DualRandomSequenceBound.java
package org.drip.sample.sequence;
import org.drip.numerical.common.FormatUtil;
import org.drip.sequence.metrics.*;
import org.drip.sequence.random.BoundedUniform;
import org.drip.service.env.EnvManager;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
*
* This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
* libraries targeting analysts and developers
* https://lakshmidrip.github.io/DRIP/
*
* DRIP is composed of four main libraries:
*
* - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
* - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
* - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
* - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
*
* - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
* Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
* Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
* Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
* Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
*
* - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
* Incorporator, Holdings Constraint, and Transaction Costs.
*
* - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
*
* - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
*
* 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.
*/
/**
* DualRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Joint Realizations
* of a Sample Random Sequence.
*
* @author Lakshmi Krishnamurthy
*/
public class DualRandomSequenceBound {
private static final void CauchySchwartzBound (
final double dblLeft1,
final double dblRight1,
final double dblLeft2,
final double dblRight2)
throws Exception
{
SingleSequenceAgnosticMetrics ssam1 = new BoundedUniform (
dblLeft1,
dblRight1
).sequence (
50000,
null
);
SingleSequenceAgnosticMetrics ssam2 = new BoundedUniform (
dblLeft2,
dblRight2
).sequence (
50000,
null
);
DualSequenceAgnosticMetrics dsam = new DualSequenceAgnosticMetrics (
ssam1,
ssam2
);
System.out.println ("\t| " +
FormatUtil.FormatDouble (ssam1.empiricalExpectation(), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (ssam2.empiricalExpectation(), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (dsam.cauchySchwarzAbsoluteBound(), 1, 4, 1.) + " |"
);
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
System.out.println();
System.out.println ("\t|-----------------------------|");
System.out.println ("\t| MEAN #1 | MEAN #2 | JOINT |");
System.out.println ("\t|-----------------------------|");
CauchySchwartzBound (0., 1., 0., 1.);
CauchySchwartzBound (0., 1., 1., 2.);
CauchySchwartzBound (0., 1., 2., 3.);
CauchySchwartzBound (0., 1., 3., 4.);
CauchySchwartzBound (0., 1., 4., 5.);
System.out.println ("\t|-----------------------------|");
}
}