# Interface IndependentIncrements

All Known Subinterfaces:
BrownianMotion
All Known Implementing Classes:
BrownianBridge, BrownianMotionFromMersenneRandomNumbers, BrownianMotionFromRandomNumberGenerator, BrownianMotionLazyInit, BrownianMotionView, BrownianMotionWithControlVariate, CorrelatedBrownianMotion, GammaProcess, IndependentIncrementsFromICDF, JumpProcessIncrements, MertonJumpProcess, VarianceGammaProcess

public interface IndependentIncrements
Interface description of a time-discrete n-dimensional stochastic process $$X = (X_{1},\ldots,X_{n})$$ provided by independent increments $$\Delta X(t_{i}) = X(t_{i+1})-X(t_{i})$$. Here the dimension n is called factors since this process is used to generate multi-dimensional multi-factor processes and there one might use a different number of factors to generate processes of different dimension.
Version:
1.3
Author:
Christian Fries
• ## Method Summary

Modifier and Type
Method
Description
IndependentIncrements
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.
IndependentIncrements
getCloneWithModifiedTimeDiscretization​(TimeDiscretization newTimeDiscretization)
Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
default RandomVariable[]
getIncrement​(int timeIndex)
Return the increment for a given timeIndex.
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.
TimeDiscretization
getTimeDiscretization()
Returns the time discretization used for this set of time-discrete Brownian increments.
• ## Method Details

• ### getIncrement

default  getIncrement(int timeIndex)
Return the increment for a given timeIndex. The method returns the random variable vector Δ X(ti) := X(ti+1)-X(ti) for the given time index i.
Parameters:
timeIndex - The time index (corresponding to the this class's time discretization)
Returns:
The vector-valued increment (as a vector (array) of random variables).
• ### getIncrement

RandomVariable getIncrement(int timeIndex, int factor)
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
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)
• ### getTimeDiscretization

TimeDiscretization getTimeDiscretization()
Returns the time discretization used for this set of time-discrete Brownian increments.
Returns:
The time discretization used for this set of time-discrete Brownian increments.
• ### getNumberOfFactors

int getNumberOfFactors()
Returns the number of factors.
Returns:
The number of factors.
• ### getNumberOfPaths

int getNumberOfPaths()
Returns the number of paths.
Returns:
The number of paths.
• ### getRandomVariableForConstant

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.
Parameters:
value - The constant value to be used for initialized the random variable.
Returns:
A new random variable.
• ### getCloneWithModifiedSeed

IndependentIncrements 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. This method is useful if you like to make Monte-Carlo samplings by changing the seed.
Parameters:
seed - New value for the seed.
Returns:
New object implementing BrownianMotion.
• ### getCloneWithModifiedTimeDiscretization

IndependentIncrements getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
Parameters:
newTimeDiscretization - New time discretization
Returns:
New object implementing BrownianMotion.