PowerSourceExponentialDecayEstimate.java

  1. package org.drip.sample.gamma;

  3. import org.drip.numerical.common.FormatUtil;
  4. import org.drip.service.env.EnvManager;
  5. import org.drip.specialfunction.derived.PowerSourceExponentialDecay;
  6. import org.drip.specialfunction.loggamma.InfiniteSumEstimator;

  8. /*
  9.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  10.  */

  12. /*!
  13.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  14.  * 
  15.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  16.  *      calculations, and portfolio construction within and across fixed income, credit, commodity, equity,
  17.  *      FX, and structured products.
  18.  *  
  19.  *      https://lakshmidrip.github.io/DROP/
  20.  *  
  21.  *  DROP is composed of three main modules:
  22.  *  
  23.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  24.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  25.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  26.  * 
  27.  *  DROP Analytics Core implements libraries for the following:
  28.  *  - Fixed Income Analytics
  29.  *  - Asset Backed Analytics
  30.  *  - XVA Analytics
  31.  *  - Exposure and Margin Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Numerical Core implements libraries for the following:
  38.  *  - Statistical Learning Library
  39.  *  - Numerical Optimizer Library
  40.  *  - Machine Learning Library
  41.  *  - Spline Builder Library
  42.  * 
  43.  *  Documentation for DROP is Spread Over:
  44.  * 
  45.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  46.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  47.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  48.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  49.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  50.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  51.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  52.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  53.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  54.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  55.  * 
  56.  *  Licensed under the Apache License, Version 2.0 (the "License");
  57.  *      you may not use this file except in compliance with the License.
  58.  *   
  59.  *  You may obtain a copy of the License at
  60.  *      http://www.apache.org/licenses/LICENSE-2.0
  61.  *  
  62.  *  Unless required by applicable law or agreed to in writing, software
  63.  *      distributed under the License is distributed on an "AS IS" BASIS,
  64.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  65.  *  
  66.  *  See the License for the specific language governing permissions and
  67.  *      limitations under the License.
  68.  */

  70. /**
  71.  * <i>PowerSourceExponentialDecayEstimate</i> demonstrates the Estimation of the Power Source Exponential
  72.  * Decay Function. The References are:
  73.  * 
  74.  * <br><br>
  75.  *  <ul>
  76.  *      <li>
  77.  *          Blagouchine, I. V. (2014): Re-discovery of Malmsten's Integrals, their Evaluation by Contour
  78.  *              Integration Methods, and some Related Results <i>Ramanujan Journal</i> <b>35 (1)</b> 21-110
  79.  *      </li>
  80.  *      <li>
  81.  *          Borwein, J. M., and R. M. Corless (2017): Gamma Function and the Factorial in the Monthly
  82.  *              https://arxiv.org/abs/1703.05349 <b>arXiv</b>
  83.  *      </li>
  84.  *      <li>
  85.  *          Davis, P. J. (1959): Leonhard Euler's Integral: A Historical Profile of the Gamma Function
  86.  *              <i>American Mathematical Monthly</i> <b>66 (10)</b> 849-869
  87.  *      </li>
  88.  *      <li>
  89.  *          Whitaker, E. T., and G. N. Watson (1996): <i>A Course on Modern Analysis</i> <b>Cambridge
  90.  *              University Press</b> New York
  91.  *      </li>
  92.  *      <li>
  93.  *          Wikipedia (2019): Gamma Function https://en.wikipedia.org/wiki/Gamma_function
  94.  *      </li>
  95.  *  </ul>
  96.  *
  97.  *  <br><br>
  98.  *  <ul>
  99.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalCore.md">Numerical Core Module</a></li>
  100.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalOptimizerLibrary.md">Numerical Optimizer</a></li>
  101.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Function</a></li>
  102.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/gamma/README.md">Integrand Estimates of Gamma Functions</a></li>
  103.  *  </ul>
  104.  *
  105.  * @author Lakshmi Krishnamurthy
  106.  */

  108. public class PowerSourceExponentialDecayEstimate
  109. {

  111.     private static final void Demonstrate (
  112.         final double[] exponentialDecayCoefficientArray,
  113.         final double sourcePowerCoefficient)
  114.         throws Exception
  115.     {
  116.         PowerSourceExponentialDecay powerSourceExponentialDecayIntegral =
  117.             new PowerSourceExponentialDecay (
  118.                 null,
  119.                 sourcePowerCoefficient
  120.             );

  122.         PowerSourceExponentialDecay powerSourceExponentialDecayAnalytic =
  123.             PowerSourceExponentialDecay.Analytic (
  124.                 InfiniteSumEstimator.Weierstrass (1000000),
  125.                 sourcePowerCoefficient
  126.             );

  128.         String display = "\t|" + FormatUtil.FormatDouble (sourcePowerCoefficient, 1, 2, 1.) + " => ";

  130.         for (double exponentialDecayCoefficient : exponentialDecayCoefficientArray)
  131.         {
  132.             display = display + "{" + FormatUtil.FormatDouble (
  133.                 powerSourceExponentialDecayIntegral.evaluate (exponentialDecayCoefficient), 2, 3, 1.
  134.             ) + " -" + FormatUtil.FormatDouble (
  135.                 powerSourceExponentialDecayAnalytic.evaluate (exponentialDecayCoefficient), 2, 3, 1.
  136.             ) + " }";
  137.         }

  139.         System.out.println (display + " ||");
  140.     }

  142.     public static final void main (
  143.         final String[] argumentArray)
  144.         throws Exception
  145.     {
  146.         EnvManager.InitEnv ("");

  148.         double[] sourcePowerCoefficientArray =
  149.         {
  150.             0.25,
  151.             0.50,
  152.             0.75,
  153.             1.00,
  154.             1.25,
  155.             1.50,
  156.             1.75,
  157.             2.00,
  158.             2.25,
  159.             2.50,
  160.             2.75,
  161.             3.00,
  162.         };
  163.         double[] exponentialDecayCoefficientArray =
  164.         {
  165.             0.5,
  166.             1.0,
  167.             1.5,
  168.             2.0,
  169.             2.5,
  170.             3.0,
  171.             3.5,
  172.         };

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

  177.         System.out.println
  178.             ("\t|                                                    POWER SOURCE EXPONENTIAL DECAY ESTIMATE                                                    ||");

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

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

  186.         System.out.println
  187.             ("\t|                - Source Power Coefficient                                                                                                     ||");

  189.         System.out.println
  190.             ("\t|                - Integral Estimate                                                                                                            ||");

  192.         System.out.println
  193.             ("\t|                - Analytic Estimate                                                                                                            ||");

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

  198.         for (double sourcePowerCoefficient : sourcePowerCoefficientArray)
  199.         {
  200.             Demonstrate (
  201.                 exponentialDecayCoefficientArray,
  202.                 sourcePowerCoefficient
  203.             );
  204.         }

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

  209.         EnvManager.TerminateEnv();
  210.     }
  211. }
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