SummationSeriesEstimator.java

  1. package org.drip.specialfunction.beta;

  2. /*
  3.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  4.  */

  5. /*!
  6.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  7.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  8.  *
  9.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  10.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  11.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  12.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  13.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  14.  *      and computational support.
  15.  *  
  16.  *      https://lakshmidrip.github.io/DROP/
  17.  *  
  18.  *  DROP is composed of three modules:
  19.  *  
  20.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  21.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  22.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  23.  *
  24.  *  DROP Product Core implements libraries for the following:
  25.  *  - Fixed Income Analytics
  26.  *  - Loan Analytics
  27.  *  - Transaction Cost Analytics
  28.  *
  29.  *  DROP Portfolio Core implements libraries for the following:
  30.  *  - Asset Allocation Analytics
  31.  *  - Asset Liability Management Analytics
  32.  *  - Capital Estimation Analytics
  33.  *  - Exposure Analytics
  34.  *  - Margin Analytics
  35.  *  - XVA Analytics
  36.  *
  37.  *  DROP Computational Core implements libraries for the following:
  38.  *  - Algorithm Support
  39.  *  - Computation Support
  40.  *  - Function Analysis
  41.  *  - Model Validation
  42.  *  - Numerical Analysis
  43.  *  - Numerical Optimizer
  44.  *  - Spline Builder
  45.  *  - Statistical Learning
  46.  *
  47.  *  Documentation for DROP is Spread Over:
  48.  *
  49.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  50.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  51.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  52.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  53.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  54.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  55.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  56.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  57.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  58.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  59.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  60.  *
  61.  *  Licensed under the Apache License, Version 2.0 (the "License");
  62.  *      you may not use this file except in compliance with the License.
  63.  *  
  64.  *  You may obtain a copy of the License at
  65.  *      http://www.apache.org/licenses/LICENSE-2.0
  66.  *  
  67.  *  Unless required by applicable law or agreed to in writing, software
  68.  *      distributed under the License is distributed on an "AS IS" BASIS,
  69.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  70.  *  
  71.  *  See the License for the specific language governing permissions and
  72.  *      limitations under the License.
  73.  */

  74. /**
  75.  * <i>SummationSeriesEstimator</i> implements the Summation Series Based Beta Estimation. The References are:
  76.  *
  77.  * <br><br>
  78.  *  <ul>
  79.  *      <li>
  80.  *          Abramowitz, M., and I. A. Stegun (2007): <i>Handbook of Mathematics Functions</i> <b>Dover Book
  81.  *              on Mathematics</b>
  82.  *      </li>
  83.  *      <li>
  84.  *          Davis, P. J. (1959): Leonhard Euler's Integral: A Historical Profile of the Gamma Function
  85.  *              <i>American Mathematical Monthly</i> <b>66 (10)</b> 849-869
  86.  *      </li>
  87.  *      <li>
  88.  *          Whitaker, E. T., and G. N. Watson (1996): <i>A Course on Modern Analysis</i> <b>Cambridge
  89.  *              University Press</b> New York
  90.  *      </li>
  91.  *      <li>
  92.  *          Wikipedia (2019): Beta Function https://en.wikipedia.org/wiki/Beta_function
  93.  *      </li>
  94.  *      <li>
  95.  *          Wikipedia (2019): Gamma Function https://en.wikipedia.org/wiki/Gamma_function
  96.  *      </li>
  97.  *  </ul>
  98.  *
  99.  *  <br><br>
  100.  *  <ul>
  101.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  102.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FunctionAnalysisLibrary.md">Function Analysis Library</a></li>
  103.  *      <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>
  104.  *      <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>
  105.  *  </ul>
  106.  *
  107.  * @author Lakshmi Krishnamurthy
  108.  */

  109. public abstract class SummationSeriesEstimator extends org.drip.specialfunction.definition.BetaEstimator
  110. {
  111.     private org.drip.numerical.estimation.R2ToR1Series _summationSeries = null;

  112.     /**
  113.      * Compute the Abramowitz-Stegun (2007) Summation Series of Beta Estimator
  114.      *
  115.      * @param termCount Number of Terms in the Estimation
  116.      *
  117.      * @return The Abramowitz-Stegun (2007) Summation Series of Beta Estimator
  118.      */

  119.     public static final SummationSeriesEstimator AbramowitzStegun2007 (
  120.         final int termCount)
  121.     {
  122.         try
  123.         {
  124.             return new SummationSeriesEstimator (
  125.                 org.drip.specialfunction.beta.SummationSeries.AbramowitzStegun2007 (termCount)
  126.             )
  127.             {
  128.                 @Override public double evaluate (
  129.                     final double x,
  130.                     final double y)
  131.                     throws java.lang.Exception
  132.                 {
  133.                     if (!org.drip.numerical.common.NumberUtil.IsValid (x) || 0. >= x ||
  134.                         !org.drip.numerical.common.NumberUtil.IsValid (y) || 0. >= y)
  135.                     {
  136.                         throw new java.lang.Exception
  137.                             ("SummationSeriesEstimator::AbramowitzStegun2007::evaluate => Invalid Inputs");
  138.                     }

  139.                     return (x + y) * java.lang.Math.exp (
  140.                         summationSeries().evaluate (
  141.                             x,
  142.                             y
  143.                         )
  144.                     ) / (x * y);
  145.                 }
  146.             };
  147.         }
  148.         catch (java.lang.Exception e)
  149.         {
  150.             e.printStackTrace();
  151.         }

  152.         return null;
  153.     }

  154.     protected SummationSeriesEstimator (
  155.         final org.drip.numerical.estimation.R2ToR1Series summationSeries)
  156.     {
  157.         _summationSeries = summationSeries;
  158.     }

  159.     /**
  160.      * Retrieve the Underlying Summation Series
  161.      *
  162.      * @return The Underlying Summation Series
  163.      */

  164.     public org.drip.numerical.estimation.R2ToR1Series summationSeries()
  165.     {
  166.         return _summationSeries;
  167.     }
  168. }