org.drip.sequence.random

Class PrincipalFactorSequenceGenerator

java.lang.Object

org.drip.sequence.random.MultivariateSequenceGenerator

org.drip.sequence.random.PrincipalFactorSequenceGenerator

public class PrincipalFactorSequenceGenerator
extends MultivariateSequenceGenerator

PrincipalFactorSequenceGenerator implements the Principal Factors Based Multivariate Random Sequence Generator Functionality.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
PrincipalFactorSequenceGenerator(UnivariateSequenceGenerator[] aUSG, double[][] aadblCorrelation, int iNumFactor) PrincipalFactorSequenceGenerator Constructor

Method Summary

Modifier and Type	Method and Description
double[][]	factors() Retrieve the Principal Component Factor Array
double[]	factorWeight() Retrieve the Array of Factor Weights
int	numFactor() Retrieve the Number of Factors
double[]	random() Generate the Set of Multivariate Random Numbers according to the specified rule

Methods inherited from class org.drip.sequence.random.MultivariateSequenceGenerator

cholesky, correlation, numVariate, usg

Methods inherited from class java.lang.Object

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

Constructor Detail

PrincipalFactorSequenceGenerator

public PrincipalFactorSequenceGenerator(UnivariateSequenceGenerator[] aUSG,
                                        double[][] aadblCorrelation,
                                        int iNumFactor)
                                 throws java.lang.Exception

PrincipalFactorSequenceGenerator Constructor

Parameters:

aUSG - Array of Univariate Sequence Generators

aadblCorrelation - The Correlation Matrix

iNumFactor - Number of Factors

Throws:

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

Method Detail

numFactor

public int numFactor()

Retrieve the Number of Factors

Returns:

The Number of Factors

factors

public double[][] factors()

Retrieve the Principal Component Factor Array

Returns:

The Principal Component Factor Array

factorWeight

public double[] factorWeight()

Retrieve the Array of Factor Weights

Returns:

The Array of Factor Weights

random

public double[] random()

Description copied from class: MultivariateSequenceGenerator

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

Overrides:

random in class MultivariateSequenceGenerator

Returns:

The Set of Multivariate Random Numbers