PowerSourceExponentialDecay.java

  1. package org.drip.specialfunction.derived;

  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>PowerSourceExponentialDecay</i> implements the Power Source Exponential Decay Function. The References
  79.  * are:
  80.  * 
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Blagouchine, I. V. (2014): Re-discovery of Malmsten's Integrals, their Evaluation by Contour
  85.  *              Integration Methods, and some Related Results <i>Ramanujan Journal</i> <b>35 (1)</b> 21-110
  86.  *      </li>
  87.  *      <li>
  88.  *          Borwein, J. M., and R. M. Corless (2017): Gamma Function and the Factorial in the Monthly
  89.  *              https://arxiv.org/abs/1703.05349 <b>arXiv</b>
  90.  *      </li>
  91.  *      <li>
  92.  *          Davis, P. J. (1959): Leonhard Euler's Integral: A Historical Profile of the Gamma Function
  93.  *              <i>American Mathematical Monthly</i> <b>66 (10)</b> 849-869
  94.  *      </li>
  95.  *      <li>
  96.  *          Whitaker, E. T., and G. N. Watson (1996): <i>A Course on Modern Analysis</i> <b>Cambridge
  97.  *              University Press</b> New York
  98.  *      </li>
  99.  *      <li>
  100.  *          Wikipedia (2019): Gamma Function https://en.wikipedia.org/wiki/Gamma_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/derived/README.md">Special Functions Derived using Others</a></li>
  110.  *  </ul>
  111.  *
  112.  * @author Lakshmi Krishnamurthy
  113.  */

  115. public class PowerSourceExponentialDecay extends org.drip.function.definition.R1ToR1
  116. {
  117.     private double _sourcePowerCoefficient = java.lang.Double.NaN;

  119.     /**
  120.      * Construct the Analytic Version of PowerSourceExponentialDecay
  121.      * 
  122.      * @param logGammaEstimator The Log Gamma Estimator
  123.      * @param sourcePowerCoefficient The Source Power Coefficient
  124.      * 
  125.      * @return The Analytic Version of PowerSourceExponentialDecay
  126.      */

  128.     public static final PowerSourceExponentialDecay Analytic (
  129.         final org.drip.function.definition.R1ToR1 logGammaEstimator,
  130.         final double sourcePowerCoefficient)
  131.     {
  132.         if (null == logGammaEstimator)
  133.         {
  134.             return null;
  135.         }

  137.         try
  138.         {
  139.             return new PowerSourceExponentialDecay (
  140.                 null,
  141.                 sourcePowerCoefficient
  142.             )
  143.             {
  144.                 @Override public double evaluate (
  145.                     final double exponentialDecayCoefficient)
  146.                     throws java.lang.Exception
  147.                 {
  148.                     if (!org.drip.numerical.common.NumberUtil.IsValid (exponentialDecayCoefficient) ||
  149.                         0. >= exponentialDecayCoefficient)
  150.                     {
  151.                         throw new java.lang.Exception
  152.                             ("PowerSourceExponentialDecay:: Analytic::evaluate => Invalid Inputs");
  153.                     }

  155.                     double bPlusOne = sourcePowerCoefficient + 1.;

  157.                     return java.lang.Math.exp (
  158.                         logGammaEstimator.evaluate (bPlusOne) -
  159.                         bPlusOne * java.lang.Math.log (exponentialDecayCoefficient)
  160.                     );
  161.                 }
  162.             };
  163.         }
  164.         catch (java.lang.Exception e)
  165.         {
  166.             e.printStackTrace();
  167.         }

  169.         return null;
  170.     }

  172.     /**
  173.      * PowerSourceExponentialDecay Constructor
  174.      * 
  175.      * @param dc The Derivative Control
  176.      * @param sourcePowerCoefficient The Source Power Coefficient
  177.      * 
  178.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  179.      */

  181.     public PowerSourceExponentialDecay (
  182.         final org.drip.numerical.differentiation.DerivativeControl dc,
  183.         final double sourcePowerCoefficient)
  184.         throws java.lang.Exception
  185.     {
  186.         super (dc);

  188.         if (!org.drip.numerical.common.NumberUtil.IsValid (_sourcePowerCoefficient = sourcePowerCoefficient)
  189.             || 0. >= _sourcePowerCoefficient)
  190.         {
  191.             throw new java.lang.Exception ("PowerSourceExponentialDecay Constructor => Invalid Inputs");
  192.         }
  193.     }

  195.     /**
  196.      * Retrieve the Source Power Coefficient
  197.      * 
  198.      * @return The Source Power Coefficient
  199.      */

  201.     public double sourcePowerCoefficient()
  202.     {
  203.         return _sourcePowerCoefficient;
  204.     }

  206.     @Override public double evaluate (
  207.         final double exponentialDecayCoefficient)
  208.         throws java.lang.Exception
  209.     {
  210.         if (!org.drip.numerical.common.NumberUtil.IsValid (exponentialDecayCoefficient) ||
  211.             0. >= exponentialDecayCoefficient)
  212.         {
  213.             throw new java.lang.Exception ("PowerSourceExponentialDecay::evaluate => Invalid Inputs");
  214.         }

  216.         return org.drip.numerical.integration.NewtonCotesQuadratureGenerator.GaussLaguerreLeftDefinite (
  217.             0.,
  218.             100
  219.         ).integrate (
  220.             new org.drip.function.definition.R1ToR1 (null)
  221.             {
  222.                 @Override public double evaluate (
  223.                     final double t)
  224.                     throws java.lang.Exception
  225.                 {
  226.                     return java.lang.Double.isInfinite (t) ? 0. : java.lang.Math.pow (
  227.                         t,
  228.                         _sourcePowerCoefficient
  229.                     ) * java.lang.Math.exp (-1. * exponentialDecayCoefficient * t);
  230.                 }
  231.             }
  232.         );
  233.     }
  234. }
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