Module net.finmath.lib

Package net.finmath.montecarlo

Class BrownianMotionFromMersenneRandomNumbers

java.lang.Object

net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers

All Implemented Interfaces:

Serializable, BrownianMotion, IndependentIncrements

Direct Known Subclasses:

BrownianMotionLazyInit

public class BrownianMotionFromMersenneRandomNumbers
extends Object
implements BrownianMotion, Serializable

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 quadruple (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
BrownianMotionFromMersenneRandomNumbers(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed)	Construct a Brownian motion.
BrownianMotionFromMersenneRandomNumbers(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, RandomVariableFactory randomVariableFactory)	Construct a Brownian motion.

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object o)
RandomVariable	getBrownianIncrement(int timeIndex, int factor)	Return the Brownian increment for a given timeIndex.
BrownianMotion	getCloneWithModifiedSeed(int seed)	Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator.
BrownianMotion	getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)	Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
RandomVariable	getIncrement(int timeIndex, int factor)	Return the increment for a given timeIndex and given factor.
int	getNumberOfFactors()	Returns the number of factors.
int	getNumberOfPaths()	Returns the number of paths.
RandomVariable	getRandomVariableForConstant(double value)	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.
int	getSeed()
TimeDiscretization	getTimeDiscretization()	Returns the time discretization used for this set of time-discrete Brownian increments.
int	hashCode()
String	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

BrownianMotionFromMersenneRandomNumbers

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

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.

BrownianMotionFromMersenneRandomNumbers

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

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.

Method Details

getCloneWithModifiedSeed

public BrownianMotion getCloneWithModifiedSeed(int seed)

Description copied from interface: BrownianMotion

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 BrownianMotion

Specified by:

getCloneWithModifiedSeed in interface IndependentIncrements

Parameters:

seed - New value for the seed.

Returns:

New object implementing BrownianMotion.

getCloneWithModifiedTimeDiscretization

public BrownianMotion getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)

Description copied from interface: BrownianMotion

Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.

Specified by:

getCloneWithModifiedTimeDiscretization in interface BrownianMotion

Specified by:

getCloneWithModifiedTimeDiscretization in interface IndependentIncrements

Parameters:

newTimeDiscretization - New time discretization

Returns:

New object implementing BrownianMotion.

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 X_j(t_i) := X_j(t_i+1)-X(t_i) for the given time index i and a given factor (index) j

Specified by:

getIncrement in interface BrownianMotion

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)

getBrownianIncrement

public RandomVariable getBrownianIncrement(int timeIndex,
 int factor)

Description copied from interface: BrownianMotion

Return the Brownian increment for a given timeIndex. The method returns the random variable Δ W_j(t_i) := W_j(t_i+1)-W(t_i) for the given time index i and a given factor (index) j

Specified by:

getBrownianIncrement in interface BrownianMotion

Parameters:

timeIndex - The time index (corresponding to the this class's time discretization).

factor - The index of the factor (independent scalar Brownian increment).

Returns:

The factor (component) of the Brownian increments (a random variable).

getTimeDiscretization

public TimeDiscretization getTimeDiscretization()

Description copied from interface: BrownianMotion

Returns the time discretization used for this set of time-discrete Brownian increments.

Specified by:

getTimeDiscretization in interface BrownianMotion

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: BrownianMotion

Returns the number of factors.

Specified by:

getNumberOfFactors in interface BrownianMotion

Specified by:

getNumberOfFactors in interface IndependentIncrements

Returns:

The number of factors.

getNumberOfPaths

public int getNumberOfPaths()

Description copied from interface: BrownianMotion

Returns the number of paths.

Specified by:

getNumberOfPaths in interface BrownianMotion

Specified by:

getNumberOfPaths in interface IndependentIncrements

Returns:

The number of paths.

getRandomVariableForConstant

public RandomVariable getRandomVariableForConstant(double value)

Description copied from interface: BrownianMotion

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 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.

getSeed

public int getSeed()

Returns:

Returns the seed.

toString

public String toString()

Overrides:

toString in class Object

equals

public boolean equals(Object o)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object