Package org.drip.measure.discrete

Class CorrelatedPathVertexDimension

java.lang.Object

org.drip.measure.discrete.CorrelatedPathVertexDimension

public class CorrelatedPathVertexDimension
extends java.lang.Object

CorrelatedPathVertexDimension generates Correlated R^d Random Numbers at the specified Vertexes, over the Specified Paths.

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d Continuous/Discrete Probability Measures
• Package = Antithetic, Quadratically Re-sampled, De-biased Distribution

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CorrelatedPathVertexDimension(RandomNumberGenerator rng, double[][] aadblCorrelation, int iNumVertex, int iNumPath, boolean bApplyAntithetic, QuadraticResampler qr)	CorrelatedPathVertexDimension Constructor

Method Summary

Modifier and Type	Method	Description
VertexRd[]	antitheticMultiPathVertexRd()	Generate Antithetic Multi-Path R^d Vertex Realizations Array
VertexRd[]	antitheticPairPathVertexRd()	Generate an Antithetic Pair Path R^d Vertex Realizations
double[][]	antitheticVertexPairRealization()	Generate an Antithetic R^d Vertex Pair Realization
boolean	applyAntithetic()	Indicate if the Antithetic Variable Generation is to be applied
double[][]	cholesky()	Retrieve the Cholesky Matrix
double[][]	correlation()	Retrieve the Correlation Matrix
VertexRd[]	multiPathVertexRd()	Generate Multi-Path R^d Vertex Realizations Array
int	numDimension()	Retrieve the Number of Dimensions
int	numPath()	Retrieve the Number of Paths
int	numVertex()	Retrieve the Number of Vertexes
QuadraticResampler	quadraticResampler()	Retrieve the Quadratic Resampler Instance
RandomNumberGenerator	randomNumberGenerator()	Retrieve the Random Number Generator
VertexRd[]	straightMultiPathVertexRd()	Generate Straight Multi-Path R^d Vertex Realizations Array
VertexRd	straightPathVertexRd()	Generate a Single Straight Path R^d Vertex Realization
double[]	straightVertexRealization()	Generate a Straight Single R^d Vertex Realization

Methods inherited from class java.lang.Object

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

Constructor Details

CorrelatedPathVertexDimension

public CorrelatedPathVertexDimension(RandomNumberGenerator rng,
double[][] aadblCorrelation,
int iNumVertex,
int iNumPath,
boolean bApplyAntithetic,
QuadraticResampler qr)
                              throws java.lang.Exception

CorrelatedPathVertexDimension Constructor

Parameters:

rng - The Random Number Generator

aadblCorrelation - The Correlation Matrix

iNumVertex - Number of Vertexes

iNumPath - Number of Paths

bApplyAntithetic - TRUE - Apply Antithetic Variables Based Variance Reduction

qr - 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

correlation

public double[][] correlation()

Retrieve the Correlation Matrix

Returns:

The Correlation Matrix

cholesky

public double[][] cholesky()

Retrieve the Cholesky Matrix

Returns:

The Cholesky Matrix

numVertex

public int numVertex()

Retrieve the Number of Vertexes

Returns:

The Number of Vertexes

numPath

public int numPath()

Retrieve the Number of Paths

Returns:

The Number of Paths

numDimension

public int numDimension()

Retrieve the Number of 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

straightVertexRealization

public double[] straightVertexRealization()

Generate a Straight Single R^d Vertex Realization

Returns:

Straight Single R^d Vertex Realization

antitheticVertexPairRealization

public double[][] antitheticVertexPairRealization()

Generate an Antithetic R^d Vertex Pair Realization

Returns:

Antithetic R^d Vertex Pair Realization

straightPathVertexRd

public VertexRd straightPathVertexRd()

Generate a Single Straight Path R^d Vertex Realization

Returns:

Single Straight Path R^d Vertex Realization

antitheticPairPathVertexRd

public VertexRd[] antitheticPairPathVertexRd()

Generate an Antithetic Pair Path R^d Vertex Realizations

Returns:

Antithetic Pair Path R^d Vertex Realizations

straightMultiPathVertexRd

public VertexRd[] straightMultiPathVertexRd()

Generate Straight Multi-Path R^d Vertex Realizations Array

Returns:

Straight Multi-Path R^d Vertex Realizations Array

antitheticMultiPathVertexRd

public VertexRd[] antitheticMultiPathVertexRd()

Generate Antithetic Multi-Path R^d Vertex Realizations Array

Returns:

Antithetic Multi-Path R^d Vertex Realizations Array

multiPathVertexRd

public VertexRd[] multiPathVertexRd()

Generate Multi-Path R^d Vertex Realizations Array

Returns:

Multi-Path R^d Vertex Realizations Array