Package org.jquantlib.math.distributions

Examples of org.jquantlib.math.distributions.GammaFunction.logValue()

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            return 1.0 - result * betaContinuedFraction(b, a, 1.0-x, accuracy, maxIteration)/b;
    }

    static double betaFunction(final double z, final double w) {
        final GammaFunction gf = new GammaFunction();
        return Math.exp(gf.logValue(z)+gf.logValue(w)-gf.logValue(z+w));
    }
}
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            return 1.0 - result * betaContinuedFraction(b, a, 1.0-x, accuracy, maxIteration)/b;
    }

    static double betaFunction(final double z, final double w) {
        final GammaFunction gf = new GammaFunction();
        return Math.exp(gf.logValue(z)+gf.logValue(w)-gf.logValue(z+w));
    }
}
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  public void testGammaFunction() {

      final GammaFunction gfn = new GammaFunction();

      double expected = 0.0;
      double calculated = gfn.logValue(1);
      if (Math.abs(calculated) > 1.0e-15)
          fail("GammaFunction(1)\n"
                      + "    calculated: " + calculated + "\n"
                      + "    expected:   " + expected);
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                      + "    calculated: " + calculated + "\n"
                      + "    expected:   " + expected);

      for (int i=2; i<9000; i++) {
          expected  += Math.log(i);
          calculated = gfn.logValue(i+1);
          if (Math.abs(calculated-expected)/expected > 1.0e-9)
              fail("GammaFunction(" + i + ")\n"
                          + "    calculated: " + calculated + "\n"
                          + "    expected:   " + expected + "\n"
                          + "    rel. error: " + Math.abs(calculated-expected)/expected);
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    final GammaFunction gammaFunction = new GammaFunction();
    for (final double[] value : values) {
      final double x = value[0];
      final double expected = value[1];
      final double realised = gammaFunction.logValue(x);
      final double tolerance = 1.0e-10;
      if (Math.abs(expected-realised)>tolerance)
          fail("x: " + x + " expected: " + expected + " realised: " + realised);
    }
  }
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