# 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

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.
• ## 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)