KochLycheKvasovFamily.java
package org.drip.spline.tension;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 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>KochLycheKvasovFamily</i> implements the basic framework and the family of C2 Tension Splines outlined
* in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers. Functions exposed here
* implement the Basis Function Set from:
*
* <br><br>
* <ul>
* <li>
* Hyperbolic Hat Primitive Set
* </li>
* <li>
* Cubic Polynomial Numerator and Linear Rational Denominator
* </li>
* <li>
* Cubic Polynomial Numerator and Quadratic Rational Denominator
* </li>
* <li>
* Cubic Polynomial Numerator and Exponential Denominator
* </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/SplineBuilderLibrary.md">Spline Builder Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spline/README.md">Basis Splines and Linear Compounders across a Broad Family of Spline Basis Functions</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spline/tension/README.md">Koch Lyche Kvasov Tension Splines</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class KochLycheKvasovFamily {
/**
* Implement the Basis Function Set from the Hyperbolic Hat Primitive Set
*
* @param etsp The Tension Function Set Parameters
*
* @return Instance of the Basis Function Set
*/
public static final org.drip.spline.basis.FunctionSet FromHyperbolicPrimitive (
final org.drip.spline.basis.ExponentialTensionSetParams etsp)
{
if (null == etsp) return null;
org.drip.function.definition.R1ToR1 auPhy = new org.drip.function.definition.R1ToR1
(null) {
@Override public double evaluate (
final double dblX)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromHyperbolicPrimitive.Phy::evaluate => Invalid Inputs!");
double dblTension = etsp.tension();
return (java.lang.Math.sinh (dblTension * dblX) - dblTension * dblX) / (dblTension *
dblTension * java.lang.Math.sinh (dblTension));
}
@Override public double derivative (
final double dblX,
final int iOrder)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromHyperbolicPrimitive.Phy::derivative => Invalid Inputs!");
double dblTension = etsp.tension();
if (1 == iOrder)
return (java.lang.Math.cosh (dblTension * dblX) - 1.) / (dblTension * java.lang.Math.sinh
(dblTension));
if (2 == iOrder)
return java.lang.Math.sinh (dblTension * dblX) / java.lang.Math.sinh (dblTension);
return derivative (dblX, iOrder);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblBegin) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblEnd))
throw new java.lang.Exception
("KLKF::FromHyperbolicPrimitive.Phy::integrate => Invalid Inputs");
double dblTension = etsp.tension();
return (java.lang.Math.cosh (dblTension * dblEnd) - java.lang.Math.cosh (dblTension *
dblBegin) - 0.5 * dblTension * (dblEnd * dblEnd - dblBegin * dblBegin)) / (dblTension *
dblTension * dblTension * java.lang.Math.sinh (dblTension));
}
};
org.drip.function.definition.R1ToR1 auPsy = new org.drip.function.definition.R1ToR1
(null) {
@Override public double evaluate (
final double dblX)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF.Psy::FromHyperbolicPrimitive::evaluate => Invalid Inputs!");
double dblTension = etsp.tension();
return (java.lang.Math.sinh (dblTension * (1. - dblX)) - dblTension * (1. - dblX)) /
(dblTension * dblTension * java.lang.Math.sinh (dblTension));
}
@Override public double derivative (
final double dblX,
final int iOrder)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromHyperbolicPrimitive.Psy::derivative => Invalid Inputs!");
double dblTension = etsp.tension();
if (1 == iOrder)
return (1. - java.lang.Math.cosh (dblTension * (1. - dblX))) / (dblTension *
java.lang.Math.cosh (dblTension));
if (2 == iOrder)
return java.lang.Math.sinh (dblTension * (1. - dblX)) / java.lang.Math.sinh (dblTension);
return derivative (dblX, iOrder);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblBegin) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblEnd))
throw new java.lang.Exception
("KLKF::FromHyperbolicPrimitive.Psy::integrate => Invalid Inputs");
double dblTension = etsp.tension();
return -1. * (java.lang.Math.sinh (dblTension * (1. - dblEnd)) - java.lang.Math.sinh
(dblTension * (1. - dblBegin)) - 0.5 * dblTension * ((1. - dblEnd) * (1. - dblEnd) - (1.
- dblBegin) * (1. - dblBegin))) / (dblTension * dblTension * dblTension *
java.lang.Math.sinh (dblTension));
}
};
try {
return new org.drip.spline.bspline.SegmentBasisFunctionSet (2, etsp.tension(), new
org.drip.function.definition.R1ToR1[] {auPhy, auPsy});
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Implement the Basis Function Set from the Cubic Polynomial Numerator and Linear Rational Denominator
*
* @param etsp The Tension Function Set Parameters
*
* @return Instance of the Basis Function Set
*/
public static final org.drip.spline.basis.FunctionSet FromRationalLinearPrimitive (
final org.drip.spline.basis.ExponentialTensionSetParams etsp)
{
if (null == etsp) return null;
org.drip.function.definition.R1ToR1 auPhy = new org.drip.function.definition.R1ToR1
(null) {
@Override public double evaluate (
final double dblX)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromRationalLinearPrimitive.Phy::evaluate => Invalid Inputs!");
double dblTension = etsp.tension();
return dblX * dblX * dblX / (1. + dblTension * (1. - dblX)) / (6. + 8. * dblTension);
}
@Override public double derivative (
final double dblX,
final int iOrder)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromRationalLinearPrimitive.Phy::derivative => Invalid Inputs!");
double dblTension = etsp.tension();
if (1 == iOrder) {
double dblDLDX = -1. * dblTension;
double dblL = 1. + dblTension * (1. - dblX);
return 1. / (dblL * dblL * (6. + 8. * dblTension)) * (3. * dblL * dblX * dblX - dblDLDX *
dblX * dblX * dblX);
}
if (2 == iOrder) {
double dblD2LDX2 = 0.;
double dblDLDX = -1. * dblTension;
double dblL = 1. + dblTension * (1. - dblX);
return 1. / (dblL * dblL * (6. + 8. * dblTension)) * (6. * dblL * dblX - dblD2LDX2 * dblX
* dblX * dblX) - 2. / (dblL * dblL * dblL * (6. + 8. * dblTension)) *
(3. * dblL * dblX * dblX - dblDLDX * dblX * dblX * dblX);
}
return derivative (dblX, iOrder);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
}
};
org.drip.function.definition.R1ToR1 auPsy = new org.drip.function.definition.R1ToR1
(null) {
@Override public double evaluate (
final double dblX)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromRationalLinearPrimitive.Psy::evaluate => Invalid Inputs!");
double dblTension = etsp.tension();
return (1. - dblX) * (1. - dblX) * (1. - dblX) / (1. + dblTension * dblX) / (6. + 8. *
dblTension);
}
@Override public double derivative (
final double dblX,
final int iOrder)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromRationalLinearPrimitive.Psy::derivative => Invalid Inputs!");
double dblTension = etsp.tension();
if (1 == iOrder) {
double dblDLDX = dblTension;
double dblL = 1. + dblTension * dblX;
return -1. / (dblL * dblL * (6. + 8. * dblTension)) * (3. * dblL * (1. - dblX) *
(1. - dblX) + dblDLDX * (1. - dblX) * (1. - dblX) * (1. - dblX));
}
if (2 == iOrder) {
double dblD2LDX2 = 0.;
double dblDLDX = dblTension;
double dblL = 1. + dblTension * dblX;
return 1. / (dblL * dblL * (6. + 8. * dblTension)) * (6. * dblL * (1. - dblX) - dblD2LDX2
* (1. - dblX) * (1. - dblX) * (1. - dblX)) - 2. / (dblL * dblL * dblL *
(6. + 8. * dblTension)) * (3. * dblL * (1. - dblX) * (1. - dblX) + dblDLDX *
(1. - dblX) * (1. - dblX) * (1. - dblX));
}
return derivative (dblX, iOrder);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
}
};
try {
return new org.drip.spline.bspline.SegmentBasisFunctionSet (2, etsp.tension(), new
org.drip.function.definition.R1ToR1[] {auPhy, auPsy});
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Implement the Basis Function Set from the Cubic Polynomial Numerator and Quadratic Rational
* Denominator
*
* @param etsp The Tension Function Set Parameters
*
* @return Instance of the Basis Function Set
*/
public static final org.drip.spline.basis.FunctionSet FromRationalQuadraticPrimitive (
final org.drip.spline.basis.ExponentialTensionSetParams etsp)
{
if (null == etsp) return null;
org.drip.function.definition.R1ToR1 auPhy = new org.drip.function.definition.R1ToR1
(null) {
@Override public double evaluate (
final double dblX)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromRationalQuadraticPrimitive.Phy::evaluate => Invalid Inputs!");
double dblTension = etsp.tension();
return dblX * dblX * dblX / (1. + dblTension * dblX * (1. - dblX)) / (6. + 8. * dblTension);
}
@Override public double derivative (
final double dblX,
final int iOrder)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromRationalQuadraticPrimitive.Phy::derivative => Invalid Inputs!");
double dblTension = etsp.tension();
if (1 == iOrder) {
double dblDLDX = dblTension * (1. - 2. * dblX);
double dblL = 1. + dblTension * dblX * (1. - dblX);
return 1. / (dblL * dblL * (6. + 8. * dblTension)) * (3. * dblL * dblX * dblX - dblDLDX *
dblX * dblX * dblX);
}
if (2 == iOrder) {
double dblD2LDX2 = -2. * dblTension;
double dblDLDX = dblTension * (1. - 2. * dblX);
double dblL = 1. + dblTension * dblX * (1. - dblX);
return 1. / (dblL * dblL * (6. + 8. * dblTension)) * (6. * dblL * dblX - dblD2LDX2 * dblX
* dblX * dblX) - 2. / (dblL * dblL * dblL * (6. + 8. * dblTension)) *
(3. * dblL * dblX * dblX - dblDLDX * dblX * dblX * dblX);
}
return derivative (dblX, iOrder);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
}
};
org.drip.function.definition.R1ToR1 auPsy = new org.drip.function.definition.R1ToR1
(null) {
@Override public double evaluate (
final double dblX)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromRationalQuadraticPrimitive.Psy::evaluate => Invalid Inputs!");
double dblTension = etsp.tension();
return (1. - dblX) * (1. - dblX) * (1. - dblX) / (1. + dblTension * dblX * (1. - dblX)) / (6.
+ 8. * dblTension);
}
@Override public double derivative (
final double dblX,
final int iOrder)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromRationalQuadraticPrimitive.Psy::derivative => Invalid Inputs!");
double dblTension = etsp.tension();
if (1 == iOrder) {
double dblDLDX = dblTension * (1. - 2. * dblX);
double dblL = 1. + dblTension * dblX * (1. - dblX);
return -1. / (dblL * dblL * (6. + 8. * dblTension)) * (3. * dblL * (1. - dblX) *
(1. - dblX) + dblDLDX * (1. - dblX) * (1. - dblX) * (1. - dblX));
}
if (2 == iOrder) {
double dblD2LDX2 = -2. * dblTension * dblX;
double dblDLDX = dblTension * (1. - 2. * dblX);
double dblL = 1. + dblTension * dblX * (1. - dblX);
return 1. / (dblL * dblL * (6. + 8. * dblTension)) * (6. * dblL * (1. - dblX) - dblD2LDX2
* (1. - dblX) * (1. - dblX) * (1. - dblX)) - 2. / (dblL * dblL * dblL *
(6. + 8. * dblTension)) * (3. * dblL * (1. - dblX) * (1. - dblX) + dblDLDX *
(1. - dblX) * (1. - dblX) * (1. - dblX));
}
return derivative (dblX, iOrder);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
}
};
try {
return new org.drip.spline.bspline.SegmentBasisFunctionSet (2, etsp.tension(), new
org.drip.function.definition.R1ToR1[] {auPhy, auPsy});
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Implement the Basis Function Set from the Cubic Polynomial Numerator and Exponential Denominator
*
* @param etsp The Tension Function Set Parameters
*
* @return Instance of the Basis Function Set
*/
public static final org.drip.spline.basis.FunctionSet FromExponentialPrimitive (
final org.drip.spline.basis.ExponentialTensionSetParams etsp)
{
if (null == etsp) return null;
org.drip.function.definition.R1ToR1 auPhy = new org.drip.function.definition.R1ToR1
(null) {
@Override public double evaluate (
final double dblX)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromExponentialPrimitive.Phy::evaluate => Invalid Inputs!");
double dblTension = etsp.tension();
return dblX * dblX * dblX * java.lang.Math.exp (-1. * dblTension * (1. - dblX)) / (6. + 7. *
dblTension);
}
@Override public double derivative (
final double dblX,
final int iOrder)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromExponentialPrimitive.Phy::derivative => Invalid Inputs!");
double dblTension = etsp.tension();
if (1 == iOrder)
return (3. + dblTension * dblX) / (6. + 7. * dblTension) * dblX * dblX *
java.lang.Math.exp (-1. * dblTension * (1. - dblX));
if (2 == iOrder)
return (dblTension * dblTension * dblX * dblX + 6. * dblTension * dblX + 6.) / (6. + 7. *
dblTension) * dblX * java.lang.Math.exp (-1. * dblTension * (1. - dblX));
return derivative (dblX, iOrder);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
}
};
org.drip.function.definition.R1ToR1 auPsy = new org.drip.function.definition.R1ToR1
(null) {
@Override public double evaluate (
final double dblX)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromExponentialPrimitive.Psy::evaluate => Invalid Inputs!");
double dblTension = etsp.tension();
return (1. - dblX) * (1. - dblX) * (1. - dblX) * java.lang.Math.exp (-1. * dblTension * dblX)
/ (6. + 7. * dblTension);
}
@Override public double derivative (
final double dblX,
final int iOrder)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception
("KLKF::FromExponentialPrimitive.Psy::derivative => Invalid Inputs!");
double dblTension = etsp.tension();
if (1 == iOrder)
return -1. * (3. + dblTension * (1. - dblX)) / (6. + 7. * dblTension) * (1. - dblX) *
(1. - dblX) * java.lang.Math.exp (-1. * dblTension * dblX);
if (2 == iOrder)
return (dblTension * dblTension * (1. - dblX) * (1. - dblX) + 6. * dblTension *
(1. - dblX) + 6.) / (6. + 7. * dblTension) * (1. - dblX) * java.lang.Math.exp (-1. *
dblTension * dblX);
return derivative (dblX, iOrder);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
}
};
try {
return new org.drip.spline.bspline.SegmentBasisFunctionSet (2, etsp.tension(), new
org.drip.function.definition.R1ToR1[] {auPhy, auPsy});
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
}