LinearCongruentialGenerator.java

  1. package org.drip.measure.crng;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>LinearCongruentialGenerator</i> implements a RNG based on Recurrence Based on Modular Integer
  81.  * Arithmetic.
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  87.  *      <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>
  88.  *      <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>
  89.  *  </ul>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class LinearCongruentialGenerator extends org.drip.measure.crng.RandomNumberGenerator {
  95.     private long _lA = java.lang.Long.MIN_VALUE;
  96.     private long _lB = java.lang.Long.MIN_VALUE;
  97.     private long _lM = java.lang.Long.MIN_VALUE;
  98.     private org.drip.measure.crng.RecursiveGenerator _rg = null;

  100.     /**
  101.      * Construct an Instance of LinearCongruentialGenerator with the MRG of Type MRG32k3a
  102.      * 
  103.      * @param lA A
  104.      * @param lB B
  105.      * @param lM M
  106.      * 
  107.      * @return Instance of LinearCongruentialGenerator with the MRG of Type MRG32k3a
  108.      */

  110.     public static final LinearCongruentialGenerator MRG32k3a (
  111.         final long lA,
  112.         final long lB,
  113.         final long lM)
  114.     {
  115.         try {
  116.             return new LinearCongruentialGenerator (lA, lB, lM,
  117.                 org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer.MRG32k3a());
  118.         } catch (java.lang.Exception e) {
  119.             e.printStackTrace();
  120.         }

  122.         return null;
  123.     }

  125.     /**
  126.      * Construct a NumericalRecipes Version of LinearCongruentialGenerator
  127.      * 
  128.      * @param rg The Recursive Generator Instance
  129.      * 
  130.      * @return NumericalRecipes Version of LinearCongruentialGenerator
  131.      */

  133.     public static final LinearCongruentialGenerator NumericalRecipes (
  134.         final org.drip.measure.crng.RecursiveGenerator rg)
  135.     {
  136.         long l2Power32 = 1;

  138.         for (int i = 0; i < 32; ++i)
  139.             l2Power32 *= 2;

  141.         try {
  142.             return new LinearCongruentialGenerator (1664525L, 1013904223L, l2Power32, rg);
  143.         } catch (java.lang.Exception e) {
  144.             e.printStackTrace();
  145.         }

  147.         return null;
  148.     }

  150.     /**
  151.      * LinearCongruentialGenerator Contructor
  152.      * 
  153.      * @param lA A
  154.      * @param lB B
  155.      * @param lM M
  156.      * @param rg The MultipleRecursiveGenerator Instance
  157.      * 
  158.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  159.      */

  161.     public LinearCongruentialGenerator (
  162.         final long lA,
  163.         final long lB,
  164.         final long lM,
  165.         final org.drip.measure.crng.RecursiveGenerator rg)
  166.         throws java.lang.Exception
  167.     {
  168.         if (!org.drip.numerical.common.NumberUtil.IsValid (_lA = lA) || !org.drip.numerical.common.NumberUtil.IsValid
  169.             (_lB = lB) || !org.drip.numerical.common.NumberUtil.IsValid (_lM = lM) || null == (_rg = rg))
  170.             throw new java.lang.Exception ("LinearCongruentialGenerator Constructor => Invalid Inputs");
  171.     }

  173.     /**
  174.      * Retrieve A
  175.      * 
  176.      * @return A
  177.      */

  179.     public long a()
  180.     {
  181.         return _lA;
  182.     }

  184.     /**
  185.      * Retrieve B
  186.      * 
  187.      * @return B
  188.      */

  190.     public long b()
  191.     {
  192.         return _lB;
  193.     }

  195.     /**
  196.      * Retrieve M
  197.      * 
  198.      * @return M
  199.      */

  201.     public long m()
  202.     {
  203.         return _lM;
  204.     }

  206.     /**
  207.      * Retrieve the Recursive Generator Instance
  208.      * 
  209.      * @return The Recursive Generator Instance
  210.      */

  212.     public org.drip.measure.crng.RecursiveGenerator recursiveGenerator()
  213.     {
  214.         return _rg;
  215.     }

  217.     /**
  218.      * Retrieve the Next Pseudo-random Long
  219.      * 
  220.      * @return The Next Pseudo-random Long
  221.      */

  223.     public long nextLong()
  224.     {
  225.         return (_lA * _rg.next() + _lB) % _lM;
  226.     }

  228.     /**
  229.      * Retrieve a Random Number between -1 and 1
  230.      * 
  231.      * @return Random Number between -1 and 1
  232.      */

  234.     public double nextDouble()
  235.     {
  236.         return ((double) nextLong()) / ((double) _lM);
  237.     }

  239.     @Override public double nextDouble01()
  240.     {
  241.         return 0.5 * (1. + nextDouble());
  242.     }
  243. }
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