Class MertonJumpProcess

java.lang.Object
net.finmath.montecarlo.MertonJumpProcess
All Implemented Interfaces:
Serializable, IndependentIncrements

public class MertonJumpProcess extends Object implements IndependentIncrements, Serializable
Implementation of the compound Poisson process for the Merton jump diffusion model.
Author:
Christian Fries, Alessandro Gnoatto
See Also:
  • Constructor Details

    • MertonJumpProcess

      public MertonJumpProcess(double jumpIntensity, double jumpSizeMean, double jumpSizeStDev, TimeDiscretization timeDiscretization, int numberOfPaths, int seed)
      Constructs a Merton Jump Process for Monte Carlo simulation.
      Parameters:
      jumpIntensity - The jump intensity.
      jumpSizeMean - The mean of the jump size distribution.
      jumpSizeStDev - The std dev of the jump size distribution.
      timeDiscretization - The time discretization of the process.
      numberOfPaths - The number of path.
      seed - The seed for the random number generator.
  • Method Details

    • 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 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)
    • getTimeDiscretization

      public TimeDiscretization getTimeDiscretization()
      Description copied from interface: IndependentIncrements
      Returns the time discretization used for this set of time-discrete Brownian increments.
      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: IndependentIncrements
      Returns the number of factors.
      Specified by:
      getNumberOfFactors in interface IndependentIncrements
      Returns:
      The number of factors.
    • getNumberOfPaths

      public int getNumberOfPaths()
      Description copied from interface: IndependentIncrements
      Returns the number of paths.
      Specified by:
      getNumberOfPaths in interface IndependentIncrements
      Returns:
      The number of paths.
    • getRandomVariableForConstant

      public RandomVariable getRandomVariableForConstant(double value)
      Description copied from interface: IndependentIncrements
      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 IndependentIncrements
      Parameters:
      value - The constant value to be used for initialized the random variable.
      Returns:
      A new random variable.
    • getCloneWithModifiedSeed

      public IndependentIncrements getCloneWithModifiedSeed(int seed)
      Description copied from interface: IndependentIncrements
      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 IndependentIncrements
      Parameters:
      seed - New value for the seed.
      Returns:
      New object implementing BrownianMotion.
    • getCloneWithModifiedTimeDiscretization

      public IndependentIncrements getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
      Description copied from interface: IndependentIncrements
      Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
      Specified by:
      getCloneWithModifiedTimeDiscretization in interface IndependentIncrements
      Parameters:
      newTimeDiscretization - New time discretization
      Returns:
      New object implementing BrownianMotion.
    • getJumpIntensity

      public double getJumpIntensity()
      Returns:
      the jumpIntensity
    • getJumpSizeMean

      public double getJumpSizeMean()
      Returns:
      the jumpSizeMean
    • getJumpSizeStDev

      public double getJumpSizeStDev()
      Returns:
      the jumpSizeStDev