UpperRegularized.java

  1. package org.drip.specialfunction.incompletegamma;

  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>UpperRegularized</i> implements the Regularized Version of the Upper Incomplete Gamma. The References
  79.  * are:
  80.  * 
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Geddes, K. O., M. L. Glasser, R. A. Moore, and T. C. Scott (1990): Evaluation of Classes of
  85.  *              Definite Integrals involving Elementary Functions via Differentiation of Special Functions
  86.  *              <i>Applicable Algebra in Engineering, Communications, and </i> <b>1 (2)</b> 149-165
  87.  *      </li>
  88.  *      <li>
  89.  *          Gradshteyn, I. S., I. M. Ryzhik, Y. V. Geronimus, M. Y. Tseytlin, and A. Jeffrey (2015):
  90.  *              <i>Tables of Integrals, Series, and Products</i> <b>Academic Press</b>
  91.  *      </li>
  92.  *      <li>
  93.  *          Mathar, R. J. (2010): Numerical Evaluation of the Oscillatory Integral over
  94.  *              e<sup>iÏ€x</sup> x<sup>(1/x)</sup> between 1 and ∞
  95.  *              https://arxiv.org/pdf/0912.3844.pdf <b>arXiV</b>
  96.  *      </li>
  97.  *      <li>
  98.  *          National Institute of Standards and Technology (2019): Incomplete Gamma and Related Functions
  99.  *              https://dlmf.nist.gov/8
  100.  *      </li>
  101.  *      <li>
  102.  *          Wikipedia (2019): Incomplete Gamma Function
  103.  *              https://en.wikipedia.org/wiki/Incomplete_gamma_function
  104.  *      </li>
  105.  *  </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FunctionAnalysisLibrary.md">Function Analysis Library</a></li>
  111.  *      <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>
  112.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/specialfunction/gammaincomplete/README.md">Upper/Lower Incomplete Gamma Functions</a></li>
  113.  *  </ul>
  114.  *
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public abstract class UpperRegularized
  119. {

  121.     /**
  122.      * Construct the Gauss Continued Version of Upper Regularized Incomplete Gamma Function
  123.      * 
  124.      * @param n Count of the Number of Terms
  125.      * 
  126.      * @return Gauss Continued Version of Upper Regularized Incomplete Gamma Function
  127.      */

  129.     public static final UpperRegularized GaussContinuedFraction (
  130.         final int n)
  131.     {
  132.         return new UpperRegularized()
  133.         {
  134.             @Override public double p (
  135.                 final double s,
  136.                 final double z)
  137.                 throws java.lang.Exception
  138.             {
  139.                 double p = org.drip.specialfunction.incompletegamma.GaussContinuedFraction.Upper (
  140.                     z,
  141.                     s,
  142.                     n
  143.                 ) / new org.drip.specialfunction.gamma.NemesAnalytic (null).evaluate (s);

  145.                 return p > 1. ? 1. : p;
  146.             }
  147.         };
  148.     }

  150.     /**
  151.      * Construct the Abramowitz Stegun 2007 Version of Upper Regularized Incomplete Gamma Function
  152.      * 
  153.      * @param n Count of the Number of Terms
  154.      * 
  155.      * @return Abramowitz Stegun 2007 Version of Upper Regularized Incomplete Gamma Function
  156.      */

  158.     public static final UpperRegularized AbramowitzStegun2007 (
  159.         final int n)
  160.     {
  161.         return new UpperRegularized()
  162.         {
  163.             @Override public double p (
  164.                 final double s,
  165.                 final double z)
  166.                 throws java.lang.Exception
  167.             {
  168.                 double p = org.drip.specialfunction.incompletegamma.GaussContinuedFraction.UpperAbramowitzStegun2007 (
  169.                     z,
  170.                     s,
  171.                     n
  172.                 ) / new org.drip.specialfunction.gamma.NemesAnalytic (null).evaluate (s);

  174.                 return p > 1. ? 1. : p;
  175.             }
  176.         };
  177.     }

  179.     /**
  180.      * Construct the Euler Integral Version of Upper Regularized Incomplete Gamma Function
  181.      * 
  182.      * @return Euler Integral Version of Upper Regularized Incomplete Gamma Function
  183.      */

  185.     public static final UpperRegularized EulerIntegral()
  186.     {
  187.         return new UpperRegularized()
  188.         {
  189.             @Override public double p (
  190.                 final double s,
  191.                 final double z)
  192.                 throws java.lang.Exception
  193.             {
  194.                 double p = new org.drip.specialfunction.incompletegamma.UpperEulerIntegral (
  195.                     null,
  196.                     z
  197.                 ).evaluate (s) / new org.drip.specialfunction.gamma.NemesAnalytic (null).evaluate (s);

  199.                 return p > 1. ? 1. : p;
  200.             }
  201.         };
  202.     }

  204.     /**
  205.      * Construct the Weisstein Version of Upper Regularized Incomplete Gamma Function
  206.      * 
  207.      * @return Weisstein Version of Upper Regularized Incomplete Gamma Function
  208.      */

  210.     public static final UpperRegularized Weisstein()
  211.     {
  212.         return new UpperRegularized()
  213.         {
  214.             @Override public double p (
  215.                 final double s,
  216.                 final double z)
  217.                 throws java.lang.Exception
  218.             {
  219.                 double p = org.drip.specialfunction.incompletegamma.UpperSFixed.Weisstein ((int) s).evaluate (z) /
  220.                     new org.drip.specialfunction.gamma.NemesAnalytic (null).evaluate (s);

  222.                 return p > 1. ? 1. : p;
  223.             }
  224.         };
  225.     }

  227.     private UpperRegularized()
  228.     {
  229.     }

  231.     /**
  232.      * Compute p (s, z)
  233.      * 
  234.      * @param s s
  235.      * @param z z
  236.      * 
  237.      * @return p(s, z)
  238.      * 
  239.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  240.      */

  242.     public abstract double p (
  243.         final double s,
  244.         final double z)
  245.         throws java.lang.Exception;
  246. }
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