org.drip.sequence.random

Class MultivariateSequenceGenerator

java.lang.Object

org.drip.sequence.random.MultivariateSequenceGenerator

Direct Known Subclasses:

PrincipalFactorSequenceGenerator

public class MultivariateSequenceGenerator
extends java.lang.Object

MultivariateSequenceGenerator implements the Multivariate Random Sequence Generator Functionality.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
MultivariateSequenceGenerator(UnivariateSequenceGenerator[] aUSG, double[][] aadblCorrelation) MultivariateSequenceGenerator Constructor

Method Summary

Modifier and Type	Method and Description
double[][]	cholesky() Retrieve the Cholesky Factorial
double[][]	correlation() Retrieve the Correlation Matrix
int	numVariate() Retrieve the Number of Variates
double[]	random() Generate the Set of Multivariate Random Numbers according to the specified rule
UnivariateSequenceGenerator[]	usg() Retrieve the Array of Univariate Sequence Generators

Methods inherited from class java.lang.Object

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

Constructor Detail

MultivariateSequenceGenerator

public MultivariateSequenceGenerator(UnivariateSequenceGenerator[] aUSG,
                                     double[][] aadblCorrelation)
                              throws java.lang.Exception

MultivariateSequenceGenerator Constructor

Parameters:

aUSG - Array of Univariate Sequence Generators

aadblCorrelation - The Correlation Matrix

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

Method Detail

usg

public UnivariateSequenceGenerator[] usg()

Retrieve the Array of Univariate Sequence Generators

Returns:

Array of Univariate Sequence Generators

correlation

public double[][] correlation()

Retrieve the Correlation Matrix

Returns:

The Correlation Matrix

cholesky

public double[][] cholesky()

Retrieve the Cholesky Factorial

Returns:

The Cholesky Factorial

numVariate

public int numVariate()

Retrieve the Number of Variates

Returns:

The Number of Variates

random

public double[] random()

Generate the Set of Multivariate Random Numbers according to the specified rule

Returns:

The Set of Multivariate Random Numbers