MultipleRecursiveGeneratorLEcuyer.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>MultipleRecursiveGeneratorLEcuyer</i> - L'Ecuyer's Multiple Recursive Generator - combines Multiple
  81.  * Recursive Sequences to produce a Large State Space with good Randomness Properties. MRG32k3a is a special
  82.  * Type of MultipleRecursiveGeneratorLEcuyer.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class MultipleRecursiveGeneratorLEcuyer implements org.drip.measure.crng.RecursiveGenerator {
  96.     private long _lM1 = java.lang.Long.MIN_VALUE;
  97.     private long _lM2 = java.lang.Long.MIN_VALUE;
  98.     private long _lA12 = java.lang.Long.MIN_VALUE;
  99.     private long _lA13 = java.lang.Long.MIN_VALUE;
  100.     private long _lA21 = java.lang.Long.MIN_VALUE;
  101.     private long _lA23 = java.lang.Long.MIN_VALUE;
  102.     private long _lY1Prev = java.lang.Long.MIN_VALUE;
  103.     private long _lY2Prev = java.lang.Long.MIN_VALUE;
  104.     private long _lY1PrevPrev = java.lang.Long.MIN_VALUE;
  105.     private long _lY2PrevPrev = java.lang.Long.MIN_VALUE;
  106.     private long _lY1PrevPrevPrev = java.lang.Long.MIN_VALUE;
  107.     private long _lY2PrevPrevPrev = java.lang.Long.MIN_VALUE;

  109.     /**
  110.      * Generate the MRG32k3a Variant of the L'Ecuyer's Multiple Recursive Generator
  111.      * 
  112.      * @return The MRG32k3a Variant of the L'Ecuyer's Multiple Recursive Generator
  113.      */

  115.     public static final MultipleRecursiveGeneratorLEcuyer MRG32k3a()
  116.     {
  117.         long l2Power32 = 1;

  119.         for (int i = 0; i < 32; ++i)
  120.             l2Power32 *= 2;

  122.         try {
  123.             return new MultipleRecursiveGeneratorLEcuyer (
  124.                 System.nanoTime(),
  125.                 System.nanoTime(),
  126.                 System.nanoTime(),
  127.                 System.nanoTime(),
  128.                 System.nanoTime(),
  129.                 System.nanoTime(),
  130.                 1403580,
  131.                 -810728,
  132.                  527612,
  133.                 -1370589,
  134.                 l2Power32 - 209,
  135.                 l2Power32 - 22853
  136.             );
  137.         } catch (java.lang.Exception e) {
  138.             e.printStackTrace();
  139.         }

  141.         return null;
  142.     }

  144.     /**
  145.      * MultipleRecursiveGeneratorLEcuyer Constructor
  146.      * 
  147.      * @param lY1Prev Y1 Previous
  148.      * @param lY1PrevPrev Y1 Previous Previous
  149.      * @param lY1PrevPrevPrev Y1 Previous Previous Previous
  150.      * @param lY2Prev Y2 Previous
  151.      * @param lY2PrevPrev Y2 Previous Previous
  152.      * @param lY2PrevPrevPrev Y2 Previous Previous Previous
  153.      * @param lA12 A12
  154.      * @param lA13 A13
  155.      * @param lA21 A21
  156.      * @param lA23 A23
  157.      * @param lM1 M1
  158.      * @param lM2 M2
  159.      * 
  160.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  161.      */

  163.     public MultipleRecursiveGeneratorLEcuyer (
  164.         final long lY1Prev,
  165.         final long lY1PrevPrev,
  166.         final long lY1PrevPrevPrev,
  167.         final long lY2Prev,
  168.         final long lY2PrevPrev,
  169.         final long lY2PrevPrevPrev,
  170.         final long lA12,
  171.         final long lA13,
  172.         final long lA21,
  173.         final long lA23,
  174.         final long lM1,
  175.         final long lM2)
  176.         throws java.lang.Exception
  177.     {
  178.         if (!org.drip.numerical.common.NumberUtil.IsValid (_lY1Prev = lY1Prev) ||
  179.             !org.drip.numerical.common.NumberUtil.IsValid (_lY1PrevPrev = lY1PrevPrev) ||
  180.             !org.drip.numerical.common.NumberUtil.IsValid (_lY1PrevPrevPrev = lY1PrevPrevPrev) ||
  181.             !org.drip.numerical.common.NumberUtil.IsValid (_lY2Prev = lY2Prev) ||
  182.             !org.drip.numerical.common.NumberUtil.IsValid (_lY2PrevPrev = lY2PrevPrev) ||
  183.             !org.drip.numerical.common.NumberUtil.IsValid (_lY2PrevPrevPrev = lY2PrevPrevPrev) ||
  184.             !org.drip.numerical.common.NumberUtil.IsValid (_lA12 = lA12) ||
  185.             !org.drip.numerical.common.NumberUtil.IsValid (_lA13 = lA13) ||
  186.             !org.drip.numerical.common.NumberUtil.IsValid (_lA21 = lA21) ||
  187.             !org.drip.numerical.common.NumberUtil.IsValid (_lA23 = lA23) ||
  188.             !org.drip.numerical.common.NumberUtil.IsValid (_lM1 = lM1) ||
  189.             !org.drip.numerical.common.NumberUtil.IsValid (_lM2 = lM2))
  190.             throw new java.lang.Exception
  191.                 ("MultipleRecursiveGeneratorLEcuyer Constructor => Invalid Inputs");
  192.     }

  194.     /**
  195.      * Retrieve M1
  196.      * 
  197.      * @return M1
  198.      */

  200.     public long m1()
  201.     {
  202.         return _lM1;
  203.     }

  205.     /**
  206.      * Retrieve M2
  207.      * 
  208.      * @return M2
  209.      */

  211.     public long m2()
  212.     {
  213.         return _lM2;
  214.     }

  216.     /**
  217.      * Retrieve A12
  218.      * 
  219.      * @return A12
  220.      */

  222.     public long a12()
  223.     {
  224.         return _lA12;
  225.     }

  227.     /**
  228.      * Retrieve A13
  229.      * 
  230.      * @return A13
  231.      */

  233.     public long a13()
  234.     {
  235.         return _lA13;
  236.     }

  238.     /**
  239.      * Retrieve A21
  240.      * 
  241.      * @return A21
  242.      */

  244.     public long a21()
  245.     {
  246.         return _lA21;
  247.     }

  249.     /**
  250.      * Retrieve A23
  251.      * 
  252.      * @return A23
  253.      */

  255.     public long a23()
  256.     {
  257.         return _lA23;
  258.     }

  260.     /**
  261.      * Retrieve Y1 Previous
  262.      * 
  263.      * @return Y1 Previous
  264.      */

  266.     public long y1Prev()
  267.     {
  268.         return _lY1Prev;
  269.     }

  271.     /**
  272.      * Retrieve Y1 Previous Previous
  273.      * 
  274.      * @return Y1 Previous Previous
  275.      */

  277.     public long y1PrevPrev()
  278.     {
  279.         return _lY1PrevPrev;
  280.     }

  282.     /**
  283.      * Retrieve Y1 Previous Previous Previous
  284.      * 
  285.      * @return Y1 Previous Previous Previous
  286.      */

  288.     public long y1PrevPrevPrev()
  289.     {
  290.         return _lY1PrevPrevPrev;
  291.     }

  293.     /**
  294.      * Retrieve Y2 Previous
  295.      * 
  296.      * @return Y2 Previous
  297.      */

  299.     public long y2Prev()
  300.     {
  301.         return _lY2Prev;
  302.     }

  304.     /**
  305.      * Retrieve Y2 Previous Previous
  306.      * 
  307.      * @return Y2 Previous Previous
  308.      */

  310.     public long y2PrevPrev()
  311.     {
  312.         return _lY2PrevPrev;
  313.     }

  315.     /**
  316.      * Retrieve Y2 Previous Previous Previous
  317.      * 
  318.      * @return Y2 Previous Previous Previous
  319.      */

  321.     public long y2PrevPrevPrev()
  322.     {
  323.         return _lY2PrevPrevPrev;
  324.     }

  326.     @Override public long next()
  327.     {
  328.         long lY1 = (_lA12 * _lY1PrevPrev + _lA13 * _lY1PrevPrevPrev) % _lM1;
  329.         long lY2 = (_lA21 * _lY2Prev     + _lA23 * _lY2PrevPrevPrev) % _lM2;
  330.         _lY2PrevPrevPrev = _lY2PrevPrev;
  331.         _lY1PrevPrevPrev = _lY1PrevPrev;
  332.         _lY2PrevPrev = _lY2Prev;
  333.         _lY1PrevPrev = _lY1Prev;
  334.         _lY2Prev = lY2;
  335.         _lY1Prev = lY1;
  336.         return lY1 + lY2;
  337.     }
  338. }
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