GaussianSequence.java

package org.drip.sample.measure;

import org.drip.measure.discrete.SequenceGenerator;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;

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

/*!
 * 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 risk, transaction costs, exposure, margin
 *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
 *      credit, commodity, equity, FX, and structured products.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
 * 
 *  DROP Analytics Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Asset Backed Analytics
 *  - XVA Analytics
 *  - Exposure and Margin Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Numerical Core implements libraries for the following:
 *  - Statistical Learning
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Algorithm Support
 * 
 *  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>GaussianSequence</i> demonstrates the Generation of R<sup>1</sup> and Correlated/Uncorrelated
 * R<sup>d</sup> Gaussian Random Number Sequence.
 *  
 * <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalCore.md">Numerical Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalSupportLibrary.md">Numerical Support Library</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/measure/README.md">Probability Measure Generators</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class GaussianSequence {

    private static final void CorrelatedSequence (
        final int iCount,
        final double[][] aadblCorrelation,
        final String strHeader)
        throws Exception
    {
        double[][] aadblGaussianJoint = SequenceGenerator.GaussianJoint (
            iCount,
            aadblCorrelation
        );

        System.out.println();

        System.out.println ("\t||----------------------------------------------------||");

        System.out.println (strHeader);

        System.out.println ("\t||----------------------------------------------------||");

        for (int i = 0; i < iCount; ++i) {
            String strDump = "\t||" + FormatUtil.FormatDouble (i, 2, 0, 1.) + " |";

            for (int j = 0; j < aadblCorrelation.length; ++j)
                strDump = strDump + " " + FormatUtil.FormatDouble (aadblGaussianJoint[i][j], 1, 6, 1.) + " |";

            System.out.println (strDump + "|");
        }

        System.out.println ("\t||----------------------------------------------------||");

        System.out.println();
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        EnvManager.InitEnv ("");

        int iCount = 50;
        double[][] aadblCorrelation1 = new double[][] {
            {1.00, 0.70, 0.25, 0.05},
            {0.70, 1.00, 0.13, 0.01},
            {0.25, 0.13, 1.00, 0.00},
            {0.05, 0.01, 0.00, 1.00}
        };
        double[][] aadblCorrelation2 = new double[][] {
            {1.00, 0.00, 0.00, 0.00},
            {0.00, 1.00, 0.00, 0.00},
            {0.00, 0.00, 1.00, 0.00},
            {0.00, 0.00, 0.00, 1.00}
        };

        CorrelatedSequence (
            iCount,
            aadblCorrelation1,
            "\t||            CORRELATED GAUSSIAN SEQUENCE            ||"
        );

        CorrelatedSequence (
            iCount,
            aadblCorrelation2,
            "\t||           UNCORRELATED GAUSSIAN SEQUENCE           ||"
        );

        EnvManager.TerminateEnv();
    }
}