R1ToR1IntegrandEstimator.java

  1. package org.drip.numerical.estimation;

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

  77. /**
  78.  * <i>R1ToR1IntegrandEstimator</i> exposes the Stubs behind the Integrand Based R<sup>1</sup> - R<sup>1</sup>
  79.  * Approximate Numerical Estimators. The References are:
  80.  * 
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Mortici, C. (2011): Improved Asymptotic Formulas for the Gamma Function <i>Computers and
  85.  *              Mathematics with Applications</i> <b>61 (11)</b> 3364-3369
  86.  *      </li>
  87.  *      <li>
  88.  *          National Institute of Standards and Technology (2018): NIST Digital Library of Mathematical
  89.  *              Functions https://dlmf.nist.gov/5.11
  90.  *      </li>
  91.  *      <li>
  92.  *          Nemes, G. (2010): On the Coefficients of the Asymptotic Expansion of n!
  93.  *              https://arxiv.org/abs/1003.2907 <b>arXiv</b>
  94.  *      </li>
  95.  *      <li>
  96.  *          Toth V. T. (2016): Programmable Calculators – The Gamma Function
  97.  *              http://www.rskey.org/CMS/index.php/the-library/11
  98.  *      </li>
  99.  *      <li>
  100.  *          Wikipedia (2019): Stirling's Approximation
  101.  *              https://en.wikipedia.org/wiki/Stirling%27s_approximation
  102.  *      </li>
  103.  *  </ul>
  104.  *
  105.  *  <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  109.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/numerical/README.md">Numerical Quadrature, Differentiation, Eigenization, Linear Algebra, and Utilities</a></li>
  110.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/numerical/estimation/README.md">Function Numerical Estimates/Corrections/Bounds</a></li>
  111.  *  </ul>
  112.  *
  113.  * @author Lakshmi Krishnamurthy
  114.  */

  116. public class R1ToR1IntegrandEstimator extends org.drip.numerical.estimation.R1ToR1Estimator
  117. {

  119.     /**
  120.      * Set the ZERO_ONE Integrand Limits Setting
  121.      */

  123.     public static final int INTEGRAND_LIMITS_SETTING_ZERO_ONE = 0;

  125.     /**
  126.      * Set the ZERO_INFINITY Integrand Limits Setting
  127.      */

  129.     public static final int INTEGRAND_LIMITS_SETTING_ZERO_INFINITY = 1;

  131.     private int _limitsSetting = -1;
  132.     private int _quadratureCount = 1000000;
  133.     private double _integrandScale = java.lang.Double.NaN;
  134.     private org.drip.numerical.estimation.R1ToR1Estimator _integrandOffset = null;
  135.     private org.drip.numerical.estimation.R1ToR1IntegrandGenerator _integrandGenerator = null;

  137.     /**
  138.      * R1ToR1IntegrandEstimator Constructor
  139.      * 
  140.      * @param dc The Derivative Control
  141.      * @param integrandGenerator The Integrand Generator
  142.      * @param limitsSetting The Integrand Limits Setting
  143.      * @param integrandScale The Integrand Scale
  144.      * @param integrandOffset The Integrand Offset
  145.      * 
  146.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  147.      */

  149.     public R1ToR1IntegrandEstimator (
  150.         final org.drip.numerical.differentiation.DerivativeControl dc,
  151.         final org.drip.numerical.estimation.R1ToR1IntegrandGenerator integrandGenerator,
  152.         final int limitsSetting,
  153.         final double integrandScale,
  154.         final org.drip.numerical.estimation.R1ToR1Estimator integrandOffset)
  155.         throws java.lang.Exception
  156.     {
  157.         super (dc);

  159.         if (null == (_integrandGenerator = integrandGenerator) ||
  160.             -1 >= (_limitsSetting = limitsSetting) ||
  161.             !org.drip.numerical.common.NumberUtil.IsValid (_integrandScale = integrandScale) ||
  162.             null == (_integrandOffset = integrandOffset))
  163.         {
  164.             throw new java.lang.Exception ("R1ToR1IntegrandEstimator Contructor => Invalid Inputs");
  165.         }
  166.     }

  168.     /**
  169.      * Retrieve the Integrand
  170.      * 
  171.      * @return The Integrand
  172.      */

  174.     public org.drip.numerical.estimation.R1ToR1IntegrandGenerator integrand()
  175.     {
  176.         return _integrandGenerator;
  177.     }

  179.     /**
  180.      * Retrieve the Integrand Limits Setting
  181.      * 
  182.      * @return The Integrand Limits Setting
  183.      */

  185.     public int limitsSetting()
  186.     {
  187.         return _limitsSetting;
  188.     }

  190.     /**
  191.      * Retrieve the Integrand Scale
  192.      * 
  193.      * @return The Integrand Scale
  194.      */

  196.     public double integrandScale()
  197.     {
  198.         return _integrandScale;
  199.     }

  201.     /**
  202.      * Retrieve the Integrand Offset
  203.      * 
  204.      * @return The Integrand Offset
  205.      */

  207.     public org.drip.numerical.estimation.R1ToR1Estimator integrandOffset()
  208.     {
  209.         return _integrandOffset;
  210.     }

  212.     @Override public double evaluate (
  213.         final double z)
  214.         throws java.lang.Exception
  215.     {
  216.         if (INTEGRAND_LIMITS_SETTING_ZERO_ONE == _limitsSetting)
  217.         {
  218.             return _integrandOffset.evaluate (z) + _integrandScale *
  219.                 org.drip.numerical.integration.NewtonCotesQuadratureGenerator.Zero_PlusOne (
  220.                     0.,
  221.                     1.,
  222.                     _quadratureCount
  223.                 ).integrate (_integrandGenerator.integrand (z));
  224.         }

  226.         if (INTEGRAND_LIMITS_SETTING_ZERO_INFINITY == _limitsSetting)
  227.         {
  228.             return _integrandOffset.evaluate (z) + _integrandScale *
  229.                 org.drip.numerical.integration.NewtonCotesQuadratureGenerator.GaussLaguerreLeftDefinite (
  230.                     0.,
  231.                     _quadratureCount
  232.                 ).integrate (_integrandGenerator.integrand (z));
  233.         }

  235.         return 0.;
  236.     }

  238.     /**
  239.      * Retrieve the Quadrature Count
  240.      * 
  241.      * @return The Quadrature Count
  242.      */

  244.     public int quadratureCount()
  245.     {
  246.         return _quadratureCount;
  247.     }
  248. }
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