-
Notifications
You must be signed in to change notification settings - Fork 46
/
Copy pathFirstSchlafliIntegralEstimator.java.html
262 lines (247 loc) · 11.8 KB
/
FirstSchlafliIntegralEstimator.java.html
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
<?xml version="1.0" encoding="UTF-8"?><!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"><html xmlns="http://www.w3.org/1999/xhtml" lang="en"><head><meta http-equiv="Content-Type" content="text/html;charset=UTF-8"/><link rel="stylesheet" href="../jacoco-resources/report.css" type="text/css"/><link rel="shortcut icon" href="../jacoco-resources/report.gif" type="image/gif"/><title>FirstSchlafliIntegralEstimator.java</title><link rel="stylesheet" href="../jacoco-resources/prettify.css" type="text/css"/><script type="text/javascript" src="../jacoco-resources/prettify.js"></script></head><body onload="window['PR_TAB_WIDTH']=4;prettyPrint()"><div class="breadcrumb" id="breadcrumb"><span class="info"><a href="../jacoco-sessions.html" class="el_session">Sessions</a></span><a href="../index.html" class="el_report">DROP</a> > <a href="index.source.html" class="el_package">org.drip.specialfunction.bessel</a> > <span class="el_source">FirstSchlafliIntegralEstimator.java</span></div><h1>FirstSchlafliIntegralEstimator.java</h1><pre class="source lang-java linenums">
package org.drip.specialfunction.bessel;
/*
* -*- 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>FirstSchlafliIntegralEstimator</i> implements the Integral Estimator for the Cylindrical Bessel
* Function of the First Kind. 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>
* Arfken, G. B., and H. J. Weber (2005): <i>Mathematical Methods for Physicists 6<sup>th</sup>
* Edition</i> <b>Harcourt</b> San Diego
* </li>
* <li>
* Temme N. M. (1996): <i>Special Functions: An Introduction to the Classical Functions of
* Mathematical Physics 2<sup>nd</sup> Edition</i> <b>Wiley</b> New York
* </li>
* <li>
* Watson, G. N. (1995): <i>A Treatise on the Theory of Bessel Functions</i> <b>Cambridge University
* Press</b>
* </li>
* <li>
* Wikipedia (2019): Bessel Function https://en.wikipedia.org/wiki/Bessel_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/bessel/README.md">Ordered Bessel Function Variant Estimators</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public abstract class FirstSchlafliIntegralEstimator extends
org.drip.specialfunction.definition.BesselFirstKindEstimator
{
<span class="nc" id="L119"> private int _quadratureCount = -1;</span>
/**
* Construct the Bessel First Kind Estimator from the Schlafli Integer Integral Form
*
* @param quadratureCount Count of the Integrand Quadrature
*
* @return Bessel First Kind Estimator from the Schlafli Integer Integral Form
*/
public static final FirstSchlafliIntegralEstimator IntegerForm (
final int quadratureCount)
{
try
{
<span class="nc" id="L134"> return new FirstSchlafliIntegralEstimator (quadratureCount)</span>
<span class="nc" id="L135"> {</span>
@Override public double bigJ (
final double alpha,
final double z)
throws java.lang.Exception
{
<span class="nc bnc" id="L141" title="All 2 branches missed."> if (!org.drip.numerical.common.NumberUtil.IsInteger (alpha) ||</span>
<span class="nc bnc" id="L142" title="All 2 branches missed."> !org.drip.numerical.common.NumberUtil.IsValid (z))</span>
{
<span class="nc" id="L144"> throw new java.lang.Exception</span>
("FirstSchlafliIntegralEstimator::IntegerForm::evaluate => Invalid Inputs");
}
<span class="nc" id="L148"> return org.drip.numerical.integration.NewtonCotesQuadratureGenerator.Zero_PlusOne (</span>
0.,
java.lang.Math.PI,
quadratureCount
<span class="nc" id="L152"> ).integrate (</span>
new org.drip.function.definition.R1ToR1 (null)
<span class="nc" id="L154"> {</span>
@Override public double evaluate (
final double theta)
throws java.lang.Exception
{
<span class="nc" id="L159"> return java.lang.Math.cos (alpha * theta - z * java.lang.Math.sin (theta));</span>
}
}
) / java.lang.Math.PI;
}
};
}
<span class="nc" id="L166"> catch (java.lang.Exception e)</span>
{
<span class="nc" id="L168"> e.printStackTrace();</span>
}
<span class="nc" id="L171"> return null;</span>
}
/**
* Construct the Bessel First Kind Estimator from the Schlafli Non-Integer Integral Form
*
* @param quadratureCount Count of the Integrand Quadrature
*
* @return Bessel First Kind Estimator from the Schlafli Non-Integer Integral Form
*/
public static final FirstSchlafliIntegralEstimator NonIntegerForm (
final int quadratureCount)
{
try
{
<span class="nc" id="L187"> return new FirstSchlafliIntegralEstimator (quadratureCount)</span>
<span class="nc" id="L188"> {</span>
@Override public double bigJ (
final double alpha,
final double z)
throws java.lang.Exception
{
<span class="nc bnc" id="L194" title="All 2 branches missed."> if (!org.drip.numerical.common.NumberUtil.IsValid (alpha) ||</span>
<span class="nc bnc" id="L195" title="All 2 branches missed."> !org.drip.numerical.common.NumberUtil.IsValid (z))</span>
{
<span class="nc" id="L197"> throw new java.lang.Exception</span>
("FirstSchlafliIntegralEstimator::NonIntegerForm::evaluate => Invalid Inputs");
}
<span class="nc" id="L201"> return (org.drip.numerical.integration.NewtonCotesQuadratureGenerator.Zero_PlusOne (</span>
0.,
java.lang.Math.PI,
quadratureCount
<span class="nc bnc" id="L205" title="All 2 branches missed."> ).integrate (</span>
new org.drip.function.definition.R1ToR1 (null)
<span class="nc" id="L207"> {</span>
@Override public double evaluate (
final double theta)
throws java.lang.Exception
{
<span class="nc" id="L212"> return java.lang.Math.cos (alpha * theta - z * java.lang.Math.sin (theta));</span>
}
}
) / java.lang.Math.PI) - (0. == alpha ? 0. :
<span class="nc" id="L216"> org.drip.numerical.integration.NewtonCotesQuadratureGenerator.GaussLaguerreLeftDefinite (</span>
0.,
quadratureCount
<span class="nc" id="L219"> ).integrate (</span>
new org.drip.function.definition.R1ToR1 (null)
<span class="nc" id="L221"> {</span>
@Override public double evaluate (
final double t)
throws java.lang.Exception
{
<span class="nc" id="L226"> return java.lang.Math.exp (-z * java.lang.Math.sinh (t) - alpha * t);</span>
}
}
<span class="nc" id="L229"> ) * java.lang.Math.sin (alpha * java.lang.Math.PI) / java.lang.Math.PI);</span>
}
};
}
<span class="nc" id="L233"> catch (java.lang.Exception e)</span>
{
<span class="nc" id="L235"> e.printStackTrace();</span>
}
<span class="nc" id="L238"> return null;</span>
}
protected FirstSchlafliIntegralEstimator (
final int quadratureCount)
throws java.lang.Exception
<span class="nc" id="L244"> {</span>
<span class="nc bnc" id="L245" title="All 2 branches missed."> if (0 >= (_quadratureCount = quadratureCount))</span>
{
<span class="nc" id="L247"> throw new java.lang.Exception ("FirstSchlafliIntegralEstimator Constructor => Invalid Inputs");</span>
}
<span class="nc" id="L249"> }</span>
/**
* Retrieve the Quadrature Count
*
* @return The Quadrature Count
*/
public int quadratureCount()
{
<span class="nc" id="L259"> return _quadratureCount;</span>
}
}
</pre><div class="footer"><span class="right">Created with <a href="http://www.jacoco.org/jacoco">JaCoCo</a> 0.7.9.201702052155</span></div></body></html>