public void SinFirstDerivativeAtZeroTest()
{
Func <double, double> f = Math.Sin;
var df = new NumericalDerivative();
Assert.AreEqual(1, df.EvaluateDerivative(f, 0, 1), 1e-10);
}
public void CubicPolynomialFunctionValueTest()
{
Func<double, double> f = x => 3 * Math.Pow(x, 3) + 2 * x - 6;
var current = f(2);
var df = new NumericalDerivative(3, 0);
Assert.AreEqual(38, df.EvaluateDerivative(f, 2, 1, current), 1e-8);
}
public void CubicPolynomialFunctionValueTest()
{
Func <double, double> f = x => 3 * Math.Pow(x, 3) + 2 * x - 6;
var current = f(2);
var df = new NumericalDerivative(3, 0);
Assert.AreEqual(38, df.EvaluateDerivative(f, 2, 1, current), 1e-8);
}
public static void GetError(Double fromInterval, Double toInterval, int n)
{
var derivative = new NumericalDerivative((n + 2), 0);
var M = derivative.EvaluateDerivative(Constants.Function, Math.Abs(fromInterval), n + 1);
var R = (M * Math.Pow(Math.Abs(fromInterval) - 0, n + 1)) / SpecialFunctions.Factorial(n + 1);
Console.WriteLine("Kai x priklauso intervalui [{0}, {1}], tai R{2}={3}", fromInterval, toInterval, n, R);
}
public void CubicPolynomialFunctionValueTest()
{
double Func(double x) => 3 * Math.Pow(x, 3) + 2 * x - 6;
var current = Func(2);
var df = new NumericalDerivative(3, 0);//CentredFiniteDifferenceDerivative(3, 0);
Assert.AreEqual(38, df.EvaluateDerivative(Func, 2, 1, current), 1e-8);
}
/// <summary>
///
/// </summary>
/// <param name="td"></param>
/// <param name="Ld"></param>
/// <returns></returns>
public static double PwDbLinearSealingFaultDerivative(double td, double Ld)
{
Condition.Requires(td, nameof(td)).IsGreaterOrEqual(0.0);
Condition.Requires(Ld, nameof(Ld)).IsGreaterThan(0.0);
var nd = new NumericalDerivative();
var d = nd.EvaluateDerivative(c => PwDbLinearSealingFault(c, Ld), td, 1);
return(d * td);
}
/// <summary>
/// Evaluating Bucketed Delta
/// </summary>
/// <returns>The bucketed delta</returns>
protected virtual Decimal EvaluateBucketedDelta1()
{
var solution = new NumericalDerivative();
Func <double, double> f = BucketedDeltaTargetFunction;
var rate = FloatingIndex;
var dRate = Decimal.ToDouble(rate);
var delta = (Decimal)solution.EvaluateDerivative(f, dRate, 1);
return(delta / BasisPoint);
}
/// <summary>
/// Evaluating Bucketed Delta
/// </summary>
/// <returns>The bucketed delta</returns>
public Decimal GetBucketedDelta1(decimal forwardRate)
{
//var realFunction = new RealFunction(BucketedDeltaTargetFunction);
var rate = forwardRate;
var dRate = Decimal.ToDouble(rate);
var numerical = new NumericalDerivative();
var delta = (Decimal)numerical.EvaluateDerivative(BucketedDeltaTargetFunction, dRate, 1);
return(delta / 10000);
}
/// <summary>
///
/// </summary>
/// <param name="td"></param>
/// <param name="cd"></param>
/// <param name="skinFactor"></param>
/// <returns></returns>
public static double PwdRDerivative(double td, double cd, double skinFactor)
{
Condition.Requires(td, nameof(td)).IsGreaterOrEqual(0.0);
Condition.Requires(cd, nameof(cd)).IsGreaterOrEqual(0.0);
var nd = new NumericalDerivative();
var d = nd.EvaluateDerivative(c => PwdR(c, cd, skinFactor), td, 1);
return(d * td);
}
public void CubicPolynomialThirdDerivativeAtAnyValTest()
{
Func<double, double> f = x => 3 * Math.Pow(x, 3) + 2 * x - 6;
var df = new NumericalDerivative(5, 2);
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
df.Center = 0;
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
df.Center = 1;
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
df.Center = 2;
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
df.Center = 3;
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
df.Center = 4;
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
}
/// <summary>
/// PTA derivative: dP * time
/// </summary>
/// <param name="time">elapsed time, hours</param>
/// <param name="q">flow rate at surface, [STB/D]</param>
/// <returns></returns>
public double PressureDropDerivative(double time, double q)
{
var nd = new NumericalDerivative();
if (time > 0.01)
{
nd.StepType = StepType.Relative;
nd.Epsilon = 1e-6;
}
var dP = nd.EvaluateDerivative(x => PressureDrop(x, q), time, 1);
return(dP * time);
}
/// <summary>
/// Evaluating the vector of Bucketed Delta
/// </summary>
/// <returns>The vector of bucketed delta</returns>
protected override Decimal[] EvaluateBucketedDeltaVector()
{
Func <double, double> f = BucketedDeltaTargetFunction;
var df = new NumericalDerivative();
var bucketedRates = EvaluatedBucketedRates();
var bucketedDeltaVector = new decimal[bucketedRates.Length];
const Decimal cDefault = 0.0m;
if (bucketedRates.Length == 0 && bucketedRates[0] == cDefault)
{
bucketedDeltaVector[0] = cDefault;
}
else
{
for (var index = bucketedRates.Length - 1; index >= 0; index--)
{
var rate = bucketedRates[index];
var dRate = Decimal.ToDouble(rate);
var temp = (Decimal)df.EvaluateDerivative(f, dRate, 1);
bucketedDeltaVector[index] = temp / BasisPoint;
}
}
return(bucketedDeltaVector);
}
public void CubicPolynomialThirdDerivativeAtAnyValTest()
{
Func <double, double> f = x => 3 * Math.Pow(x, 3) + 2 * x - 6;
var df = new NumericalDerivative(5, 2);
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
df.Center = 0;
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
df.Center = 1;
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
df.Center = 2;
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
df.Center = 3;
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
df.Center = 4;
Assert.AreEqual(18, df.EvaluateDerivative(f, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(f, 10, 3));
}
public void SinFirstDerivativeAtZeroTest()
{
Func<double, double> f = Math.Sin;
var df = new NumericalDerivative();
Assert.AreEqual(1, df.EvaluateDerivative(f, 0, 1), 1e-10);
}
public static double GetNthOrderDerivativeValueAt0(int n)
{
var derivative = new NumericalDerivative(6, 0);
return derivative.EvaluateDerivative(Constants.Function, 0, n);
}
public void CubicPolynomialThirdDerivativeAtAnyValTest()
{
double Func(double x) => 3 * Math.Pow(x, 3) + 2 * x - 6;
var df = new NumericalDerivative(5, 2);//CentredFiniteDifferenceDerivative(5, 2)
Assert.AreEqual(18, df.EvaluateDerivative(Func, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(Func, 10, 3));
df.Center = 0;
Assert.AreEqual(18, df.EvaluateDerivative(Func, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(Func, 10, 3));
df.Center = 1;
Assert.AreEqual(18, df.EvaluateDerivative(Func, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(Func, 10, 3));
df.Center = 2;
Assert.AreEqual(18, df.EvaluateDerivative(Func, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(Func, 10, 3));
df.Center = 3;
Assert.AreEqual(18, df.EvaluateDerivative(Func, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(Func, 10, 3));
df.Center = 4;
Assert.AreEqual(18, df.EvaluateDerivative(Func, 0, 3));
Assert.AreEqual(18, df.EvaluateDerivative(Func, 10, 3));
}