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|-----------------------------|");
    }
}