PMF, PDF, CDF, Survival, and Quantile Functions

/**
 * Fintech Math Bootcamp · Lesson 061 of 120
 * PMF, PDF, CDF, Survival, and Quantile Functions
 * Module 07: Probability Distributions and Simulation Basics
 *
 * Scenario: Turning a loss model into probabilities and thresholds
 * Rule:     F(x)=P(X≤x); S(x)=1−F(x); Q(p)=inf{x:F(x)≥p}
 *
 * Try it:   Can a PDF have height two without violating probability rules?
 *
 * Lesson article: https://thefintechbuilder.com/financial-mathematics-statistics-and-data-foundations/probability-distributions-and-simulation-basics/pmf-pdf-cdf-survival-and-quantile-functions/
 * Free course:    https://courses.thefintechbuilder.com
 * Synthetic teaching example, not financial advice or a production library.
 */

export function lesson061() {
  const values=[0,1,2], p=[.2,.5,.3];
  const cdf=(x:number)=>values.reduce((s,v,i)=>s+(v<=x?p[i]:0),0);
  const quantile=(u:number)=>values.find(v=>cdf(v)>=u)!;
  const result={pmfAt1:p[1],cdfAt1:cdf(1),survivalAt1:1-cdf(1),q80:quantile(.8)};
  return result;
}

export const checkedResult = {"pmfAt1":0.5,"cdfAt1":0.7,"survivalAt1":0.30000000000000004,"q80":2};

// Run this file directly: npx tsx lessons/07-probability-distributions-and-simulation-basics/061-pmf-pdf-cdf-survival-and-quantile-functions.ts
if (process.argv[1] && import.meta.url.endsWith(process.argv[1].replace(/\\/g, "/").split("/").pop()!)) {
  console.log(JSON.stringify(lesson061(), null, 2));
}

"""
Fintech Math Bootcamp · Lesson 061 of 120
PMF, PDF, CDF, Survival, and Quantile Functions
Module 07: Probability Distributions and Simulation Basics

Scenario: Turning a loss model into probabilities and thresholds
Rule:     F(x)=P(X≤x); S(x)=1−F(x); Q(p)=inf{x:F(x)≥p}

Try it:   Can a PDF have height two without violating probability rules?

Lesson article: https://thefintechbuilder.com/financial-mathematics-statistics-and-data-foundations/probability-distributions-and-simulation-basics/pmf-pdf-cdf-survival-and-quantile-functions/
Free course:    https://courses.thefintechbuilder.com
Synthetic teaching example, not financial advice or a production library.
"""

import json


def lesson_061():
    values = [0, 1, 2]
    p = [0.2, 0.5, 0.3]

    def cdf(x):
        total = 0
        for v, prob in zip(values, p):
            total += prob if v <= x else 0
        return total

    def quantile(u):
        return next(v for v in values if cdf(v) >= u)

    return {
        "pmfAt1": p[1],
        "cdfAt1": cdf(1),
        "survivalAt1": 1 - cdf(1),
        "q80": quantile(0.8),
    }


if __name__ == "__main__":
    print(json.dumps(lesson_061(), indent=2))

// Fintech Math Bootcamp - Lesson 061 of 120
// PMF, PDF, CDF, Survival, and Quantile Functions
// Module 07: Probability Distributions and Simulation Basics
//
// Scenario: Turning a loss model into probabilities and thresholds
// Rule:     F(x)=P(X<=x); S(x)=1-F(x); Q(p)=inf{x:F(x)>=p}
//
// Try it:   Can a PDF have height two without violating probability rules?
//
// Lesson article: https://thefintechbuilder.com/financial-mathematics-statistics-and-data-foundations/probability-distributions-and-simulation-basics/pmf-pdf-cdf-survival-and-quantile-functions/
// Free course:    https://courses.thefintechbuilder.com
// Synthetic teaching example, not financial advice or a production library.
import java.util.ArrayList;
import java.util.Arrays;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;

public class Main {
    static Map<String, Object> lesson061() {
        double[] values = {0, 1, 2};
        double[] p = {0.2, 0.5, 0.3};
        Map<String, Object> result = new LinkedHashMap<String, Object>();
        result.put("pmfAt1", p[1]);
        result.put("cdfAt1", cdf(values, p, 1));
        result.put("survivalAt1", 1 - cdf(values, p, 1));
        result.put("q80", quantile(values, p, 0.8));
        return result;
    }

    // F(x) = P(X <= x)
    static double cdf(double[] values, double[] p, double x) {
        double total = 0;
        for (int i = 0; i < values.length; i++) {
            total += values[i] <= x ? p[i] : 0;
        }
        return total;
    }

    // Q(u) = smallest value whose CDF reaches u
    static double quantile(double[] values, double[] p, double u) {
        for (double v : values) {
            if (cdf(values, p, v) >= u) return v;
        }
        throw new IllegalArgumentException("quantile level above total probability");
    }

    public static void main(String[] args) {
        System.out.println(toJson(lesson061(), ""));
    }

    // Minimal JSON writer: two-space indent, whole numbers without a decimal point, NaN as null.
    static String toJson(Object value, String indent) {
        if (value == null) return "null";
        if (value instanceof Boolean) return value.toString();
        if (value instanceof Number) return formatNumber(((Number) value).doubleValue());
        if (value instanceof String) return quote((String) value);
        if (value instanceof double[]) {
            List<Object> boxed = new ArrayList<Object>();
            for (double d : (double[]) value) boxed.add(d);
            return toJson(boxed, indent);
        }
        if (value instanceof Object[]) return toJson(Arrays.asList((Object[]) value), indent);
        String inner = indent + "  ";
        StringBuilder out = new StringBuilder();
        if (value instanceof Map) {
            Map<?, ?> map = (Map<?, ?>) value;
            if (map.isEmpty()) return "{}";
            out.append("{\n");
            int i = 0;
            for (Map.Entry<?, ?> entry : map.entrySet()) {
                out.append(inner).append(quote(entry.getKey().toString())).append(": ")
                   .append(toJson(entry.getValue(), inner));
                out.append(++i < map.size() ? ",\n" : "\n");
            }
            return out.append(indent).append("}").toString();
        }
        List<?> list = (List<?>) value;
        if (list.isEmpty()) return "[]";
        out.append("[\n");
        for (int i = 0; i < list.size(); i++) {
            out.append(inner).append(toJson(list.get(i), inner));
            out.append(i + 1 < list.size() ? ",\n" : "\n");
        }
        return out.append(indent).append("]").toString();
    }

    static String formatNumber(double x) {
        if (Double.isNaN(x) || Double.isInfinite(x)) return "null";
        if (x == Math.rint(x) && Math.abs(x) < 1e15) return Long.toString((long) x);
        return Double.toString(x);
    }

    static String quote(String s) {
        StringBuilder out = new StringBuilder("\"");
        for (char c : s.toCharArray()) {
            if (c == '"' || c == '\\') out.append('\\').append(c);
            else if (c == '\n') out.append("\\n");
            else if (c < 0x20) out.append(String.format("\\u%04x", (int) c));
            else out.append(c);
        }
        return out.append('"').toString();
    }
}

// Fintech Math Bootcamp · Lesson 061 of 120
// PMF, PDF, CDF, Survival, and Quantile Functions
// Module 07: Probability Distributions and Simulation Basics
//
// Scenario: Turning a loss model into probabilities and thresholds
// Rule:     F(x)=P(X≤x); S(x)=1−F(x); Q(p)=inf{x:F(x)≥p}
//
// Try it:   Can a PDF have height two without violating probability rules?
//
// Lesson article: https://thefintechbuilder.com/financial-mathematics-statistics-and-data-foundations/probability-distributions-and-simulation-basics/pmf-pdf-cdf-survival-and-quantile-functions/
// Free course:    https://courses.thefintechbuilder.com
// Synthetic teaching example, not financial advice or a production library.
package main

import (
	"encoding/json"
	"fmt"
)

type Lesson061Result struct {
	PmfAt1      float64 `json:"pmfAt1"`
	CdfAt1      float64 `json:"cdfAt1"`
	SurvivalAt1 float64 `json:"survivalAt1"`
	Q80         float64 `json:"q80"`
}

func lesson061() Lesson061Result {
	values := []float64{0, 1, 2}
	p := []float64{0.2, 0.5, 0.3}
	cdf := func(x float64) float64 {
		total := 0.0
		for i, v := range values {
			if v <= x {
				total += p[i]
			}
		}
		return total
	}
	quantile := func(u float64) float64 {
		for _, v := range values {
			if cdf(v) >= u {
				return v
			}
		}
		panic("quantile level above total probability")
	}
	return Lesson061Result{
		PmfAt1:      p[1],
		CdfAt1:      cdf(1),
		SurvivalAt1: 1 - cdf(1),
		Q80:         quantile(0.8),
	}
}

func main() {
	out, err := json.MarshalIndent(lesson061(), "", "  ")
	if err != nil {
		panic(err)
	}
	fmt.Println(string(out))
}

// Fintech Math Bootcamp · Lesson 061 of 120
// PMF, PDF, CDF, Survival, and Quantile Functions
// Module 07: Probability Distributions and Simulation Basics
//
// Scenario: Turning a loss model into probabilities and thresholds
// Rule:     F(x)=P(X≤x); S(x)=1−F(x); Q(p)=inf{x:F(x)≥p}
//
// Try it:   Can a PDF have height two without violating probability rules?
//
// Lesson article: https://thefintechbuilder.com/financial-mathematics-statistics-and-data-foundations/probability-distributions-and-simulation-basics/pmf-pdf-cdf-survival-and-quantile-functions/
// Free course:    https://courses.thefintechbuilder.com
// Synthetic teaching example, not financial advice or a production library.
#include <cmath>
#include <cstdio>
#include <cstdlib>
#include <iostream>
#include <optional>
#include <stdexcept>
#include <string>
#include <utility>
#include <vector>

// A minimal JSON value, enough to print this lesson's result.
struct Json {
    enum class Kind { Null, Bool, Number, String, Array, Object };
    Kind kind = Kind::Null;
    bool flag = false;
    double number = 0.0;
    std::string text;
    std::vector<std::string> keys;  // object keys, parallel to items
    std::vector<Json> items;        // array elements or object values

    Json() = default;
    Json(bool value) : kind(Kind::Bool), flag(value) {}
    Json(int value) : kind(Kind::Number), number(value) {}
    Json(double value) : kind(Kind::Number), number(value) {}
    Json(const char* value) : kind(Kind::String), text(value) {}
    Json(const std::string& value) : kind(Kind::String), text(value) {}
    Json(const std::vector<double>& values) : kind(Kind::Array) {
        for (double v : values) items.push_back(Json(v));
    }
};

Json jsonArray(const std::vector<Json>& values) {
    Json array;
    array.kind = Json::Kind::Array;
    array.items = values;
    return array;
}

Json jsonObject(const std::vector<std::pair<std::string, Json>>& fields) {
    Json object;
    object.kind = Json::Kind::Object;
    for (const auto& field : fields) {
        object.keys.push_back(field.first);
        object.items.push_back(field.second);
    }
    return object;
}

// Shortest decimal form that reads back as the same double.
std::string formatNumber(double x) {
    if (!std::isfinite(x)) return "null";
    char buffer[32];
    if (x == std::floor(x) && std::fabs(x) < 1e15) {
        std::snprintf(buffer, sizeof buffer, "%.0f", x);
        return buffer;
    }
    for (int precision = 1; precision <= 17; ++precision) {
        std::snprintf(buffer, sizeof buffer, "%.*g", precision, x);
        if (std::strtod(buffer, nullptr) == x) break;
    }
    return buffer;
}

std::string quote(const std::string& s) {
    std::string out = "\"";
    for (char c : s) {
        if (c == '"' || c == '\\') { out += '\\'; out += c; }
        else if (c == '\n') out += "\\n";
        else out += c;
    }
    return out + "\"";
}

std::string toJson(const Json& value, const std::string& indent = "") {
    switch (value.kind) {
        case Json::Kind::Null: return "null";
        case Json::Kind::Bool: return value.flag ? "true" : "false";
        case Json::Kind::Number: return formatNumber(value.number);
        case Json::Kind::String: return quote(value.text);
        default: break;
    }
    const bool isObject = value.kind == Json::Kind::Object;
    if (value.items.empty()) return isObject ? "{}" : "[]";
    const std::string inner = indent + "  ";
    std::string out = isObject ? "{\n" : "[\n";
    for (std::size_t i = 0; i < value.items.size(); ++i) {
        out += inner;
        if (isObject) out += quote(value.keys[i]) + ": ";
        out += toJson(value.items[i], inner);
        out += i + 1 < value.items.size() ? ",\n" : "\n";
    }
    return out + indent + (isObject ? "}" : "]");
}

Json lesson061() {
    const std::vector<double> values = {0, 1, 2};
    const std::vector<double> p = {0.2, 0.5, 0.3};
    // F(x) = P(X <= x)
    auto cdf = [&](double x) {
        double total = 0.0;
        for (std::size_t i = 0; i < values.size(); ++i) total += values[i] <= x ? p[i] : 0.0;
        return total;
    };
    // Q(u) = smallest value whose CDF reaches u
    auto quantile = [&](double u) {
        for (double v : values) {
            if (cdf(v) >= u) return v;
        }
        throw std::domain_error("quantile level above total probability");
    };
    return jsonObject({
        {"pmfAt1", p[1]},
        {"cdfAt1", cdf(1)},
        {"survivalAt1", 1 - cdf(1)},
        {"q80", quantile(0.8)},
    });
}

int main() {
    try {
        std::cout << toJson(lesson061()) << '\n';
    } catch (const std::exception& error) {
        std::cerr << "Error: " << error.what() << '\n';
        return 1;
    }
    return 0;
}

// Fintech Math Bootcamp · Lesson 061 of 120
// PMF, PDF, CDF, Survival, and Quantile Functions
// Module 07: Probability Distributions and Simulation Basics
//
// Scenario: Turning a loss model into probabilities and thresholds
// Rule:     F(x)=P(X≤x); S(x)=1−F(x); Q(p)=inf{x:F(x)≥p}
//
// Try it:   Can a PDF have height two without violating probability rules?
//
// Lesson article: https://thefintechbuilder.com/financial-mathematics-statistics-and-data-foundations/probability-distributions-and-simulation-basics/pmf-pdf-cdf-survival-and-quantile-functions/
// Free course:    https://courses.thefintechbuilder.com
// Synthetic teaching example, not financial advice or a production library.

/// A minimal JSON value, enough to print this lesson's result.
#[allow(dead_code)]
enum Json {
    Null,
    Bool(bool),
    Num(f64),
    Str(String),
    Arr(Vec<Json>),
    Obj(Vec<(String, Json)>),
}

#[allow(dead_code)]
impl Json {
    fn obj(fields: Vec<(&str, Json)>) -> Json {
        Json::Obj(fields.into_iter().map(|(k, v)| (k.to_string(), v)).collect())
    }

    fn nums(values: &[f64]) -> Json {
        Json::Arr(values.iter().map(|&v| Json::Num(v)).collect())
    }

    /// Pretty-prints with two-space indentation.
    fn pretty(&self, indent: &str) -> String {
        let inner = format!("{}  ", indent);
        match self {
            Json::Null => "null".to_string(),
            Json::Bool(b) => b.to_string(),
            Json::Num(x) => format_number(*x),
            Json::Str(s) => quote(s),
            Json::Arr(items) if items.is_empty() => "[]".to_string(),
            Json::Obj(fields) if fields.is_empty() => "{}".to_string(),
            Json::Arr(items) => {
                let body: Vec<String> = items
                    .iter()
                    .map(|v| format!("{}{}", inner, v.pretty(&inner)))
                    .collect();
                format!("[\n{}\n{}]", body.join(",\n"), indent)
            }
            Json::Obj(fields) => {
                let body: Vec<String> = fields
                    .iter()
                    .map(|(k, v)| format!("{}{}: {}", inner, quote(k), v.pretty(&inner)))
                    .collect();
                format!("{{\n{}\n{}}}", body.join(",\n"), indent)
            }
        }
    }
}

fn format_number(x: f64) -> String {
    if !x.is_finite() {
        "null".to_string()
    } else if x == x.trunc() && x.abs() < 1e15 {
        format!("{}", x as i64)
    } else {
        format!("{}", x)
    }
}

fn quote(s: &str) -> String {
    let mut out = String::from("\"");
    for c in s.chars() {
        match c {
            '"' => out.push_str("\\\""),
            '\\' => out.push_str("\\\\"),
            '\n' => out.push_str("\\n"),
            c => out.push(c),
        }
    }
    out.push('"');
    out
}

fn lesson_061() -> Json {
    let values = [0.0_f64, 1.0, 2.0];
    let p = [0.2_f64, 0.5, 0.3];
    // F(x) = P(X <= x)
    let cdf = |x: f64| -> f64 {
        values
            .iter()
            .zip(p.iter())
            .fold(0.0_f64, |s, (&v, &prob)| s + if v <= x { prob } else { 0.0 })
    };
    // Q(u) = smallest value whose CDF reaches u
    let quantile = |u: f64| -> f64 {
        *values
            .iter()
            .find(|&&v| cdf(v) >= u)
            .expect("quantile level above total probability")
    };
    Json::obj(vec![
        ("pmfAt1", Json::Num(p[1])),
        ("cdfAt1", Json::Num(cdf(1.0))),
        ("survivalAt1", Json::Num(1.0 - cdf(1.0))),
        ("q80", Json::Num(quantile(0.8))),
    ])
}

fn main() {
    println!("{}", lesson_061().pretty(""));
}

// Fintech Math Bootcamp · Lesson 061 of 120
// PMF, PDF, CDF, Survival, and Quantile Functions
// Module 07: Probability Distributions and Simulation Basics
//
// Scenario: Turning a loss model into probabilities and thresholds
// Rule:     F(x)=P(X≤x); S(x)=1−F(x); Q(p)=inf{x:F(x)≥p}
//
// Try it:   Can a PDF have height two without violating probability rules?
//
// Lesson article: https://thefintechbuilder.com/financial-mathematics-statistics-and-data-foundations/probability-distributions-and-simulation-basics/pmf-pdf-cdf-survival-and-quantile-functions/
// Free course:    https://courses.thefintechbuilder.com
// Synthetic teaching example, not financial advice or a production library.
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text.Json;

var options = new JsonSerializerOptions { WriteIndented = true };
Console.WriteLine(JsonSerializer.Serialize(Lesson061(), options));

static object Lesson061()
{
    double[] values = { 0, 1, 2 };
    double[] p = { 0.2, 0.5, 0.3 };

    // F(x) = P(X <= x)
    double Cdf(double x) => values.Select((v, i) => v <= x ? p[i] : 0.0).Aggregate(0.0, (s, term) => s + term);

    // Q(u) = smallest value whose CDF reaches u
    double Quantile(double u) => values.First(v => Cdf(v) >= u);

    return new
    {
        pmfAt1 = p[1],
        cdfAt1 = Cdf(1),
        survivalAt1 = 1 - Cdf(1),
        q80 = Quantile(0.8),
    };
}