Uses of Interface
net.finmath.randomnumbers.RandomNumberGenerator
Package
Description
Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation
of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
Random number generators for samples of uniform distributed random variables and generators and transformation for other distriburtions.
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Uses of RandomNumberGenerator in net.finmath.montecarlo
ModifierConstructorDescriptionBrownianMotionFromRandomNumberGenerator
(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, RandomNumberGenerator randomNumberGenerator) Construct a Brownian motion.BrownianMotionFromRandomNumberGenerator
(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, RandomNumberGenerator randomNumberGenerator, RandomVariableFactory randomVariableFactory) Construct a Brownian motion. -
Uses of RandomNumberGenerator in net.finmath.randomnumbers
Modifier and TypeInterfaceDescriptioninterface
Interface for a 1-dimensional random number generator generating a sequence of vectors sampling the space [0,1]Modifier and TypeClassDescriptionclass
Class implementingRandomNumberGenerator
by the acceptance rejection method.class
Implements a multi-dimensional Halton sequence (quasi random numbers) with the given bases.class
Wrapper class for java.security.SecureRandom.class
Mersenne Twister random number generator.class
Implements a multi-dimensional Sobol sequence.class
Implements a multi-dimensional Sobol sequence.class
A van-der-Corput sequence \( \{ x_{i} \vert i = 0, 1, \ldots \} \) implementingRandomNumberGenerator1D
.ModifierConstructorDescriptionAcceptanceRejectionRandomNumberGenerator
(RandomNumberGenerator uniformRandomNumberGenerator, DoubleUnaryOperator targetDensity, DoubleUnaryOperator referenceDensity, DoubleUnaryOperator referenceDistributionICDF, double acceptanceLevel)