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

Class CorrelatedBrownianMotion

java.lang.Object
net.finmath.montecarlo.CorrelatedBrownianMotion
All Implemented Interfaces:
BrownianMotion, IndependentIncrements
public class CorrelatedBrownianMotion extends Object implements BrownianMotion
Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings. The i-th factor of this BrownianMotionLazyInit is dWi where dWi = fi,1 dU1 + ... + fi,m dUm for i = 1, ..., n. Here fi,j are the factor loadings, an n × m-matrix. If dUj are independent, then dWi dWk = ρi,k dt where ρi,k = fi · fj. Note: It is possible to create this class with a Brownian motion U which is already correlated. The factors loadings will be applied accordingly.
Version:
1.0
Author:
Christian Fries

  • Constructor Details

    • CorrelatedBrownianMotion

      public CorrelatedBrownianMotion​(BrownianMotion uncollelatedFactors, double[][] factorLoadings)
      Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings. The i-th factor of this BrownianMotionLazyInit is dWi where dWi = fi,1 dU1 + ... + fi,m dUm for i = 1, ..., n. Here fi,j are the factor loadings, an n × m-matrix. If dUj are independent, then dWi dWk = ρi,k dt where ρi,k = fi · fj.
      Parameters:
      uncollelatedFactors - The Brownian motion providing the (uncorrelated) factors dUj.
      factorLoadings - The factor loadings fi,j.

  • Method Details

    • 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 Wj(ti) := Wj(ti+1)-W(ti) 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.

    • 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 Xj(ti) := Xj(ti+1)-X(ti) 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)