iStart);
  162.     }

  164.     @Override public double incremental (
  165.         final double dblXLeft,
  166.         final double dblXRight)
  167.         throws java.lang.Exception
  168.     {
  169.         return cumulative (dblXRight) - cumulative (dblXLeft);
  170.     }

  172.     @Override public double invCumulative (
  173.         final double dblY)
  174.         throws java.lang.Exception
  175.     {
  176.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblY) || dblY < 0. || dblY > 1.)
  177.             throw new java.lang.Exception
  178.                 ("BoundedUniformIntegerDistribution::invCumulative => Invalid inputs");

  180.         return dblY * (_iFinish - _iStart) + _iStart;
  181.     }

  183.     @Override public double density (
  184.         final double dblX)
  185.         throws java.lang.Exception
  186.     {
  187.         throw new java.lang.Exception
  188.             ("BoundedUniformIntegerDistribution::density => Not available for discrete distributions");
  189.     }

  191.     @Override public double mean()
  192.     {
  193.         return 0.5 * (_iFinish + _iStart);
  194.     }

  196.     @Override public double variance()
  197.     {
  198.         return (_iFinish - _iStart) * (_iFinish - _iStart) / 12.;
  199.     }

  201.     @Override public org.drip.numerical.common.Array2D histogram()
  202.     {
  203.         int iGridWidth = _iFinish - _iStart;
  204.         double[] adblX = new double[iGridWidth];
  205.         double[] adblY = new double[iGridWidth];

  207.         for (int i = 0; i < iGridWidth; ++i) {
  208.             adblY[i] = 1. / iGridWidth;
  209.             adblX[i] = _iStart + (i + 1);
  210.         }

  212.         try {
  213.             
  214.         } catch (java.lang.Exception e) {
  215.             e.printStackTrace();
  216.         }

  218.         return null;
  219.     }
  220. }
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