SummationSeriesEstimator.java
- package org.drip.specialfunction.beta;
- /*
- * -*- 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>SummationSeriesEstimator</i> implements the Summation Series Based Beta Estimation. The References are:
- *
- * <br><br>
- * <ul>
- * <li>
- * Abramowitz, M., and I. A. Stegun (2007): <i>Handbook of Mathematics Functions</i> <b>Dover Book
- * on Mathematics</b>
- * </li>
- * <li>
- * Davis, P. J. (1959): Leonhard Euler's Integral: A Historical Profile of the Gamma Function
- * <i>American Mathematical Monthly</i> <b>66 (10)</b> 849-869
- * </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): Beta Function https://en.wikipedia.org/wiki/Beta_function
- * </li>
- * <li>
- * Wikipedia (2019): Gamma Function https://en.wikipedia.org/wiki/Gamma_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/FunctionAnalysisLibrary.md">Function Analysis Library</a></li>
- * <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>
- * <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/specialfunction/beta/README.md">Estimation Techniques for Beta Function</a></li>
- * </ul>
- *
- * @author Lakshmi Krishnamurthy
- */
- public abstract class SummationSeriesEstimator extends org.drip.specialfunction.definition.BetaEstimator
- {
- private org.drip.numerical.estimation.R2ToR1Series _summationSeries = null;
- /**
- * Compute the Abramowitz-Stegun (2007) Summation Series of Beta Estimator
- *
- * @param termCount Number of Terms in the Estimation
- *
- * @return The Abramowitz-Stegun (2007) Summation Series of Beta Estimator
- */
- public static final SummationSeriesEstimator AbramowitzStegun2007 (
- final int termCount)
- {
- try
- {
- return new SummationSeriesEstimator (
- org.drip.specialfunction.beta.SummationSeries.AbramowitzStegun2007 (termCount)
- )
- {
- @Override public double evaluate (
- final double x,
- final double y)
- throws java.lang.Exception
- {
- if (!org.drip.numerical.common.NumberUtil.IsValid (x) || 0. >= x ||
- !org.drip.numerical.common.NumberUtil.IsValid (y) || 0. >= y)
- {
- throw new java.lang.Exception
- ("SummationSeriesEstimator::AbramowitzStegun2007::evaluate => Invalid Inputs");
- }
- return (x + y) * java.lang.Math.exp (
- summationSeries().evaluate (
- x,
- y
- )
- ) / (x * y);
- }
- };
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- protected SummationSeriesEstimator (
- final org.drip.numerical.estimation.R2ToR1Series summationSeries)
- {
- _summationSeries = summationSeries;
- }
- /**
- * Retrieve the Underlying Summation Series
- *
- * @return The Underlying Summation Series
- */
- public org.drip.numerical.estimation.R2ToR1Series summationSeries()
- {
- return _summationSeries;
- }
- }