diff --git a/src/Numerics/ExcelFunctions.cs b/src/Numerics/ExcelFunctions.cs new file mode 100644 index 00000000..53763368 --- /dev/null +++ b/src/Numerics/ExcelFunctions.cs @@ -0,0 +1,90 @@ +// +// Math.NET Numerics, part of the Math.NET Project +// http://numerics.mathdotnet.com +// http://github.com/mathnet/mathnet-numerics +// http://mathnetnumerics.codeplex.com +// +// Copyright (c) 2009-2013 Math.NET +// +// Permission is hereby granted, free of charge, to any person +// obtaining a copy of this software and associated documentation +// files (the "Software"), to deal in the Software without +// restriction, including without limitation the rights to use, +// copy, modify, merge, publish, distribute, sublicense, and/or sell +// copies of the Software, and to permit persons to whom the +// Software is furnished to do so, subject to the following +// conditions: +// +// The above copyright notice and this permission notice shall be +// included in all copies or substantial portions of the Software. +// +// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, +// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES +// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND +// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT +// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, +// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING +// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR +// OTHER DEALINGS IN THE SOFTWARE. +// + +using System; +using MathNet.Numerics.Distributions; +using MathNet.Numerics.Statistics; + +// ReSharper disable InconsistentNaming +namespace MathNet.Numerics +{ + /// + /// Collection of functions equivalent to those provided by Microsoft Excel + /// but backed instead by Math.NET Numerics. + /// We do not recommend to use them except in an intermediate phase when + /// porting over solutions previously implemented in Excel. + /// + public static class ExcelFunctions + { + public static double TDIST(double x, int degrees_freedom, int tails) + { + var dist = new StudentT(0.0, 1.0, degrees_freedom); + switch (tails) + { + case 1: + return 1d - dist.CumulativeDistribution(x); + case 2: + return 1d - dist.CumulativeDistribution(x) + dist.CumulativeDistribution(-x); + default: + throw new ArgumentOutOfRangeException("tails"); + } + } + + public static double GAMMADIST(double x, double alpha, double beta, bool cumulative) + { + return cumulative ? Gamma.CDF(alpha, 1/beta, x) : Gamma.PDF(alpha, 1/beta, x); + } + + public static double GAMMAINV(double probability, double alpha, double beta) + { + return Gamma.InvCDF(alpha, 1/beta, probability); + } + + public static double QUARTILE(double[] array, int quant) + { + switch (quant) + { + case 0: + return ArrayStatistics.Minimum(array); + case 1: + return array.QuantileCustom(0.25, QuantileDefinition.Excel); + case 2: + return array.QuantileCustom(0.5, QuantileDefinition.Excel); + case 3: + return array.QuantileCustom(0.75, QuantileDefinition.Excel); + case 4: + return ArrayStatistics.Maximum(array); + default: + throw new ArgumentOutOfRangeException("quant"); + } + } + } +} +// ReSharper restore InconsistentNaming diff --git a/src/Numerics/Numerics.csproj b/src/Numerics/Numerics.csproj index 862e0bb9..624bd6de 100644 --- a/src/Numerics/Numerics.csproj +++ b/src/Numerics/Numerics.csproj @@ -196,6 +196,7 @@ + diff --git a/src/UnitTests/SpecialFunctionsTests/ExcelTests.cs b/src/UnitTests/SpecialFunctionsTests/ExcelTests.cs new file mode 100644 index 00000000..dbfd1c17 --- /dev/null +++ b/src/UnitTests/SpecialFunctionsTests/ExcelTests.cs @@ -0,0 +1,100 @@ +// +// Math.NET Numerics, part of the Math.NET Project +// http://numerics.mathdotnet.com +// http://github.com/mathnet/mathnet-numerics +// http://mathnetnumerics.codeplex.com +// +// Copyright (c) 2009-2013 Math.NET +// +// Permission is hereby granted, free of charge, to any person +// obtaining a copy of this software and associated documentation +// files (the "Software"), to deal in the Software without +// restriction, including without limitation the rights to use, +// copy, modify, merge, publish, distribute, sublicense, and/or sell +// copies of the Software, and to permit persons to whom the +// Software is furnished to do so, subject to the following +// conditions: +// +// The above copyright notice and this permission notice shall be +// included in all copies or substantial portions of the Software. +// +// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, +// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES +// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND +// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT +// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, +// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING +// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR +// OTHER DEALINGS IN THE SOFTWARE. +// + +using System; +using NUnit.Framework; + +// ReSharper disable InconsistentNaming +namespace MathNet.Numerics.UnitTests.SpecialFunctionsTests +{ + [TestFixture, Category("Functions")] + public class ExcelTests + { + [Test] + public void TDIST() + { + Assert.That(ExcelFunctions.TDIST(0, 2, 1), Is.EqualTo(0.50000000000).Within(1e-8), "A1"); + Assert.That(ExcelFunctions.TDIST(0.25, 2, 1), Is.EqualTo(0.41296117202).Within(1e-8), "B1"); + Assert.That(ExcelFunctions.TDIST(0.5, 2, 1), Is.EqualTo(0.33333333333).Within(1e-8), "C1"); + Assert.That(ExcelFunctions.TDIST(1, 2, 1), Is.EqualTo(0.21132486541).Within(1e-8), "D1"); + Assert.That(ExcelFunctions.TDIST(2, 2, 1), Is.EqualTo(0.09175170954).Within(1e-8), "E1"); + Assert.That(ExcelFunctions.TDIST(10, 2, 1), Is.EqualTo(0.00492622851).Within(1e-8), "F1"); + + Assert.That(ExcelFunctions.TDIST(0, 2, 2), Is.EqualTo(1.00000000000).Within(1e-8), "A2"); + Assert.That(ExcelFunctions.TDIST(0.25, 2, 2), Is.EqualTo(0.82592234404).Within(1e-8), "B2"); + Assert.That(ExcelFunctions.TDIST(0.5, 2, 2), Is.EqualTo(0.66666666667).Within(1e-8), "C2"); + Assert.That(ExcelFunctions.TDIST(1, 2, 2), Is.EqualTo(0.42264973081).Within(1e-8), "D2"); + Assert.That(ExcelFunctions.TDIST(2, 2, 2), Is.EqualTo(0.18350341907).Within(1e-8), "E2"); + Assert.That(ExcelFunctions.TDIST(10, 2, 2), Is.EqualTo(0.00985245702).Within(1e-8), "F2"); + } + + [Test] + public void GAMMADIST() + { + Assert.That(ExcelFunctions.GAMMADIST(0, 2, 1.5, true), Is.EqualTo(0.00000000000).Within(1e-8), "A1"); + Assert.That(ExcelFunctions.GAMMADIST(0.25, 2, 1.5, true), Is.EqualTo(0.01243798763).Within(1e-8), "B1"); + Assert.That(ExcelFunctions.GAMMADIST(0.5, 2, 1.5, true), Is.EqualTo(0.04462491923).Within(1e-8), "C1"); + Assert.That(ExcelFunctions.GAMMADIST(1, 2, 1.5, true), Is.EqualTo(0.14430480161).Within(1e-6), "D1"); + Assert.That(ExcelFunctions.GAMMADIST(2, 2, 1.5, true), Is.EqualTo(0.38494001106).Within(1e-8), "E1"); + Assert.That(ExcelFunctions.GAMMADIST(10, 2, 1.5, true), Is.EqualTo(0.99024314086).Within(1e-8), "F1"); + + Assert.That(ExcelFunctions.GAMMADIST(0, 2, 1.5, false), Is.EqualTo(0.00000000000).Within(1e-8), "A2"); + Assert.That(ExcelFunctions.GAMMADIST(0.25, 2, 1.5, false), Is.EqualTo(0.09405352499).Within(1e-8), "B2"); + Assert.That(ExcelFunctions.GAMMADIST(0.5, 2, 1.5, false), Is.EqualTo(0.15922918013).Within(1e-8), "C2"); + Assert.That(ExcelFunctions.GAMMADIST(1, 2, 1.5, false), Is.EqualTo(0.22818538624).Within(1e-8), "D2"); + Assert.That(ExcelFunctions.GAMMADIST(2, 2, 1.5, false), Is.EqualTo(0.23430856721).Within(1e-8), "E2"); + Assert.That(ExcelFunctions.GAMMADIST(10, 2, 1.5, false), Is.EqualTo(0.00565615023).Within(1e-8), "F2"); + } + + [Test] + public void GAMMAINV() + { + Assert.That(ExcelFunctions.GAMMAINV(0, 2, 1.5), Is.EqualTo(0.00000000000).Within(1e-8), "A1"); + Assert.That(ExcelFunctions.GAMMAINV(0.01, 2, 1.5), Is.EqualTo(0.22283211038).Within(1e-8), "B1"); + Assert.That(ExcelFunctions.GAMMAINV(0.25, 2, 1.5), Is.EqualTo(1.44191814467).Within(1e-6), "C1"); + Assert.That(ExcelFunctions.GAMMAINV(0.5, 2, 1.5), Is.EqualTo(2.51752048502).Within(1e-6), "D1"); + Assert.That(ExcelFunctions.GAMMAINV(0.75, 2, 1.5), Is.EqualTo(4.03895179333).Within(1e-8), "E1"); + Assert.That(ExcelFunctions.GAMMAINV(0.99, 2, 1.5), Is.EqualTo(9.95752810199).Within(1e-8), "F1"); + Assert.That(ExcelFunctions.GAMMAINV(0.9999, 2, 1.5), Is.EqualTo(17.63455683374).Within(1e-8), "G1"); + } + + [Test] + public void QUARTILE() + { + var array = new Double[] { 1, 8, 12, 7, 2, 9, 10, 4 }; + Assert.That(ExcelFunctions.QUARTILE(array, 0), Is.EqualTo(1.00000000000).Within(1e-8)); + Assert.That(ExcelFunctions.QUARTILE(array, 1), Is.EqualTo(3.50000000000).Within(1e-8)); + Assert.That(ExcelFunctions.QUARTILE(array, 2), Is.EqualTo(7.50000000000).Within(1e-8)); + Assert.That(ExcelFunctions.QUARTILE(array, 3), Is.EqualTo(9.25000000000).Within(1e-8)); + Assert.That(ExcelFunctions.QUARTILE(array, 4), Is.EqualTo(12.00000000000).Within(1e-8)); + } + } +} +// ReSharper restore InconsistentNaming diff --git a/src/UnitTests/UnitTests.csproj b/src/UnitTests/UnitTests.csproj index 73a8e7d8..70004254 100644 --- a/src/UnitTests/UnitTests.csproj +++ b/src/UnitTests/UnitTests.csproj @@ -380,6 +380,7 @@ +