Class 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,...,Wn) where Wi is a Brownian motion and Wi, Wj 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 Detail

      • 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.