/* * Copyright 2013 Valentyn Kolesnikov * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at * * http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ package org.ripple.power.utils; import java.math.BigDecimal; import java.math.BigInteger; import java.math.MathContext; import java.math.RoundingMode; import java.util.ArrayList; import java.util.Collections; public final class BigUtils { private static final int SCALE = 18; public static long ITER = 1000; public static MathContext context = new MathContext(100); private static final int ROUNDING_MODE = BigDecimal.ROUND_HALF_EVEN; public static BigDecimal PI_DIV_180 = new BigDecimal( "3.1415926535897932384626433832795").divide( BigDecimal.valueOf(180), 32, BigDecimal.ROUND_HALF_UP); public static BigDecimal PI_DIV_200 = new BigDecimal( "3.1415926535897932384626433832795").divide( BigDecimal.valueOf(200), 32, BigDecimal.ROUND_HALF_UP); public static BigDecimal EPS = BigDecimal.ONE.scaleByPowerOfTen(-100); public static final BigInteger TWO = new BigInteger("2"); public static final BigInteger THREE = TWO.add(BigInteger.ONE); public static final BigInteger FOUR = TWO.add(TWO); public static final BigInteger SEVEN = FOUR.add(THREE); public static final BigInteger EIGHT = FOUR.add(FOUR); private BigUtils() { } static BigInteger inverseMod(BigInteger a, BigInteger b) { BigInteger b0 = b, t, q; BigInteger x0 = BigInteger.ZERO, x1 = BigInteger.ONE; if (b.equals(BigInteger.ONE)) return BigInteger.ONE; while (a.subtract(BigInteger.ONE).signum() > 0) { q = a.divide(b); t = b; b = a.mod(b); a = t; t = x0; x0 = x1.subtract(q.multiply(x0)); x1 = t; } if (x1.signum() < 0) x1 = x1.add(b0); return x1; } static BigInteger mulmod(BigInteger a, BigInteger b, BigInteger p) { BigInteger r = BigInteger.ZERO; while (b.compareTo(BigInteger.ZERO) > 0) { if (!b.and(BigInteger.ONE).equals(BigInteger.ZERO)) { r = addmod(r, a, p); } b = b.shiftRight(1); a = addmod(a, a, p); } return r; } static BigInteger addmod(BigInteger a, BigInteger b, BigInteger p) { if (p.subtract(b).compareTo(a) > 0) { return a.add(b); } else { return a.add(b).subtract(p); } } static BigInteger submod(BigInteger a, BigInteger b, BigInteger p) { if (a.compareTo(b) >= 0) { return a.subtract(b); } else { return p.subtract(b).add(a); } } static BigInteger powmod(BigInteger a, BigInteger e, BigInteger p) { BigInteger r = BigInteger.ONE; while (e.compareTo(BigInteger.ZERO) > 0) { if (!e.and(BigInteger.ONE).equals(BigInteger.ZERO)) { r = mulmod(r, a, p); } e = e.shiftRight(1); a = mulmod(a, a, p); } return r; } static int Jacobi(BigInteger m, BigInteger n) { if (m.compareTo(n) >= 0) { m = m.mod(n); return Jacobi(m, n); } if (n.equals(BigInteger.ONE) || m.equals(BigInteger.ONE)) { return 1; } if (m.equals(BigInteger.ZERO)) { return 0; } int twoCount = 0; while (m.mod(TWO) == BigInteger.ZERO) { twoCount++; m = m.divide(TWO); } int J2n = n.mod(EIGHT).equals(BigInteger.ONE) || n.mod(EIGHT).equals(SEVEN) ? 1 : -1; int rule8multiplier = (twoCount % 2 == 0) ? 1 : J2n; int tmp = Jacobi(n, m); int rule6multiplier = n.mod(FOUR).equals(BigInteger.ONE) || m.mod(FOUR).equals(BigInteger.ONE) ? 1 : -1; return tmp * rule6multiplier * rule8multiplier; } static int eulerCriterion(BigInteger p, BigInteger a) { BigInteger exponent = (p.subtract(BigInteger.ONE)).divide(TWO); BigInteger x = a.modPow(exponent, p); if (x.equals(BigInteger.ZERO) || x.equals(BigInteger.ONE)) { return x.intValue(); } BigInteger y = x.add(BigInteger.ONE).mod(p); return (y.equals(BigInteger.ZERO)) ? -1 : 2; } /** * Compute the square root of x to a given scale, x >= 0. Use Newton's * algorithm. * * @param x * the value of x * @return the result value */ public static BigDecimal sqrt(BigDecimal x) { // Check that x >= 0. if (x.signum() < 0) { throw new ArithmeticException("x < 0"); } // n = x*(10^(2*SCALE)) BigInteger n = x.movePointRight(SCALE << 1).toBigInteger(); // The first approximation is the upper half of n. int bits = (n.bitLength() + 1) >> 1; BigInteger ix = n.shiftRight(bits); BigInteger ixPrev; // Loop until the approximations converge // (two successive approximations are equal after rounding). do { ixPrev = ix; // x = (x + n/x)/2 ix = ix.add(n.divide(ix)).shiftRight(1); Thread.yield(); } while (ix.compareTo(ixPrev) != 0); return new BigDecimal(ix, SCALE); } /** * Compute the integral root of x to a given scale, x >= 0. Use Newton's * algorithm. * * @param x * the value of x * @param index * the integral root value * @param scale * the desired scale of the result * @return the result value */ public static BigDecimal intRoot(BigDecimal x, long index, int scale) { // Check that x >= 0. if (x.signum() < 0) { throw new IllegalArgumentException("x < 0"); } int sp1 = scale + 1; BigDecimal n = x; BigDecimal i = BigDecimal.valueOf(index); BigDecimal im1 = BigDecimal.valueOf(index - 1); BigDecimal tolerance = BigDecimal.valueOf(5).movePointLeft(sp1); BigDecimal xPrev; // The initial approximation is x/index. x = x.divide(i, scale, BigDecimal.ROUND_HALF_EVEN); // Loop until the approximations converge // (two successive approximations are equal after rounding). do { // x^(index-1) BigDecimal xToIm1 = intPower(x, index - 1, sp1); // x^index BigDecimal xToI = x.multiply(xToIm1).setScale(sp1, BigDecimal.ROUND_HALF_EVEN); // n + (index-1)*(x^index) BigDecimal numerator = n.add(im1.multiply(xToI)).setScale(sp1, BigDecimal.ROUND_HALF_EVEN); // (index*(x^(index-1)) BigDecimal denominator = i.multiply(xToIm1).setScale(sp1, BigDecimal.ROUND_HALF_EVEN); // x = (n + (index-1)*(x^index)) / (index*(x^(index-1))) xPrev = x; x = numerator.divide(denominator, sp1, BigDecimal.ROUND_DOWN); Thread.yield(); } while (x.subtract(xPrev).abs().compareTo(tolerance) > 0); return x; } /** * Compute the natural logarithm of x to a given scale, x > 0. */ public static BigDecimal ln(BigDecimal x, int scale) { // Check that x > 0. if (x.signum() <= 0) { throw new IllegalArgumentException("x <= 0"); } // The number of digits to the left of the decimal point. int magnitude = x.toString().length() - x.scale() - 1; if (magnitude < 3) { return lnNewton(x, scale); } // Compute magnitude*ln(x^(1/magnitude)). else { // x^(1/magnitude) BigDecimal root = intRoot(x, magnitude, scale); // ln(x^(1/magnitude)) BigDecimal lnRoot = lnNewton(root, scale); // magnitude*ln(x^(1/magnitude)) return BigDecimal.valueOf(magnitude).multiply(lnRoot) .setScale(scale, BigDecimal.ROUND_HALF_EVEN); } } /** * Compute the natural logarithm of x to a given scale, x > 0. Use Newton's * algorithm. */ private static BigDecimal lnNewton(BigDecimal x, int scale) { int sp1 = scale + 1; BigDecimal n = x; BigDecimal term; // Convergence tolerance = 5*(10^-(scale+1)) BigDecimal tolerance = BigDecimal.valueOf(5).movePointLeft(sp1); // Loop until the approximations converge // (two successive approximations are within the tolerance). do { // e^x BigDecimal eToX = exp(x, sp1); // (e^x - n)/e^x term = eToX.subtract(n).divide(eToX, sp1, BigDecimal.ROUND_DOWN); // x - (e^x - n)/e^x x = x.subtract(term); Thread.yield(); } while (term.compareTo(tolerance) > 0); return x.setScale(scale, BigDecimal.ROUND_HALF_EVEN); } public static BigDecimal cosine(BigDecimal x) { BigDecimal currentValue = BigDecimal.ONE; BigDecimal lastVal = currentValue.add(BigDecimal.ONE); BigDecimal xSquared = x.multiply(x); BigDecimal numerator = BigDecimal.ONE; BigDecimal denominator = BigDecimal.ONE; int i = 0; while (lastVal.compareTo(currentValue) != 0) { lastVal = currentValue; int z = 2 * i + 2; denominator = denominator.multiply(BigDecimal.valueOf(z)); denominator = denominator.multiply(BigDecimal.valueOf(z - 1)); numerator = numerator.multiply(xSquared); BigDecimal term = numerator.divide(denominator, SCALE + 5, ROUNDING_MODE); if (i % 2 == 0) { currentValue = currentValue.subtract(term); } else { currentValue = currentValue.add(term); } i++; } return currentValue; } public static BigDecimal sine(BigDecimal x) { BigDecimal lastVal = x.add(BigDecimal.ONE); BigDecimal currentValue = x; BigDecimal xSquared = x.multiply(x); BigDecimal numerator = x; BigDecimal denominator = BigDecimal.ONE; int i = 0; while (lastVal.compareTo(currentValue) != 0) { lastVal = currentValue; int z = 2 * i + 3; denominator = denominator.multiply(BigDecimal.valueOf(z)); denominator = denominator.multiply(BigDecimal.valueOf(z - 1)); numerator = numerator.multiply(xSquared); BigDecimal term = numerator.divide(denominator, SCALE + 5, ROUNDING_MODE); if (i % 2 == 0) { currentValue = currentValue.subtract(term); } else { currentValue = currentValue.add(term); } i++; } return currentValue; } public static BigDecimal tangent(BigDecimal x) { BigDecimal sin = sine(x); BigDecimal cos = cosine(x); return sin.divide(cos, SCALE, BigDecimal.ROUND_HALF_UP); } public static BigDecimal log10(BigDecimal b) { final int NUM_OF_DIGITS = SCALE + 2; // need to add one to get the right number of dp // and then add one again to get the next number // so I can round it correctly. MathContext mc = new MathContext(NUM_OF_DIGITS, RoundingMode.HALF_EVEN); // special conditions: // log(-x) -> exception // log(1) == 0 exactly; // log of a number lessthan one = -log(1/x) if (b.signum() <= 0) { throw new ArithmeticException("log of a negative number! (or zero)"); } else if (b.compareTo(BigDecimal.ONE) == 0) { return BigDecimal.ZERO; } else if (b.compareTo(BigDecimal.ONE) < 0) { return (log10((BigDecimal.ONE).divide(b, mc))).negate(); } StringBuilder sb = new StringBuilder(); // number of digits on the left of the decimal point int leftDigits = b.precision() - b.scale(); // so, the first digits of the log10 are: sb.append(leftDigits - 1).append("."); // this is the algorithm outlined in the webpage int n = 0; while (n < NUM_OF_DIGITS) { b = (b.movePointLeft(leftDigits - 1)).pow(10, mc); leftDigits = b.precision() - b.scale(); sb.append(leftDigits - 1); n++; } BigDecimal ans = new BigDecimal(sb.toString()); // Round the number to the correct number of decimal places. ans = ans.round(new MathContext(ans.precision() - ans.scale() + SCALE, RoundingMode.HALF_EVEN)); return ans; } public static BigDecimal cuberoot(BigDecimal b) { // Specify a math context with 40 digits of precision. MathContext mc = new MathContext(40); BigDecimal x = new BigDecimal("1", mc); // Search for the cube root via the Newton-Raphson loop. Output each // // successive iteration's value. for (int i = 0; i < ITER; i++) { x = x.subtract( x.pow(3, mc) .subtract(b, mc) .divide(new BigDecimal("3", mc).multiply( x.pow(2, mc), mc), mc), mc); } return x; } public static BigDecimal pow(BigDecimal savedValue, BigDecimal value) { BigDecimal result = null; result = exp(ln(savedValue, 32).multiply(value), 32); return result; } /** * Compute x^exponent to a given scale. Uses the same algorithm as class * numbercruncher.mathutils.IntPower. * * @param x * the value x * @param exponent * the exponent value * @param scale * the desired scale of the result * @return the result value */ public static BigDecimal intPower(BigDecimal x, long exponent, int scale) { // If the exponent is negative, compute 1/(x^-exponent). if (exponent < 0) { return BigDecimal.valueOf(1).divide(intPower(x, -exponent, scale), scale, BigDecimal.ROUND_HALF_EVEN); } BigDecimal power = BigDecimal.valueOf(1); // Loop to compute value^exponent. while (exponent > 0) { // Is the rightmost bit a 1? if ((exponent & 1) == 1) { power = power.multiply(x).setScale(scale, BigDecimal.ROUND_HALF_EVEN); } // Square x and shift exponent 1 bit to the right. x = x.multiply(x).setScale(scale, BigDecimal.ROUND_HALF_EVEN); exponent >>= 1; Thread.yield(); } return power; } /** * Compute e^x to a given scale. Break x into its whole and fraction parts * and compute (e^(1 + fraction/whole))^whole using Taylor's formula. * * @param x * the value of x * @param scale * the desired scale of the result * @return the result value */ public static BigDecimal exp(BigDecimal x, int scale) { // e^0 = 1 if (x.signum() == 0) { return BigDecimal.valueOf(1); } // If x is negative, return 1/(e^-x). else if (x.signum() == -1) { return BigDecimal.valueOf(1).divide(exp(x.negate(), scale), scale, BigDecimal.ROUND_HALF_EVEN); } // Compute the whole part of x. BigDecimal xWhole = x.setScale(0, BigDecimal.ROUND_DOWN); // If there isn't a whole part, compute and return e^x. if (xWhole.signum() == 0) { return expTaylor(x, scale); } // Compute the fraction part of x. BigDecimal xFraction = x.subtract(xWhole); // z = 1 + fraction/whole BigDecimal z = BigDecimal.valueOf(1).add( xFraction.divide(xWhole, scale, BigDecimal.ROUND_HALF_EVEN)); // t = e^z BigDecimal t = expTaylor(z, scale); BigDecimal maxLong = BigDecimal.valueOf(Long.MAX_VALUE); BigDecimal result = BigDecimal.valueOf(1); // Compute and return t^whole using intPower(). // If whole > Long.MAX_VALUE, then first compute products // of e^Long.MAX_VALUE. while (xWhole.compareTo(maxLong) >= 0) { result = result.multiply(intPower(t, Long.MAX_VALUE, scale)) .setScale(scale, BigDecimal.ROUND_HALF_EVEN); xWhole = xWhole.subtract(maxLong); Thread.yield(); } return result.multiply(intPower(t, xWhole.longValue(), scale)) .setScale(scale, BigDecimal.ROUND_HALF_EVEN); } /** * Compute e^x to a given scale by the Taylor series. * * @param x * the value of x * @param scale * the desired scale of the result * @return the result value */ private static BigDecimal expTaylor(BigDecimal x, int scale) { BigDecimal factorial = BigDecimal.valueOf(1); BigDecimal xPower = x; BigDecimal sumPrev; // 1 + x BigDecimal sum = x.add(BigDecimal.valueOf(1)); // Loop until the sums converge // (two successive sums are equal after rounding). int i = 2; do { // x^i xPower = xPower.multiply(x).setScale(scale, BigDecimal.ROUND_HALF_EVEN); // i! factorial = factorial.multiply(BigDecimal.valueOf(i)); // x^i/i! BigDecimal term = xPower.divide(factorial, scale, BigDecimal.ROUND_HALF_EVEN); // sum = sum + x^i/i! sumPrev = sum; sum = sum.add(term); ++i; Thread.yield(); } while (sum.compareTo(sumPrev) != 0); return sum; } public static BigDecimal asin(BigDecimal val) { return BigDecimal.valueOf(Math.asin(val.doubleValue())); } public static BigDecimal acos(BigDecimal val) { return BigDecimal.valueOf(Math.acos(val.doubleValue())); } public static BigDecimal atan(BigDecimal val) { return BigDecimal.valueOf(Math.atan(val.doubleValue())); } public static float getMean(ArrayList<?> list) { try { float sum = 0f; for (Object i : list) { if (i instanceof Float) sum += (float) i; else if (i instanceof Integer) sum += (int) i; } float mean = sum / (float) list.size(); return mean; } catch (Exception e) { e.printStackTrace(); return -1f; } } public static float getStandardDeviation(ArrayList<?> list) { try { if (list.size() <= 0) { return -1f; } float sum = 0f; for (Object i : list) { if (i instanceof Float) { sum += (float) i; } if (i instanceof Integer) { sum += (int) i; } } float mean = sum / list.size(); // Deviations ArrayList<Float> deviations = new ArrayList<Float>(); for (Object i : list) { if (i instanceof Float) { deviations.add((float) i - mean); } if (i instanceof Integer) { deviations.add((int) i - mean); } } // Deviation Squares ArrayList<Float> deviationSquares = new ArrayList<Float>(); for (Float f : deviations) { float square = f * f; deviationSquares.add(square); } // Sum of Deviation Squares float sumds = 0f; for (Float f : deviationSquares) { sumds += f; } float d = sumds / (float) (deviationSquares.size() - 1); float stdev = (float) Math.sqrt(d); return stdev; } catch (Exception e) { e.printStackTrace(); return -1f; } } public static ArrayList<Float> removePositives(ArrayList<?> list) { ArrayList<Float> rlist = new ArrayList<Float>(); try { for (Object i : list) { float n = (float) i; if (n <= 0) rlist.add(n); else { rlist.add(0f); } } } catch (Exception e) { e.printStackTrace(); } return rlist; } public static float getMaxDrawdownPercent(ArrayList<?> list) { try { float samplePortfolioValue = 1000f; float drawdownBase = samplePortfolioValue; float maxDrawdown = 0f; float lowestValue = samplePortfolioValue; float highestValue = samplePortfolioValue; for (Object i : list) { samplePortfolioValue *= (1f + ((float) i / 100f)); if (samplePortfolioValue < drawdownBase) { lowestValue = samplePortfolioValue; float thisDrawdown = 1f - (lowestValue / drawdownBase); if (thisDrawdown > maxDrawdown) { maxDrawdown = thisDrawdown; } } if (samplePortfolioValue > highestValue) { highestValue = samplePortfolioValue; drawdownBase = highestValue; } } return -maxDrawdown * 100f; } catch (Exception e) { e.printStackTrace(); return -1f; } } public static float getMedian(ArrayList<?> list) { try { ArrayList<Float> flist = new ArrayList<Float>(); ArrayList<Integer> ilist = new ArrayList<Integer>(); for (Object i : list) { if (i instanceof Float) { flist.add((float) i); } else if (i instanceof Integer) { ilist.add((int) i); } } if (flist.size() > 0) { Collections.sort(flist); if (flist.size() % 2 == 1) { return flist.get((flist.size() + 1) / 2 - 1); } else { float lower = flist.get(flist.size() / 2 - 1); float upper = flist.get(flist.size() / 2); return (lower + upper) / 2f; } } else if (ilist.size() > 0) { Collections.sort(ilist); if (ilist.size() % 2 == 1) { return ilist.get((ilist.size() + 1) / 2 - 1); } else { float lower = ilist.get(ilist.size() / 2 - 1); float upper = ilist.get(ilist.size() / 2); return (lower + upper) / 2f; } } else { return -1f; } } catch (Exception e) { e.printStackTrace(); return -1f; } } /** * Note: Taking the geomean of percents vs. their multiplier equivalents is * not the same. Example: (5, 7, -4) != (1.05, 1.07, .96) * * But it's the best you can do when negative numbers are in the mix. Just * note it. * * @param list * @return */ public static float getGeoMean(ArrayList<?> list) { try { float logSum = 0f; for (Object i : list) { if (i instanceof Float) { float n = (float) i; n = 1f + (n / 100f); double log = Math.log10(n); logSum += log; } else if (i instanceof Integer) { float n = (int) i; n = 1f + (n / 100f); double log = Math.log10(n); logSum += log; } } float meanLog = logSum / (float) list.size(); float geoMean = (float) Math.pow(10, meanLog); float answer = (geoMean - 1f) * 100f; return answer; } catch (Exception e) { e.printStackTrace(); return -1f; } } public static float getWinPercent(ArrayList<?> list) { try { int numWinners = 0; for (Object i : list) { if (i instanceof Float) if ((float) i > 0) numWinners++; else if (i instanceof Integer) if ((int) i > 0) numWinners++; } float winPercent = numWinners / (float) list.size() * 100; return winPercent; } catch (Exception e) { e.printStackTrace(); return -1f; } } public static boolean isInteger(String s) { try { Integer.parseInt(s); } catch (NumberFormatException e) { return false; } return true; } public static boolean isFloat(String s) { try { Float.parseFloat(s); } catch (NumberFormatException e) { return false; } return true; } }