IncompleteEstimate.java

  1. package org.drip.sample.beta;

  3. import org.drip.function.definition.R2ToR1;
  4. import org.drip.function.definition.R3ToR1;
  5. import org.drip.numerical.common.FormatUtil;
  6. import org.drip.service.env.EnvManager;
  7. import org.drip.specialfunction.beta.IncompleteIntegrandEstimator;
  8. import org.drip.specialfunction.beta.IntegrandEstimator;

  10. /*
  11.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  12.  */

  14. /*!
  15.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>IncompleteEstimate</i> illustrates the Estimation of the Incomplete Beta Function. The References are:
  86.  * 
  87.  * <br><br>
  88.  *  <ul>
  89.  *      <li>
  90.  *          Abramowitz, M., and I. A. Stegun (2007): <i>Handbook of Mathematics Functions</i> <b>Dover Book
  91.  *              on Mathematics</b>
  92.  *      </li>
  93.  *      <li>
  94.  *          Davis, P. J. (1959): Leonhard Euler's Integral: A Historical Profile of the Gamma Function
  95.  *              <i>American Mathematical Monthly</i> <b>66 (10)</b> 849-869
  96.  *      </li>
  97.  *      <li>
  98.  *          Whitaker, E. T., and G. N. Watson (1996): <i>A Course on Modern Analysis</i> <b>Cambridge
  99.  *              University Press</b> New York
  100.  *      </li>
  101.  *      <li>
  102.  *          Wikipedia (2019): Beta Function https://en.wikipedia.org/wiki/Beta_function
  103.  *      </li>
  104.  *      <li>
  105.  *          Wikipedia (2019): Gamma Function https://en.wikipedia.org/wiki/Gamma_function
  106.  *      </li>
  107.  *  </ul>
  108.  *
  109.  *  <br><br>
  110.  *  <ul>
  111.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  112.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FunctionAnalysisLibrary.md">Function Analysis Library</a></li>
  113.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
  114.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/beta/README.md">Estimates of the Beta Functions</a></li>
  115.  *  </ul>
  116.  *
  117.  * @author Lakshmi Krishnamurthy
  118.  */

  120. public class IncompleteEstimate
  121. {

  123.     private static final void Estimate (
  124.         final double[] xArray,
  125.         final double a,
  126.         final double b,
  127.         final R2ToR1 betaEstimator,
  128.         final R3ToR1 incompleteBetaEstimator)
  129.         throws Exception
  130.     {
  131.         String display =
  132.             "\t| [" +
  133.             FormatUtil.FormatDouble (a, 1, 1, 1., false) + ", " +
  134.             FormatUtil.FormatDouble (b, 1, 1, 1., false) + "] => " +
  135.             FormatUtil.FormatDouble (
  136.                 betaEstimator.evaluate (
  137.                     a,
  138.                     b
  139.                 ), 1, 8, 1., false
  140.             ) + " ||";

  142.         for (double x : xArray)
  143.         {
  144.             display = display +
  145.                 FormatUtil.FormatDouble (
  146.                     incompleteBetaEstimator.evaluate (
  147.                         x,
  148.                         a,
  149.                         b
  150.                     ), 1, 8, 1.
  151.                 ) + " |";
  152.         }

  154.         System.out.println (display + "|");
  155.     }

  157.     public static final void main (
  158.         final String[] argumentArray)
  159.         throws Exception
  160.     {
  161.         EnvManager.InitEnv ("");

  163.         double[] xArray =
  164.         {
  165.             1.00,
  166.             0.80,
  167.             0.60,
  168.             0.40,
  169.             0.20,
  170.             0.00,
  171.         };
  172.         double[] aArray =
  173.         {
  174.             1.,
  175.             2.,
  176.             3.,
  177.             4.,
  178.             5.,
  179.             6.,
  180.         };
  181.         double[] bArray =
  182.         {
  183.             1.,
  184.             2.,
  185.             3.,
  186.             4.,
  187.             5.,
  188.             6.,
  189.         };

  191.         int eulerIntegrandBetaTermCount = 1000;
  192.         int eulerIntegrandIncompleteBetaTermCount = 1000;

  194.         R2ToR1 betaEstimator = IntegrandEstimator.EulerFirstRightPlane (eulerIntegrandBetaTermCount);

  196.         R3ToR1 incompleteBetaEstimator = IncompleteIntegrandEstimator.EulerFirst
  197.             (eulerIntegrandIncompleteBetaTermCount);

  199.         System.out.println ("\t|---------------------------------------------------------------------------------------------------------||");

  201.         System.out.println ("\t|                                    INCOMPLETE BETA FUNCTION ESTIMATE                                    ||");

  203.         System.out.println ("\t|---------------------------------------------------------------------------------------------------------||");

  205.         System.out.println ("\t|        L -> R:                                                                                          ||");

  207.         System.out.println ("\t|                - a                                                                                      ||");

  209.         System.out.println ("\t|                - b                                                                                      ||");

  211.         System.out.println ("\t|                - Beta Estimate                                                                          ||");

  213.         System.out.println ("\t|                - Incomplete Beta Estimates for x E (1 ... 0)                                            ||");

  215.         System.out.println ("\t|---------------------------------------------------------------------------------------------------------||");

  217.         for (double a : aArray)
  218.         {
  219.             for (double b : bArray)
  220.             {
  221.                 Estimate (
  222.                     xArray,
  223.                     a,
  224.                     b,
  225.                     betaEstimator,
  226.                     incompleteBetaEstimator
  227.                 );
  228.             }
  229.         }

  231.         System.out.println ("\t|---------------------------------------------------------------------------------------------------------||");

  233.         EnvManager.TerminateEnv();
  234.     }
  235. }
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