LinearCongruentialGenerator.java
package org.drip.measure.crng;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>LinearCongruentialGenerator</i> implements a RNG based on Recurrence Based on Modular Integer
* Arithmetic.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/README.md">R<sup>d</sup> Continuous/Discrete Probability Measures</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/crng/README.md">Continuous Random Number Stream Generator</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class LinearCongruentialGenerator extends org.drip.measure.crng.RandomNumberGenerator {
private long _lA = java.lang.Long.MIN_VALUE;
private long _lB = java.lang.Long.MIN_VALUE;
private long _lM = java.lang.Long.MIN_VALUE;
private org.drip.measure.crng.RecursiveGenerator _rg = null;
/**
* Construct an Instance of LinearCongruentialGenerator with the MRG of Type MRG32k3a
*
* @param lA A
* @param lB B
* @param lM M
*
* @return Instance of LinearCongruentialGenerator with the MRG of Type MRG32k3a
*/
public static final LinearCongruentialGenerator MRG32k3a (
final long lA,
final long lB,
final long lM)
{
try {
return new LinearCongruentialGenerator (lA, lB, lM,
org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer.MRG32k3a());
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Construct a NumericalRecipes Version of LinearCongruentialGenerator
*
* @param rg The Recursive Generator Instance
*
* @return NumericalRecipes Version of LinearCongruentialGenerator
*/
public static final LinearCongruentialGenerator NumericalRecipes (
final org.drip.measure.crng.RecursiveGenerator rg)
{
long l2Power32 = 1;
for (int i = 0; i < 32; ++i)
l2Power32 *= 2;
try {
return new LinearCongruentialGenerator (1664525L, 1013904223L, l2Power32, rg);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* LinearCongruentialGenerator Contructor
*
* @param lA A
* @param lB B
* @param lM M
* @param rg The MultipleRecursiveGenerator Instance
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public LinearCongruentialGenerator (
final long lA,
final long lB,
final long lM,
final org.drip.measure.crng.RecursiveGenerator rg)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_lA = lA) || !org.drip.numerical.common.NumberUtil.IsValid
(_lB = lB) || !org.drip.numerical.common.NumberUtil.IsValid (_lM = lM) || null == (_rg = rg))
throw new java.lang.Exception ("LinearCongruentialGenerator Constructor => Invalid Inputs");
}
/**
* Retrieve A
*
* @return A
*/
public long a()
{
return _lA;
}
/**
* Retrieve B
*
* @return B
*/
public long b()
{
return _lB;
}
/**
* Retrieve M
*
* @return M
*/
public long m()
{
return _lM;
}
/**
* Retrieve the Recursive Generator Instance
*
* @return The Recursive Generator Instance
*/
public org.drip.measure.crng.RecursiveGenerator recursiveGenerator()
{
return _rg;
}
/**
* Retrieve the Next Pseudo-random Long
*
* @return The Next Pseudo-random Long
*/
public long nextLong()
{
return (_lA * _rg.next() + _lB) % _lM;
}
/**
* Retrieve a Random Number between -1 and 1
*
* @return Random Number between -1 and 1
*/
public double nextDouble()
{
return ((double) nextLong()) / ((double) _lM);
}
@Override public double nextDouble01()
{
return 0.5 * (1. + nextDouble());
}
}