com.opengamma.strata.math.impl.differentiation

Class ScalarFirstOrderDifferentiator

java.lang.Object

com.opengamma.strata.math.impl.differentiation.ScalarFirstOrderDifferentiator

All Implemented Interfaces:

Differentiator<Double,Double,Double>

public class ScalarFirstOrderDifferentiator
extends Object
implements Differentiator<Double,Double,Double>

Differentiates a scalar function with respect to its argument using finite difference.

For a function $y = f(x)$ where $x$ and $y$ are scalars, this class produces a gradient function $g(x)$, i.e. a function that returns the gradient for each point $x$, where $g$ is the scalar $\frac{dy}{dx}$.

Constructor Summary

Constructors

Constructor and Description
ScalarFirstOrderDifferentiator() Creates an instance using the default value of eps (10-5) and central differencing type.
ScalarFirstOrderDifferentiator(FiniteDifferenceType differenceType) Creates an instance using the default value of eps (10-5).
ScalarFirstOrderDifferentiator(FiniteDifferenceType differenceType, double eps) Creates an instance.

Method Summary

Modifier and Type	Method and Description
Function<Double,Double>	differentiate(Function<Double,Double> function) Provides a function that performs the differentiation.
Function<Double,Double>	differentiate(Function<Double,Double> function, Function<Double,Boolean> domain) Provides a function that performs the differentiation.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ScalarFirstOrderDifferentiator

public ScalarFirstOrderDifferentiator()

Creates an instance using the default value of eps (10^-5) and central differencing type.

ScalarFirstOrderDifferentiator

public ScalarFirstOrderDifferentiator(FiniteDifferenceType differenceType)

Creates an instance using the default value of eps (10^-5).

Parameters:

differenceType - the differencing type to be used in calculating the gradient function

ScalarFirstOrderDifferentiator

public ScalarFirstOrderDifferentiator(FiniteDifferenceType differenceType,
                                      double eps)

Creates an instance.

If the size of the domain is very small or very large, consider re-scaling first. If this value is too small, the result will most likely be dominated by noise. Use around 10^-5 times the domain size.

Parameters:

differenceType - the differencing type to be used in calculating the gradient function

eps - the step size used to approximate the derivative

Method Detail

differentiate

public Function<Double,Double> differentiate(Function<Double,Double> function)

Description copied from interface: Differentiator

Provides a function that performs the differentiation.

Specified by:

differentiate in interface Differentiator<Double,Double,Double>

Parameters:

function - a function for which to get the differential function

Returns:

a function that calculates the differential

differentiate

public Function<Double,Double> differentiate(Function<Double,Double> function,
                                             Function<Double,Boolean> domain)

Description copied from interface: Differentiator

Provides a function that performs the differentiation.

Specified by:

differentiate in interface Differentiator<Double,Double,Double>

Parameters:

function - a function for which to get the differential function

domain - a function that returns false if the requested value is not in the domain, true otherwise

Returns:

a function that calculates the differential