Package org.drip.measure.discontinuous

Class CorrelatedFactorsPathVertexRealization

java.lang.Object

org.drip.measure.discontinuous.CorrelatedFactorsPathVertexRealization

public class CorrelatedFactorsPathVertexRealization
extends java.lang.Object

CorrelatedFactorsPathVertexRealization generates Correlated R^d Random Numbers at the specified Vertexes, over the Specified Paths. It provides the following Functionality:

• CorrelatedFactorsPathVertexRealization Constructor
• Retrieve the Random Number Generator
• Retrieve the Correlation Matrix
• Retrieve the Cholesky Matrix
• Retrieve the Number of Vertex Nodes
• Retrieve the Number of Simulation Paths
• Retrieve the Number of Factor Dimensions
• Indicate if the Antithetic Variable Generation is to be applied
• Retrieve the Quadratic Resampler Instance
• Generate a Straight R^d Vertex Node Realization
• Generate the Array of R^d Vertex and its Antithetic Realization Pairs
• Generate a Straight Path R^d Vertex Realization
• Generate an Pair of Straight/Antithetic Path R^d Vertex Realizations
• Generate Multi-Path R^d Vertex Realizations Array
• Generate Antithetic Multi-Path R^d Vertex Realizations Array
• Generate Multi-Path R^d Vertex Realizations Array

Module	Computational Core Module
Library	Numerical Analysis Library
Project	Rd Continuous/Discrete Probability Measures
Package	Antithetic, Quadratically Re-sampled, De-biased Distribution

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CorrelatedFactorsPathVertexRealization(RandomNumberGenerator randomNumberGenerator, double[][] correlationMatrix, int nodeCount, int simulationCount, boolean applyAntithetic, QuadraticResampler quadraticResampler)	CorrelatedFactorsPathVertexRealization Constructor

Method Summary

Modifier and Type	Method	Description
boolean	applyAntithetic()	Indicate if the Antithetic Variable Generation is to be applied
double[][]	choleskyMatrix()	Retrieve the Cholesky Matrix
double[][]	correlationMatrix()	Retrieve the Correlation Matrix
int	dimensionCount()	Retrieve the Number of Factor Dimensions
VertexRd[]	multiTrajectoryNodeRd()	Generate Multi-Path Rd Vertex Realizations Array
VertexRd[]	multiTrajectoryStraightAntitheticNodePair()	Generate Antithetic Multi-Path Rd Vertex Realizations Array
VertexRd[]	multiTrajectoryStraightNodeRd()	Generate Multi-Path Rd Vertex Realizations Array
int	nodeCount()	Retrieve the Number of Vertex Nodes
QuadraticResampler	quadraticResampler()	Retrieve the Quadratic Resampler Instance
RandomNumberGenerator	randomNumberGenerator()	Retrieve the Random Number Generator
int	simulationCount()	Retrieve the Number of Simulation Paths
double[][]	straightAntitheticNodePair()	Generate the Array of Rd Vertex and its Antithetic Realization Pairs
double[]	straightNodeRd()	Generate a Straight Rd Vertex Node Realization
VertexRd[]	trajectoryStraightAntitheticNodePair()	Generate an Pair of Straight/Antithetic Path Rd Vertex Realizations
VertexRd	trajectoryStraightNodeRd()	Generate a Straight Path Rd Vertex Realization

Methods inherited from class java.lang.Object

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

Constructor Details

CorrelatedFactorsPathVertexRealization

public CorrelatedFactorsPathVertexRealization(RandomNumberGenerator randomNumberGenerator,
double[][] correlationMatrix,
int nodeCount,
int simulationCount,
boolean applyAntithetic,
QuadraticResampler quadraticResampler)
                                       throws java.lang.Exception

CorrelatedFactorsPathVertexRealization Constructor

Parameters:

randomNumberGenerator - The Random Number Generator

correlationMatrix - The Correlation Matrix

nodeCount - Number of Vertex Nodes

simulationCount - Number of Simulated Paths

applyAntithetic - TRUE - Apply Antithetic Variables Based Variance Reduction

quadraticResampler - Quadratic Resampler Instance

Throws:

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

Method Details

randomNumberGenerator

public RandomNumberGenerator randomNumberGenerator()

Retrieve the Random Number Generator

Returns:

The Random Number Generator Instance

correlationMatrix

public double[][] correlationMatrix()

Retrieve the Correlation Matrix

Returns:

The Correlation Matrix

choleskyMatrix

public double[][] choleskyMatrix()

Retrieve the Cholesky Matrix

Returns:

The Cholesky Matrix

nodeCount

public int nodeCount()

Retrieve the Number of Vertex Nodes

Returns:

The Number of Vertex Nodes

simulationCount

public int simulationCount()

Retrieve the Number of Simulation Paths

Returns:

The Number of Simulation Paths

dimensionCount

public int dimensionCount()

Retrieve the Number of Factor Dimensions

Returns:

The Number of Dimensions

applyAntithetic

public boolean applyAntithetic()

Indicate if the Antithetic Variable Generation is to be applied

Returns:

TRUE - Apply Antithetic Variables Based Variance Reduction

quadraticResampler

public QuadraticResampler quadraticResampler()

Retrieve the Quadratic Resampler Instance

Returns:

The Quadratic Resampler Instance

straightNodeRd

public double[] straightNodeRd()

Generate a Straight R^d Vertex Node Realization

Returns:

Straight R^d Vertex Node Realization

straightAntitheticNodePair

public double[][] straightAntitheticNodePair()

Generate the Array of R^d Vertex and its Antithetic Realization Pairs

Returns:

Array of R^d Vertex and its Antithetic Realization Pairs

trajectoryStraightNodeRd

public VertexRd trajectoryStraightNodeRd()

Generate a Straight Path R^d Vertex Realization

Returns:

Straight Path R^d Vertex Realization

trajectoryStraightAntitheticNodePair

public VertexRd[] trajectoryStraightAntitheticNodePair()

Generate an Pair of Straight/Antithetic Path R^d Vertex Realizations

Returns:

Pair of Straight/Antithetic Path R^d Vertex Realizations

multiTrajectoryStraightNodeRd

public VertexRd[] multiTrajectoryStraightNodeRd()

Generate Multi-Path R^d Vertex Realizations Array

Returns:

Multi-Path R^d Vertex Realizations Array

multiTrajectoryStraightAntitheticNodePair

public VertexRd[] multiTrajectoryStraightAntitheticNodePair()

Generate Antithetic Multi-Path R^d Vertex Realizations Array

Returns:

Antithetic Multi-Path R^d Vertex Realizations Array

multiTrajectoryNodeRd

public VertexRd[] multiTrajectoryNodeRd()

Generate Multi-Path R^d Vertex Realizations Array

Returns:

Multi-Path R^d Vertex Realizations Array