MultivariateSequenceGenerator.java

package org.drip.sequence.random;

/*
 * -*- 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
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * Copyright (C) 2015 Lakshmi Krishnamurthy
 * 
 *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
 *      calculations, 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 main 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 Library
 *  - Numerical Optimizer Library
 *  - Machine Learning Library
 *  - Spline Builder Library
 * 
 *  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
 *  - 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>MultivariateSequenceGenerator</i> implements the Multivariate Random Sequence Generator Functionality.
 * 
 * <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/StatisticalLearningLibrary.md">Statistical Learning Library</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sequence">Sequence</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sequence/random">Random</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class MultivariateSequenceGenerator {
    private double[][] _aadblCholesky = null;
    private double[][] _aadblCorrelation = null;
    private org.drip.sequence.random.UnivariateSequenceGenerator[] _aUSG = null;

    /**
     * MultivariateSequenceGenerator Constructor
     * 
     * @param aUSG Array of Univariate Sequence Generators
     * @param aadblCorrelation The Correlation Matrix
     * 
     * @throws java.lang.Exception Thrown if the Inputs are invalid
     */

    public MultivariateSequenceGenerator (
        final org.drip.sequence.random.UnivariateSequenceGenerator[] aUSG,
        final double[][] aadblCorrelation)
        throws java.lang.Exception
    {
        if (null == (_aUSG = aUSG) || null == (_aadblCorrelation = aadblCorrelation))
            throw new java.lang.Exception ("MultivariateSequenceGenerator ctr: Invalid Inputs");

        _aadblCholesky = org.drip.numerical.linearalgebra.Matrix.CholeskyBanachiewiczFactorization
            (aadblCorrelation);

        int iNumVariate = aUSG.length;

        if (null == _aadblCholesky || null == _aadblCholesky[0] || iNumVariate != _aadblCholesky.length ||
            iNumVariate != _aadblCholesky[0].length)
            throw new java.lang.Exception ("MultivariateSequenceGenerator ctr: Invalid Inputs");

        for (int i = 0; i < iNumVariate; ++i) {
            if (null == _aUSG[i])
                throw new java.lang.Exception ("MultivariateSequenceGenerator ctr: Invalid Inputs");

            for (int j = 0; j < iNumVariate; ++j) {
                if (!org.drip.numerical.common.NumberUtil.IsValid (_aadblCorrelation[i][j]))
                    throw new java.lang.Exception ("MultivariateSequenceGenerator ctr: Invalid Inputs");
            }
        }
    }

    /**
     * Retrieve the Array of Univariate Sequence Generators
     * 
     * @return Array of Univariate Sequence Generators
     */

    public org.drip.sequence.random.UnivariateSequenceGenerator[] usg()
    {
        return _aUSG;
    }

    /**
     * Retrieve the Correlation Matrix
     * 
     * @return The Correlation Matrix
     */

    public double[][] correlation()
    {
        return _aadblCorrelation;
    }

    /**
     * Retrieve the Cholesky Factorial
     * 
     * @return The Cholesky Factorial
     */

    public double[][] cholesky()
    {
        return _aadblCholesky;
    }

    /**
     * Retrieve the Number of Variates
     * 
     * @return The Number of Variates
     */

    public int numVariate()
    {
        return _aUSG.length;
    }

    /**
     * Generate the Set of Multivariate Random Numbers according to the specified rule
     * 
     * @return The Set of Multivariate Random Numbers
     */

    public double[] random()
    {
        int iNumVariate = _aUSG.length;
        double[] adblRandom = new double[iNumVariate];
        double[] adblUncorrelatedRandom = new double[iNumVariate];

        for (int i = 0; i < iNumVariate; ++i)
            adblUncorrelatedRandom[i] = _aUSG[i].random();

        for (int i = 0; i < iNumVariate; ++i) {
            adblRandom[i] = 0.;

            for (int j = 0; j < iNumVariate; ++j)
                adblRandom[i] += _aadblCholesky[i][j] * adblUncorrelatedRandom[j];
        }

        return adblRandom;
    }
}