Module net.finmath.lib
Package net.finmath.montecarlo

Class VarianceGammaProcess

java.lang.Object
net.finmath.montecarlo.VarianceGammaProcess
All Implemented Interfaces:
Serializable, IndependentIncrements
public class VarianceGammaProcess extends Object implements IndependentIncrements, Serializable
Implementation of a time-discrete n-dimensional Variance Gamma process via Brownian subordination through a Gamma Process. To simulate the Variance Gamma process with paramters \( (\sigma,\theta,\nu) \) we proceed in two steps:
  • we simulate the path of a GammaProcess with parameters \( \frac{1}{\nu} and \nu \)
  • use the GammaProcess as a subordinator for a Brownian motion with drift
\( \theta \Gamma(t) + \sigma W(\Gamma(t)) \) The class is immutable and thread safe. It uses lazy initialization.
Version:
1.0
Author:
Alessandro Gnoatto
See Also:
Serialized Form

  • Constructor Details

    • VarianceGammaProcess

      public VarianceGammaProcess​(double sigma, double nu, double theta, TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed)

  • Method Details

    • getIncrement

      public RandomVariable getIncrement​(int timeIndex, int factor)
      Description copied from interface: IndependentIncrements
      Return the increment for a given timeIndex and given factor. The method returns the random variable Δ Xj(ti) := Xj(ti+1)-X(ti) for the given time index i and a given factor (index) j
      Specified by:
      getIncrement in interface IndependentIncrements
      Parameters:
      timeIndex - The time index (corresponding to the this class's time discretization)
      factor - The index of the factor (independent scalar increment)
      Returns:
      The factor (component) of the increments (a random variable)

    • getSigma

      public double getSigma()
      Returns:
      the sigma

    • getNu

      public double getNu()
      Returns:
      the nu

    • getTheta

      public double getTheta()
      Returns:
      the theta

    • getBrownianMotion

      public BrownianMotion getBrownianMotion()
      Returns:
      the Brownian motion

    • getGammaProcess

      public GammaProcess getGammaProcess()
      Returns:
      the Gamma subordinator

    • getTimeDiscretization

      public TimeDiscretization getTimeDiscretization()
      Description copied from interface: IndependentIncrements
      Returns the time discretization used for this set of time-discrete Brownian increments.
      Specified by:
      getTimeDiscretization in interface IndependentIncrements
      Returns:
      The time discretization used for this set of time-discrete Brownian increments.

    • getNumberOfFactors

      public int getNumberOfFactors()
      Description copied from interface: IndependentIncrements
      Returns the number of factors.
      Specified by:
      getNumberOfFactors in interface IndependentIncrements
      Returns:
      The number of factors.

    • getNumberOfPaths

      public int getNumberOfPaths()
      Description copied from interface: IndependentIncrements
      Returns the number of paths.
      Specified by:
      getNumberOfPaths in interface IndependentIncrements
      Returns:
      The number of paths.

    • getRandomVariableForConstant

      public RandomVariable getRandomVariableForConstant​(double value)
      Description copied from interface: IndependentIncrements
      Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this BrownianMotion.
      Specified by:
      getRandomVariableForConstant in interface IndependentIncrements
      Parameters:
      value - The constant value to be used for initialized the random variable.
      Returns:
      A new random variable.

    • getCloneWithModifiedSeed

      public IndependentIncrements getCloneWithModifiedSeed​(int seed)
      Description copied from interface: IndependentIncrements
      Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator. This method is useful if you like to make Monte-Carlo samplings by changing the seed.
      Specified by:
      getCloneWithModifiedSeed in interface IndependentIncrements
      Parameters:
      seed - New value for the seed.
      Returns:
      New object implementing BrownianMotion.

    • getCloneWithModifiedTimeDiscretization

      public IndependentIncrements getCloneWithModifiedTimeDiscretization​(TimeDiscretization newTimeDiscretization)
      Description copied from interface: IndependentIncrements
      Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
      Specified by:
      getCloneWithModifiedTimeDiscretization in interface IndependentIncrements
      Parameters:
      newTimeDiscretization - New time discretization
      Returns:
      New object implementing BrownianMotion.