R2ToR1Series.java
package org.drip.numerical.estimation;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 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>R2ToR1Series</i> holds the R<sup>2</sup> To R<sup>1</sup> Expansion Terms in the Ordered Series of the
* Numerical Estimate for a Function. The References are:
*
* <br><br>
* <ul>
* <li>
* Abramowitz, M., and I. A. Stegun (2007): Handbook of Mathematics Functions <b>Dover Book on
* Mathematics</b>
* </li>
* <li>
* Blagouchine, I. V. (2018): Three Notes on Ser's and Hasse's Representations for the
* Zeta-Functions https://arxiv.org/abs/1606.02044 <b>arXiv</b>
* </li>
* <li>
* Mezo, I., and M. E. Hoffman (2017): Zeros of the Digamma Function and its Barnes G-function
* Analogue <i>Integral Transforms and Special Functions</i> <b>28 (28)</b> 846-858
* </li>
* <li>
* Whitaker, E. T., and G. N. Watson (1996): <i>A Course on Modern Analysis</i> <b>Cambridge
* University Press</b> New York
* </li>
* <li>
* Wikipedia (2019): Digamma Function https://en.wikipedia.org/wiki/Digamma_function
* </li>
* </ul>
*
* <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/numerical">Numerical Quadrature, Differentiation, Eigenization, Linear Algebra, and Utilities</a></li>
* <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>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class R2ToR1Series
{
private boolean _proportional = false;
private org.drip.numerical.estimation.R2ToR1SeriesTerm _r2ToR1SeriesTerm = null;
private java.util.TreeMap<java.lang.Integer, java.lang.Double> _termWeightMap = null;
/**
* R2ToR1Series Constructor
*
* @param r2ToR1SeriesTerm R<sup>2</sup> To R<sup>1</sup> Series Expansion Term
* @param proportional TRUE - The Expansion Term is Proportional
* @param termWeightMap Error Term Weight Map
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public R2ToR1Series (
final org.drip.numerical.estimation.R2ToR1SeriesTerm r2ToR1SeriesTerm,
final boolean proportional,
final java.util.TreeMap<java.lang.Integer, java.lang.Double> termWeightMap)
throws java.lang.Exception
{
_proportional = proportional;
_termWeightMap = termWeightMap;
if (null == (_r2ToR1SeriesTerm = r2ToR1SeriesTerm))
{
throw new java.lang.Exception ("R2ToR1Series Constructor => Invalid Inputs");
}
}
/**
* Retrieve the R<sup>2</sup> To R<sup>1</sup> Series Expansion Term
*
* @return The R<sup>2</sup> To R<sup>1</sup> Series Expansion Term
*/
public org.drip.numerical.estimation.R2ToR1SeriesTerm r1ToR1SeriesTerm()
{
return _r2ToR1SeriesTerm;
}
/**
* Indicate if the R<sup>x</sup> To R<sup>1</sup> Series Expansion Term is Proportional
*
* @return TRUE - The R<sup>x</sup> To R<sup>1</sup> Series Expansion Term is Proportional
*/
public boolean proportional()
{
return _proportional;
}
/**
* Retrieve the R<sup>x</sup> To R<sup>1</sup> Series Expansion Term Weight Map
*
* @return The R<sup>x</sup> To R<sup>1</sup> Series Expansion Term Weight Map
*/
public java.util.TreeMap<java.lang.Integer, java.lang.Double> termWeightMap()
{
return _termWeightMap;
}
/**
* Generate the R<sup>2</sup> To R<sup>1</sup> Series Expansion using the Term
*
* @param zeroOrder The Zero Order Estimate
* @param x X
* @param y Y
*
* @return The R<sup>2</sup> To R<sup>1</sup> Series Expansion
*/
public java.util.TreeMap<java.lang.Integer, java.lang.Double> generate (
final double zeroOrder,
final double x,
final double y)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (zeroOrder))
{
return null;
}
java.util.TreeMap<java.lang.Integer, java.lang.Double> seriesExpansionMap = new
java.util.TreeMap<java.lang.Integer, java.lang.Double>();
if (null == _termWeightMap || 0 == _termWeightMap.size())
{
return seriesExpansionMap;
}
double scale = _proportional ? zeroOrder : 1.;
for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> termWeightEntry :
_termWeightMap.entrySet())
{
int order = termWeightEntry.getKey();
try
{
seriesExpansionMap.put (
order,
scale * termWeightEntry.getValue() * _r2ToR1SeriesTerm.value (
order,
x,
y
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
}
return seriesExpansionMap;
}
/**
* Compute the Cumulative Series Value
*
* @param zeroOrder The Zero Order Estimate
* @param x X
* @param y Y
*
* @return The Cumulative Series Value
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double cumulative (
final double zeroOrder,
final double x,
final double y)
throws java.lang.Exception
{
java.util.TreeMap<java.lang.Integer, java.lang.Double> seriesMap = generate (
zeroOrder,
x,
y
);
if (null == seriesMap)
{
throw new java.lang.Exception ("R2ToR1Series::cumulative => Invalid Inputs");
}
double cumulative = 0.;
for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> seriesEntry : seriesMap.entrySet())
{
cumulative = cumulative + seriesEntry.getValue();
}
return cumulative;
}
/**
* Evaluate for the given x, y
*
* @param x X
* @param y Y
*
* @return Returns the calculated value
*
* @throws java.lang.Exception Thrown if evaluation cannot be done
*/
public double evaluate (
final double x,
final double y)
throws java.lang.Exception
{
if (null == _termWeightMap || 0 == _termWeightMap.size())
{
return 0.;
}
double value = 0.;
double scale = _proportional ? 0. : 1.;
for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> termWeightEntry :
_termWeightMap.entrySet())
{
value = value + scale * termWeightEntry.getValue() * _r2ToR1SeriesTerm.value (
termWeightEntry.getKey(),
x,
y
);
}
return value;
}
}