public static double incompleteBetaFunction(double a, double b, double x, double accuracy, int maxIteration)
{
QL_REQUIRE(a > 0.0, () => "a must be greater than zero");
QL_REQUIRE(b > 0.0, () => "b must be greater than zero");
if (x.IsEqual(0.0))
{
return(0.0);
}
if (x.IsEqual(1.0))
{
return(1.0);
}
QL_REQUIRE(x > 0.0 && x < 1.0, () => "x must be in [0,1]");
double result = Math.Exp(GammaFunction.logValue(a + b) -
GammaFunction.logValue(a) - GammaFunction.logValue(b) +
a * Math.Log(x) + b * Math.Log(1.0 - x));
if (x < (a + 1.0) / (a + b + 2.0))
{
return(result *
betaContinuedFraction(a, b, x, accuracy, maxIteration) / a);
}
return(1.0 - result *
betaContinuedFraction(b, a, 1.0 - x, accuracy, maxIteration) / b);
}
public override double mu_0()
{
return(Math.Pow(2.0, alpha_ + beta_ + 1)
* Math.Exp(GammaFunction.logValue(alpha_ + 1)
+ GammaFunction.logValue(beta_ + 1)
- GammaFunction.logValue(alpha_ + beta_ + 2)));
}
public double value(double x)
{
if (x <= 0.0)
{
return(0.0);
}
double gln = GammaFunction.logValue(a_);
if (x < (a_ + 1.0))
{
double ap = a_;
double del = 1.0 / a_;
double sum = del;
for (int n = 1; n <= 100; n++)
{
ap += 1.0;
del *= x / ap;
sum += del;
if (Math.Abs(del) < Math.Abs(sum) * 3.0e-7)
{
return(sum * Math.Exp(-x + a_ * Math.Log(x) - gln));
}
}
}
else
{
double b = x + 1.0 - a_;
double c = double.MaxValue;
double d = 1.0 / b;
double h = d;
for (int n = 1; n <= 100; n++)
{
double an = -1.0 * n * (n - a_);
b += 2.0;
d = an * d + b;
if (Math.Abs(d) < Const.QL_EPSILON)
{
d = Const.QL_EPSILON;
}
c = b + an / c;
if (Math.Abs(c) < Const.QL_EPSILON)
{
c = Const.QL_EPSILON;
}
d = 1.0 / d;
double del = d * c;
h *= del;
if (Math.Abs(del - 1.0) < Const.QL_EPSILON)
{
return(h * Math.Exp(-x + a_ * Math.Log(x) - gln));
}
}
}
Utils.QL_FAIL("too few iterations");
return(0);
}
public static double ln(int i)
{
if (i <= tabulated)
{
return(Math.Log(firstFactorials[i]));
}
else
{
return(GammaFunction.logValue(i + 1));
}
}
public static double get(uint i)
{
if (i <= tabulated)
{
return(firstFactorials[i]);
}
else
{
return(Math.Exp(GammaFunction.logValue(i + 1)));
}
}
public static double incompleteBetaFunction(double a, double b, double x, double accuracy, int maxIteration)
{
if (!(a > 0.0))
{
throw new Exception("a must be greater than zero");
}
if (!(b > 0.0))
{
throw new Exception("b must be greater than zero");
}
if (x == 0.0)
{
return(0.0);
}
else if (x == 1.0)
{
return(1.0);
}
else
if (!(x > 0.0 && x < 1.0))
{
throw new Exception("x must be in [0,1]");
}
double result = Math.Exp(GammaFunction.logValue(a + b) -
GammaFunction.logValue(a) - GammaFunction.logValue(b) +
a * Math.Log(x) + b * Math.Log(1.0 - x));
if (x < (a + 1.0) / (a + b + 2.0))
{
return(result *
betaContinuedFraction(a, b, x, accuracy, maxIteration) / a);
}
else
{
return(1.0 - result *
betaContinuedFraction(b, a, 1.0 - x, accuracy, maxIteration) / b);
}
}
private double Lambda(double t)
{
int maxIter = 1000;
double lambdaT = lambda(t);
int i = 0;
double retVal = 0.0, s;
do
{
double k = i;
s = Math.Exp(k * Math.Log(0.5 * lambdaT) + GammaFunction.logValue(0.5 * (1 + d_) + k)
- GammaFunction.logValue(k + 1) - GammaFunction.logValue(0.5 * d_ + k));
retVal += s;
}while (s > Double.Epsilon && ++i < maxIter);
Utils.QL_REQUIRE(i < maxIter, () => "can not calculate Lambda");
retVal *= Math.Sqrt(2 * c(t)) * Math.Exp(-0.5 * lambdaT);
return(retVal);
}
public Complex value(double u)
{
double gamma2 = gamma_ * gamma_;
double a, b, c;
if (8.0 * kappa_ * theta_ / gamma2 > 1.0)
{
a = Math.Sqrt(theta_ - gamma2 / (8.0 * kappa_));
b = Math.Sqrt(v0_) - a;
c = -Math.Log((LambdaApprox(1.0) - a) / b);
}
else
{
a = Math.Sqrt(gamma2 / (2.0 * kappa_))
* Math.Exp(GammaFunction.logValue(0.5 * (d_ + 1.0))
- GammaFunction.logValue(0.5 * d_));
double t1 = 0.0;
double t2 = 1.0 / kappa_;
double Lambda_t1 = Math.Sqrt(v0_);
double Lambda_t2 = Lambda(t2);
c = Math.Log((Lambda_t2 - a) / (Lambda_t1 - a)) / (t1 - t2);
b = Math.Exp(c * t1) * (Lambda_t1 - a);
}
Complex I4 =
-1.0 / lambda_ * new Complex(u * u, ((j_ == 1u) ? -u : u))
* (b / c * (1.0 - Math.Exp(-c * term_))
+ a * term_
+ a / lambda_ * (Math.Exp(-lambda_ * term_) - 1.0)
+ b / (c - lambda_) * Math.Exp(-c * term_)
* (1.0 - Math.Exp(-term_ * (lambda_ - c))));
return(eta_ * rhoSr_ * I4);
}
public override double mu_0()
{
return(Math.Exp(GammaFunction.logValue(s_ + 1)));
}
public static double betaFunction(double z, double w)
{
return(Math.Exp(GammaFunction.logValue(z) +
GammaFunction.logValue(w) -
GammaFunction.logValue(z + w)));
}
public double value(double x)
{
if (x <= 0.0)
return 0.0;
double errmax = 1e-12;
const int itrmax = 10000;
double lam = 0.5*ncp_;
double u = Math.Exp(-lam);
double v = u;
double x2 = 0.5*x;
double f2 = 0.5*df_;
double f_x_2n = df_ - x;
double t = 0.0;
if (f2 * Const.QL_EPSILON > 0.125 &&
Math.Abs(x2-f2) < Math.Sqrt(Const.QL_EPSILON)*f2) {
t = Math.Exp((1 - t) *
(2 - t / (f2 + 1))) / Math.Sqrt(2.0 * Const.M_PI * (f2 + 1.0));
}
else {
t = Math.Exp(f2*Math.Log(x2) - x2 -
GammaFunction.logValue(f2 + 1));
}
double ans = v*t;
bool flag = false;
int n = 1;
double f_2n = df_ + 2.0;
f_x_2n += 2.0;
double bound;
for (;;) {
if (f_x_2n > 0) {
flag = true;
bound = t * x / f_x_2n;
if (bound <= errmax || n > itrmax)
goto L_End;
}
for (;;) {
u *= lam / n;
v += u;
t *= x / f_2n;
ans += v*t;
n++;
f_2n += 2.0;
f_x_2n += 2.0;
if (!flag && n <= itrmax)
break;
bound = t * x / f_x_2n;
if (bound <= errmax || n > itrmax)
goto L_End;
}
}
L_End:
Utils.QL_REQUIRE(bound <= errmax,()=> "didn't converge");
return (ans);
}
public double value(double x)
{
if (x <= 0.0)
{
return(0.0);
}
double errmax = 1e-12;
const int itrmax = 10000;
double lam = 0.5 * ncp_;
double u = Math.Exp(-lam);
double v = u;
double x2 = 0.5 * x;
double f2 = 0.5 * df_;
double f_x_2n = df_ - x;
double t = 0.0;
if (f2 * Const.QL_Epsilon > 0.125 &&
Math.Abs(x2 - f2) < Math.Sqrt(Const.QL_Epsilon) * f2)
{
t = Math.Exp((1 - t) *
(2 - t / (f2 + 1))) / Math.Sqrt(2.0 * Const.M_PI * (f2 + 1.0));
}
else
{
t = Math.Exp(f2 * Math.Log(x2) - x2 -
GammaFunction.logValue(f2 + 1));
}
double ans = v * t;
bool flag = false;
int n = 1;
double f_2n = df_ + 2.0;
f_x_2n += 2.0;
double bound;
for (;;)
{
if (f_x_2n > 0)
{
flag = true;
//goto L10;
bound = t * x / f_x_2n;
if (bound <= errmax || n > itrmax)
{
goto L_End;
}
}
for (;;)
{
u *= lam / n;
v += u;
t *= x / f_2n;
ans += v * t;
n++;
f_2n += 2.0;
f_x_2n += 2.0;
if (!flag && n <= itrmax)
{
break;
}
bound = t * x / f_x_2n;
if (bound <= errmax || n > itrmax)
{
goto L_End;
}
}
}
L_End:
if (bound > errmax)
{
throw new ApplicationException("didn't converge");
}
return(ans);
}