Module net.finmath.lib

Package net.finmath.montecarlo

Class BrownianMotionLazyInit

java.lang.Object

net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers

net.finmath.montecarlo.BrownianMotionLazyInit

All Implemented Interfaces:

Serializable, BrownianMotion, IndependentIncrements

@Deprecated
public class BrownianMotionLazyInit
extends BrownianMotionFromMersenneRandomNumbers

Deprecated.

Refactor rename. Please use BrownianMotionFromMersenneRandomNumbers instead.

Implementation of a time-discrete n-dimensional Brownian motion W = (W₁,...,W_n) where W_i is a Brownian motion and W_i, W_j are independent for i not equal j. For a correlated Brownian motion with see CorrelatedBrownianMotion. Here the dimension n is called factors since this Brownian motion is used to generate multi-dimensional multi-factor Ito processes and there one might use a different number of factors to generate Ito processes of different dimension. The quadruppel (time discretization, number of factors, number of paths, seed) defines the state of an object of this class, i.e., BrownianMotionLazyInit for which there parameters agree, generate the same random numbers. The class is immutable and thread safe. It uses lazy initialization.

Version:

1.6

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
BrownianMotionLazyInit(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed)	Deprecated. Construct a Brownian motion.
BrownianMotionLazyInit(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, RandomVariableFactory randomVariableFactory)	Deprecated. Construct a Brownian motion.

Method Summary

Methods inherited from class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers

equals, getBrownianIncrement, getCloneWithModifiedSeed, getCloneWithModifiedTimeDiscretization, getIncrement, getNumberOfFactors, getNumberOfPaths, getRandomVariableForConstant, getSeed, getTimeDiscretization, hashCode, toString

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.BrownianMotion

getBrownianIncrement

Methods inherited from interface net.finmath.montecarlo.IndependentIncrements

getIncrement

Constructor Details

BrownianMotionLazyInit

public BrownianMotionLazyInit(TimeDiscretization timeDiscretization,
 int numberOfFactors,
 int numberOfPaths,
 int seed,
 RandomVariableFactory randomVariableFactory)

Deprecated.

Construct a Brownian motion. The constructor allows to set the factory to be used for the construction of random variables. This allows to generate Brownian increments represented by different implementations of the RandomVariable (e.g. the RandomVariableFromFloatArray internally using float representations).

Parameters:

timeDiscretization - The time discretization used for the Brownian increments.

numberOfFactors - Number of factors.

numberOfPaths - Number of paths to simulate.

seed - The seed of the random number generator.

randomVariableFactory - Factory to be used to create random variable.

BrownianMotionLazyInit

public BrownianMotionLazyInit(TimeDiscretization timeDiscretization,
 int numberOfFactors,
 int numberOfPaths,
 int seed)

Deprecated.

Construct a Brownian motion.

Parameters:

timeDiscretization - The time discretization used for the Brownian increments.

numberOfFactors - Number of factors.

numberOfPaths - Number of paths to simulate.

seed - The seed of the random number generator.