FutDensity.hpp

//
// Copyright (c) Singular Inversions Inc. 2000.
//
// Authors:     Andrew Beatty
// Created:     Jan 6, 2000.
//
// Encapsulated calculations involving normal probability densities
// including univariate normal and multivariate standard normal.
 
#ifndef FUT_DENSITY_HPP
#define FUT_DENSITY_HPP
 
#include <cmath>
#include "algs.hpp"
#include "FgSerial.hpp"
#include "FgMath.hpp"
 
namespace Fg {
 
struct  FutNormDensityC
{
    double          meanP;
    double          inv_2_var;              // Inverse of twice the variance.
    double          inv_std;                // Inverse of the standard deviation
 
    FutNormDensityC() : meanP(0), inv_2_var(0.5), inv_std(1.0) {};
                                                        // Default std. norm
    FutNormDensityC(double m,double s) {setStd(m,s);}
    void            setMean(double m) {meanP = m;}
    void            setStd(double m,double s);
    double          lnDensityRatio(double) const;
    double          valToMahal(double) const;
    double          mahalToVal(double) const;
    double          mean() const {return meanP;};
    double          variance() const {return (0.5 / inv_2_var);}
    double          std() const {return (1.0 / inv_std);}
};
 
struct  FutStdNormDensityC
{
    double  valToMahal(double x) const {return x;}
    double  mahalToVal(double x) const {return x;}
    double  lnDensityRatio(double x) const {return -0.5 * x*x;}
};
 
inline void FutNormDensityC::setStd(
    double m,                           // Given mean
    double s)                           // and std
{
    FGASSERT(s > 0.0);                    // Must have positive std.
 
    meanP = m;
    inv_2_var = 1.0 / (2.0 * s * s);
    inv_std = 1.0 / s;
}
 
inline
double
FutNormDensityC::valToMahal(double  x) const
{
    return ((x - meanP) * inv_std);
}
 
inline
double 
FutNormDensityC::mahalToVal(double  x) const
{
    return (x / inv_std + meanP);
}
 
inline
double FutNormDensityC::lnDensityRatio(double  x) const
{
    return (-sqr(x - meanP) * inv_2_var);
}
 
}
 
#endif