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

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 Details

    • getIncrement

      default RandomVariable[] 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.