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

  • Method Summary

    Modifier and Type Method 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 Details

    • 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 Details

    • 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