org.jquantlib.math.randomnumbers

Class InverseCumulativeRsg<USG extends UniformRandomSequenceGenerator,IC extends InverseCumulative>

java.lang.Object

org.jquantlib.math.randomnumbers.InverseCumulativeRsg<USG,IC>

All Implemented Interfaces:

UniformRandomSequenceGenerator

public class InverseCumulativeRsg<USG extends UniformRandomSequenceGenerator,IC extends InverseCumulative>
extends java.lang.Object
implements UniformRandomSequenceGenerator

Inverse cumulative random sequence generator

It uses a sequence of uniform deviate in (0, 1) as the source of cumulative distribution values. Then an inverse cumulative distribution is used to calculate the distribution deviate. The uniform deviate sequence is supplied by USG.

Constructor Summary

Constructors

Constructor and Description
InverseCumulativeRsg(USG ursg)
InverseCumulativeRsg(USG ursg, IC ic)

Method Summary

Modifier and Type	Method and Description
int	dimension()
Sample<double[]>	lastSequence()
long[]	nextInt32Sequence() Once JVM does not support unsigned fixed arithmetic, we use 64bit variables as containers for 32bit values in order to reduce the complexity and performance overhead of certain fixed arithmetic operations.
Sample<double[]>	nextSequence()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

InverseCumulativeRsg

public InverseCumulativeRsg(USG ursg)

InverseCumulativeRsg

public InverseCumulativeRsg(USG ursg,
                            IC ic)

Method Detail

dimension

public int dimension()

Specified by:

dimension in interface UniformRandomSequenceGenerator

nextInt32Sequence

public long[] nextInt32Sequence()

Description copied from interface: UniformRandomSequenceGenerator

Once JVM does not support unsigned fixed arithmetic, we use 64bit variables as containers for 32bit values in order to reduce the complexity and performance overhead of certain fixed arithmetic operations.

From the user's perspective, it's easier to understand that a certain long variable contains values from 0 to 2^32 than understand that a certain int variable contains negative values that should be converted to it's two's complement and extended to a long variable before use.

Specified by:

nextInt32Sequence in interface UniformRandomSequenceGenerator

Returns:

an array of unsigned 32bit wide numbers encapsulated in a 64bit containers

See Also:

Bug 4504839, Java and Unsigned Types, Two's complement

nextSequence

public Sample<double[]> nextSequence()

Specified by:

nextSequence in interface UniformRandomSequenceGenerator

Returns:

next sample from the Gaussian distribution

lastSequence

public final Sample<double[]> lastSequence()

Specified by:

lastSequence in interface UniformRandomSequenceGenerator