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functDomain.h
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1103 lines (898 loc) · 21.7 KB
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/*
Written by Antoine Savine in 2018
This code is the strict IP of Antoine Savine
License to use and alter this code for personal and commercial applications
is freely granted to any person or company who purchased a copy of the book
Modern Computational Finance: Scripting for Derivatives and XVA
Jesper Andreasen & Antoine Savine
Wiley, 2018
As long as this comment is preserved at the top of the file
*/
#pragma once
/* Arithmetics for functional bounds, intervals and domains */
#include <math.h>
#include <exception>
#include <stdexcept>
#include <iostream>
#include <string>
#include <sstream>
#include <functional>
#include <array>
#include <algorithm>
#include <memory>
#include <set>
#include <vector>
using namespace std;
#define EPS 1.0e-12
#define BIG 1.0e+12
class Bound
{
bool myPlusInf;
bool myMinusInf;
double myReal;
public:
struct PlusInfinity{};
struct MinusInfinity{};
static const PlusInfinity plusInfinity;
static const MinusInfinity minusInfinity;
// Real
Bound( const double val = 0.0) : myPlusInf( false), myMinusInf( false), myReal( val) {}
// Infinite
Bound( const PlusInfinity) : myPlusInf( true), myMinusInf( false), myReal( BIG) {}
Bound( const MinusInfinity) : myPlusInf( false), myMinusInf( true), myReal( -BIG) {}
Bound( const Bound& rhs) : myPlusInf( rhs.myPlusInf), myMinusInf( rhs.myMinusInf), myReal( rhs.myReal) {}
Bound& operator=( const double val)
{
myPlusInf = myMinusInf = false;
myReal = val;
return *this;
}
Bound& operator=( const PlusInfinity)
{
myPlusInf = true;
myMinusInf = false;
myReal = BIG;
return *this;
}
Bound& operator=( const MinusInfinity)
{
myPlusInf = false;
myMinusInf = true;
myReal = -BIG;
return *this;
}
Bound& operator=( const Bound& rhs)
{
if( this == &rhs) return *this;
myPlusInf = rhs.myPlusInf;
myMinusInf = rhs.myMinusInf;
myReal = rhs.myReal;
return *this;
}
// Accessors
bool infinite() const
{
return myPlusInf || myMinusInf;
}
bool positive( const bool strict = false) const
{
return myPlusInf || myReal > (strict? EPS: -EPS);
}
bool negative( const bool strict = false) const
{
return myMinusInf || myReal < (strict? -EPS: EPS);
}
bool zero() const
{
return !infinite() && fabs( myReal) < EPS;
}
bool plusInf() const
{
return myPlusInf;
}
bool minusInf() const
{
return myMinusInf;
}
double val() const
{
return myReal;
}
// Comparison
bool operator==( const Bound& rhs) const
{
return myPlusInf && rhs.myPlusInf || myMinusInf && rhs.myMinusInf || fabs( myReal - rhs.myReal) < EPS;
}
bool operator!=( const Bound& rhs) const
{
return !operator==( rhs);
}
bool operator<( const Bound& rhs) const
{
return myMinusInf && !rhs.myMinusInf || !myPlusInf && rhs.myPlusInf || myReal < rhs.myReal - EPS;
}
bool operator>( const Bound& rhs) const
{
return !myMinusInf && rhs.myMinusInf || myPlusInf && !rhs.myPlusInf || myReal > rhs.myReal + EPS;
}
bool operator<=( const Bound& rhs) const
{
return !operator>( rhs);
}
bool operator>=( const Bound& rhs) const
{
return !operator<( rhs);
}
// Writers
friend ostream& operator<<( ostream& ost, const Bound bnd)
{
if( bnd.myPlusInf) ost << "+INF";
else if( bnd.myMinusInf) ost << "-INF";
else ost << bnd.myReal;
return ost;
}
string write() const
{
ostringstream ost;
ost << *this;
return ost.str();
}
// Multiplication
Bound operator*( const Bound& rhs) const
{
if( infinite() || rhs.infinite())
{
if( positive( true) && rhs.positive( true) || negative( true) && rhs.negative( true)) return plusInfinity;
else if( zero()) return rhs; // Here 0 * inf = inf
else if( rhs.zero()) return *this; // Same
else return minusInfinity;
}
else return myReal * rhs.myReal;
}
// Negation
Bound operator-() const
{
if( myMinusInf) return plusInfinity;
else if( myPlusInf) return minusInfinity;
else return -myReal;
}
};
class Interval
{
Bound myLeft;
Bound myRight;
public:
// Singleton
Interval( const double val = 0.0) : myLeft( val), myRight( val) {}
// Interval
Interval( const Bound& left, const Bound& right) : myLeft( left), myRight( right)
{
//#ifdef _DEBUG
if( left == Bound::plusInfinity || right == Bound::minusInfinity || left > right)
throw runtime_error( "Inconsistent bounds");
//#endif
}
// Accessors
Bound left() const
{
return myLeft;
}
Bound right() const
{
return myRight;
}
bool positive( const bool strict=false) const
{
return myLeft.positive( strict);
}
bool negative( const bool strict=false) const
{
return myRight.negative( strict);
}
bool posOrNeg( const bool strict=false) const
{
return positive( strict) || negative( strict);
}
bool infinite() const
{
return myLeft.infinite() || myRight.infinite();
}
bool singleton( double* val = nullptr) const
{
if( !infinite() && myLeft == myRight)
{
if( val) *val = myLeft.val();
return true;
}
return false;
}
bool zero() const
{
return singleton() && myLeft.zero();
}
bool continuous() const
{
return !singleton();
}
// Writers
friend ostream& operator<<( ostream& ost, const Interval i)
{
double s;
if( i.singleton( &s))
{
ost << "{" << s << "}";
}
else
{
ost << "(" << i.myLeft << "," << i.myRight << ")";
}
return ost;
}
string write() const
{
ostringstream ost;
ost << *this;
return ost.str();
}
// Sorting
bool operator==( const Interval& rhs) const
{
return myLeft == rhs.myLeft && myRight == rhs.myRight;
}
bool operator<( const Interval& rhs) const
{
return myLeft < rhs.myLeft || myLeft == rhs.myLeft && myRight < rhs.myRight;
}
bool operator>( const Interval& rhs) const
{
return myLeft > rhs.myLeft || myLeft == rhs.myLeft && myRight > rhs.myRight;
}
bool operator<=( const Interval& rhs) const
{
return !operator>( rhs);
}
bool operator>=( const Interval& rhs) const
{
return !operator<( rhs);
}
// Arithmetics
// Addition
Interval operator+( const Interval& rhs) const
{
Bound lb, rb;
if( myLeft.minusInf() || rhs.myLeft.minusInf()) lb = Bound::minusInfinity;
else lb = myLeft.val() + rhs.myLeft.val();
if( myRight.plusInf() || rhs.myRight.plusInf()) rb = Bound::plusInfinity;
else rb = myRight.val() + rhs.myRight.val();
return Interval( lb, rb);
}
Interval& operator+=( const Interval& rhs)
{
*this = *this + rhs;
return *this;
}
// Unary minus
Interval operator-() const
{
return Interval( -myRight, -myLeft);
}
// Subtraction
Interval operator-( const Interval& rhs) const
{
return *this + -rhs;
}
Interval& operator-=( const Interval& rhs)
{
*this = *this - rhs;
return *this;
}
// Multiplication
Interval operator*( const Interval& rhs) const
{
// If we have a zero singleton, the result is a zero singleton
if( zero() || rhs.zero()) return 0.0;
// Otherwise we multiply the bounds and go from smallest to largest
array<Bound, 4> b;
b[0] = myRight * rhs.myRight;
b[1] = myRight * rhs.myLeft;
b[2] = myLeft * rhs.myRight;
b[3] = myLeft * rhs.myLeft;
return Interval( *min_element( b.begin(), b.end()), *max_element( b.begin(), b.end()));
}
// Inverse (1/x)
Interval inverse() const
{
double v;
// Cannot inverse a zero singleton
if( zero()) throw runtime_error( "Division by {0}");
// Singleton
else if( singleton( &v)) return 1.0 / v;
// Continuous
else if( posOrNeg( true)) // Strict, no 0
{
if( infinite())
{
if( positive()) return Interval( 0.0, 1.0 / myLeft.val());
else return Interval( 1.0 / myRight.val(), 0.0);
}
return Interval( 1.0 / myRight.val(), 1.0 / myLeft.val());
}
else if( myLeft.zero() || myRight.zero()) // One of the bounds is 0
{
if( infinite())
{
if( positive()) return Interval( 0.0, Bound::plusInfinity);
else return Interval( Bound::minusInfinity, 0.0);
}
else
{
if( positive()) return Interval( 1.0 / myRight.val(), Bound::plusInfinity);
else return Interval( Bound::minusInfinity, 1.0 / myLeft.val());
}
}
// Interval contains 0 and 0 is not a bound: inverse spans real space
else return Interval( Bound::minusInfinity, Bound::plusInfinity);
}
// Division
Interval operator/( const Interval& rhs) const
{
return *this * rhs.inverse();
}
// Min/Max
Interval imin( const Interval& rhs) const
{
Bound lb = myLeft;
if( rhs.myLeft < lb) lb = rhs.myLeft;
Bound rb = myRight;
if( rhs.myRight < rb) rb = rhs.myRight;
return Interval( lb, rb);
}
Interval imax( const Interval& rhs) const
{
Bound lb = myLeft;
if( rhs.myLeft > lb) lb = rhs.myLeft;
Bound rb = myRight;
if( rhs.myRight > rb) rb = rhs.myRight;
return Interval( lb, rb);
}
// Apply function
template<class Func>
Interval applyFunc( const Func func, const Interval& funcDomain)
{
double val;
// Continuous interval, we know nothing of the function, so we just apply the function domain
if( !singleton( &val)) return funcDomain;
// Singleton, we apply the function to find the target singleton
else
{
try
{
val = func( val);
}
catch( const domain_error& dErr)
{
throw runtime_error( "Domain error on function applied to singleton");
}
}
return val;
}
// Apply function 2 params
template<class Func>
Interval applyFunc2( const Func func, const Interval& rhs, const Interval& funcDomain)
{
double val, val2;
// Continuous interval, we know nothing of the function, so we just apply the function domain
if( !singleton( &val) || !rhs.singleton( &val2) ) return funcDomain;
// Singleton, we apply the function to find the target singleton
else
{
try
{
val = func( val, val2);
}
catch( const domain_error& dErr)
{
throw runtime_error( "Domain error on function applied to singleton");
}
}
return val;
}
// Inclusion
bool includes( const double x) const
{
return myLeft <= x && myRight >= x;
}
bool includes( const Interval& rhs) const
{
return myLeft <= rhs.myLeft && myRight >= rhs.myRight;
}
bool isIncludedIn( const Interval& rhs) const
{
return myLeft >= rhs.myLeft && myRight <= rhs.myRight;
}
// Adjacence
// 0: is not adjacent
// 1: *this is adjacent to rhs on the left of rhs
// 2: *this is adjacent to rhs on the right of rhs
unsigned isAdjacent( const Interval& rhs) const
{
if( myRight == rhs.myLeft) return 1;
else if( myLeft == rhs.myRight) return 2;
else return 0;
}
// Intersection, returns false if no intersect, true otherwise
// in which case iSect is set to the intersection unless nullptr
friend bool intersect( const Interval& lhs, const Interval& rhs, Interval* iSect = nullptr)
{
Bound lb = lhs.myLeft;
if( rhs.myLeft > lb) lb = rhs.myLeft;
Bound rb = lhs.myRight;
if( rhs.myRight < rb) rb = rhs.myRight;
if( rb >= lb)
{
if( iSect)
{
iSect->myLeft = lb;
iSect->myRight = rb;
}
return true;
}
else return false;
}
// Merge, returns false if no intersect, true otherwise
// in which case iMerge is set to the merged interval unless nullptr
friend bool merge( const Interval& lhs, const Interval& rhs, Interval* iMerge = nullptr)
{
if( !intersect( lhs, rhs)) return false;
if( iMerge)
{
Bound lb = lhs.myLeft;
if( rhs.myLeft < lb) lb = rhs.myLeft;
Bound rb = lhs.myRight;
if( rhs.myRight > rb) rb = rhs.myRight;
iMerge->myLeft = lb;
iMerge->myRight = rb;
}
return true;
}
// Another merge function that merges rhs into this, assuming we already know that they intersect
void merge( const Interval& rhs)
{
if( rhs.myLeft < myLeft) myLeft = rhs.myLeft;
if( rhs.myRight > myRight) myRight = rhs.myRight;
}
};
class Domain
{
set<Interval> myIntervals;
public:
Domain() {}
Domain( const Domain& rhs) : myIntervals( rhs.myIntervals) {}
Domain( Domain&& rhs) : myIntervals( move( rhs.myIntervals)) {}
Domain& operator=( const Domain& rhs)
{
if( this == &rhs) return *this;
myIntervals = rhs.myIntervals;
return *this;
}
Domain& operator=( Domain&& rhs)
{
if( this == &rhs) return *this;
myIntervals = move( rhs.myIntervals);
return *this;
}
Domain( const double val)
{
addSingleton( val);
}
Domain( const Interval& i)
{
addInterval( i);
}
void addInterval( Interval interval)
{
while( true)
{
// Particular case 1: domain is empty, just add the interval
const auto itb = myIntervals.begin(), ite = myIntervals.end();
if( itb == ite)
{
myIntervals.insert( interval);
return;
}
// Particular case 2: interval spans real space, then domain becomes the real space
const Bound& l = interval.left();
const Bound& r = interval.right();
if( l.minusInf() && r.plusInf())
{
static const Interval realSpace( Bound::minusInfinity, Bound::plusInfinity);
myIntervals.clear();
myIntervals.insert( realSpace);
return;
}
// General case: we insert the interval in such a way that the resulting set of intervals are all distinct
// Find an interval in myIntervals that intersects interval, or myinterval.end() if none
// STL implementation, nice and elegant, unfortunately poor performance
// auto it = find_if( myIntervals.begin(), myIntervals.end(), [&interval] (const Interval& i) { return intersect( i, interval); });
// Custom implementation, for performance, much less elegant
auto it = itb;
// First interval is on the strict right of interval, there will be no intersection
if( itb->left() > r) it = ite;
else
{
// Last interval in myIntervals, we know there is one
const Interval& last = *myIntervals.rbegin();
// Last interval is on the strict left of interval, there will be no intersection
if( last.right() < l) it = ite;
else
{
// We may have an intersection, find it
it = myIntervals.lower_bound( interval); // Smallest myInterval >= interval, means it.left() >= l
if( it == ite || it->left() > r) --it; // Now it.left() <= l <= r
if( it->right() < l) it = ite; // it does not intersect
}
}
// End of find an interval in myIntervals that intersects interval
// it points to an interval in myIntervals that intersects interval, or ite if none
// No intersection, just add the interval
if( it == ite)
{
myIntervals.insert( interval);
return;
}
// We have an intersection
// Merge the intersecting interval from myIntervals into interval
// We don't use the generic merge: too slow
// merge( interval, *it, &interval);
// Quick merge
interval.merge( *it);
// Remove the merged interval from set
myIntervals.erase( it);
// Go again until we find no more intersect
}
}
void addDomain( const Domain& rhs)
{
for( auto& interval: rhs.myIntervals) addInterval( interval);
}
void addSingleton( const double val)
{
addInterval( val);
}
// Accessors
bool positive( const bool strict=false) const
{
for( auto& interval: myIntervals) if( !interval.positive( strict)) return false;
return true;
}
bool negative( const bool strict=false) const
{
for( auto& interval: myIntervals) if( !interval.negative( strict)) return false;
return true;
}
bool posOrNeg( const bool strict=false) const
{
return positive( strict) || negative( strict);
}
bool infinite() const
{
for( auto& interval: myIntervals) if( interval.infinite()) return true;
return false;
}
bool discrete() const
{
for( auto& interval: myIntervals) if( !interval.singleton()) return false;
return true;
}
// Discrete only is true: return empty if continuous intervals found, false: return all singletons anyway
vector<double> getSingletons( const bool discreteOnly=true) const
{
vector<double> res;
for( auto& interval: myIntervals)
{
double val;
if( !interval.singleton( &val))
{
if( discreteOnly) return vector<double>();
}
else res.push_back( val);
}
return res;
}
// At least one continuous interval
bool continuous() const
{
return !discrete();
}
// Shortcut for 2 singletons
bool boolean( pair<double,double>* vals = nullptr) const
{
vector<double> s = getSingletons();
if( s.size() == 2)
{
if( vals)
{
vals->first = s[0];
vals->second = s[1];
}
return true;
}
else return false;
}
// Shortcut for 1 singleton
bool constant( double* val = nullptr) const
{
vector<double> s = getSingletons();
if( s.size() == 1)
{
if( val) *val = s[0];
return true;
}
else return false;
}
// Get all continuous intervals, dropping singletons
Domain getContinuous() const
{
Domain res;
for( auto& interval: myIntervals)
{
if( interval.continuous()) res.addInterval( interval);
}
return res;
}
// Get min and max bounds
Bound minBound() const
{
if( !empty()) return myIntervals.begin()->left();
else return Bound::minusInfinity;
}
Bound maxBound() const
{
if( !empty()) return myIntervals.rbegin()->right();
else return Bound::plusInfinity;
}
bool empty() const
{
return myIntervals.empty();
}
size_t size() const
{
return myIntervals.size();
}
// Writers
friend ostream& operator<<( ostream& ost, const Domain d)
{
ost << "{";
auto i = d.myIntervals.begin();
while( i != d.myIntervals.end())
{
ost << *i;
++i;
if( i != d.myIntervals.end()) ost << ";";
}
ost << "}";
return ost;
}
string write() const
{
ostringstream ost;
ost << *this;
return ost.str();
}
// Arithmetics
Domain operator+( const Domain& rhs) const
{
Domain res;
for( auto& i : myIntervals)
{
for( auto& j: rhs.myIntervals)
{
res.addInterval( i+j);
}
}
return res;
}
Domain operator-() const
{
Domain res;
for( auto& i : myIntervals)
{
res.addInterval( -i);
}
return res;
}
Domain operator-( const Domain& rhs) const
{
Domain res;
for( auto& i : myIntervals)
{
for( auto& j: rhs.myIntervals)
{
res.addInterval( i-j);
}
}
return res;
}
Domain operator*( const Domain& rhs) const
{
Domain res;
for( auto& i : myIntervals)
{
for( auto& j: rhs.myIntervals)
{
size_t s = res.size();
res.addInterval( i*j);
}
}
return res;
}
Domain inverse() const
{
Domain res;
for( auto& i : myIntervals)
{
res.addInterval( i.inverse());
}
return res;
}
Domain operator/( const Domain& rhs) const
{
Domain res;
for( auto& i : myIntervals)
{
for( auto& j: rhs.myIntervals)
{
res.addInterval( i/j);
}
}
return res;
}
// Shortcuts for shifting all intervals
Domain operator+=( const double x)
{
if( fabs( x) < EPS) return *this;
set<Interval> newIntervals;
for( auto& i : myIntervals) newIntervals.insert( i+x);
myIntervals = move( newIntervals);
return *this;
}
Domain operator-=( const double x)
{
if( fabs( x) < EPS) return *this;
set<Interval> newIntervals;
for( auto& i : myIntervals) newIntervals.insert( i-x);
myIntervals = move( newIntervals);
return *this;
}
// Min/Max
Domain dmin( const Domain& rhs) const
{
Domain res;
for( auto& i : myIntervals)
{
for( auto& j: rhs.myIntervals)
{
res.addInterval( i.imin( j));
}
}
return res;
}
Domain dmax( const Domain& rhs) const
{
Domain res;
for( auto& i : myIntervals)
{
for( auto& j: rhs.myIntervals)
{
res.addInterval( i.imax( j));
}
}
return res;
}
// Apply function
template<class Func>
Domain applyFunc( const Func func, const Interval& funcDomain)
{
Domain res;
auto vec = getSingletons();
if( vec.empty()) return funcDomain;
// Singletons, apply func
for( auto v : vec)
{
try
{
res.addSingleton( func( v));
}
catch( const domain_error&)
{
throw runtime_error( "Domain error on function applied to singleton");
}
}
return res;
}
// Apply function 2 params