ModifiedFirstIntegralEstimator.java

  1. package org.drip.specialfunction.bessel;

  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>ModifiedFirstIntegralEstimator</i> implements the Integral Estimator for the Modified Bessel Function
  79.  * of the First Kind. The References are:
  80.  * 
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Abramowitz, M., and I. A. Stegun (2007): <i>Handbook of Mathematics Functions</i> <b>Dover Book
  85.  *              on Mathematics</b>
  86.  *      </li>
  87.  *      <li>
  88.  *          Arfken, G. B., and H. J. Weber (2005): <i>Mathematical Methods for Physicists 6<sup>th</sup>
  89.  *              Edition</i> <b>Harcourt</b> San Diego
  90.  *      </li>
  91.  *      <li>
  92.  *          Temme N. M. (1996): <i>Special Functions: An Introduction to the Classical Functions of
  93.  *              Mathematical Physics 2<sup>nd</sup> Edition</i> <b>Wiley</b> New York
  94.  *      </li>
  95.  *      <li>
  96.  *          Watson, G. N. (1995): <i>A Treatise on the Theory of Bessel Functions</i> <b>Cambridge University
  97.  *              Press</b>
  98.  *      </li>
  99.  *      <li>
  100.  *          Wikipedia (2019): Bessel Function https://en.wikipedia.org/wiki/Bessel_function
  101.  *      </li>
  102.  *  </ul>
  103.  *
  104.  *  <br><br>
  105.  *  <ul>
  106.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  107.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FunctionAnalysisLibrary.md">Function Analysis Library</a></li>
  108.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/specialfunction/README.md">Special Function Implementation Analysis</a></li>
  109.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/specialfunction/bessel/README.md">Ordered Bessel Function Variant Estimators</a></li>
  110.  *  </ul>
  111.  *
  112.  * @author Lakshmi Krishnamurthy
  113.  */

  115. public abstract class ModifiedFirstIntegralEstimator extends
  116.     org.drip.specialfunction.definition.ModifiedBesselFirstKindEstimator
  117. {
  118.     private int _quadratureCount = -1;

  120.     /**
  121.      * Construct the Modified Bessel First Kind Estimator from the Integral Form
  122.      * 
  123.      * @param quadratureCount Count of the Integrand Quadrature
  124.      * 
  125.      * @return Modified Bessel First Kind Estimator from the Integral Form
  126.      */

  128.     public static final ModifiedFirstIntegralEstimator Standard (
  129.         final int quadratureCount)
  130.     {
  131.         try
  132.         {
  133.             return new ModifiedFirstIntegralEstimator (quadratureCount)
  134.             {
  135.                 @Override public double bigI (
  136.                     final double alpha,
  137.                     final double z)
  138.                     throws java.lang.Exception
  139.                 {
  140.                     if (!org.drip.numerical.common.NumberUtil.IsValid (alpha) ||
  141.                         !org.drip.numerical.common.NumberUtil.IsValid (z))
  142.                     {
  143.                         throw new java.lang.Exception
  144.                             ("ModifiedFirstIntegralEstimator::Standard::evaluate => Invalid Inputs");
  145.                     }

  147.                     return (org.drip.numerical.integration.NewtonCotesQuadratureGenerator.Zero_PlusOne (
  148.                         0.,
  149.                         java.lang.Math.PI,
  150.                         quadratureCount
  151.                     ).integrate (
  152.                         new org.drip.function.definition.R1ToR1 (null)
  153.                         {
  154.                             @Override public double evaluate (
  155.                                 final double theta)
  156.                                 throws java.lang.Exception
  157.                             {
  158.                                 return java.lang.Math.exp (z * java.lang.Math.cos (theta)) *
  159.                                     java.lang.Math.cos (alpha * theta);
  160.                             }
  161.                         }
  162.                     ) / java.lang.Math.PI) -
  163.                     (
  164.                         org.drip.numerical.common.NumberUtil.IsValid (alpha) ? 0. :
  165.                         org.drip.numerical.integration.NewtonCotesQuadratureGenerator.GaussLaguerreLeftDefinite (
  166.                             0.,
  167.                             quadratureCount
  168.                         ).integrate (
  169.                             new org.drip.function.definition.R1ToR1 (null)
  170.                             {
  171.                                 @Override public double evaluate (
  172.                                     final double t)
  173.                                     throws java.lang.Exception
  174.                                 {
  175.                                     return java.lang.Math.exp (-z * java.lang.Math.cosh (t) - alpha * t);
  176.                                 }
  177.                             }
  178.                         ) * java.lang.Math.cos (alpha * java.lang.Math.PI) / java.lang.Math.PI
  179.                     );
  180.                 }
  181.             };
  182.         }
  183.         catch (java.lang.Exception e)
  184.         {
  185.             e.printStackTrace();
  186.         }

  188.         return null;
  189.     }

  191.     protected ModifiedFirstIntegralEstimator (
  192.         final int quadratureCount)
  193.         throws java.lang.Exception
  194.     {
  195.         if (0 >= (_quadratureCount = quadratureCount))
  196.         {
  197.             throw new java.lang.Exception ("ModifiedFirstIntegralEstimator Constructor => Invalid Inputs");
  198.         }
  199.     }

  201.     /**
  202.      * Retrieve the Quadrature Count
  203.      * 
  204.      * @return The Quadrature Count
  205.      */

  207.     public int quadratureCount()
  208.     {
  209.         return _quadratureCount;
  210.     }
  211. }
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