net.finmath.montecarlo.cuda.alternative

Class BrownianMotionJavaRandom

java.lang.Object

net.finmath.montecarlo.cuda.alternative.BrownianMotionJavaRandom

All Implemented Interfaces:

Serializable, BrownianMotion, IndependentIncrements

public class BrownianMotionJavaRandom
extends Object
implements BrownianMotion, Serializable

Implementation of a time-discrete n-dimensional Brownian motion W = (W₁,...,W_n) where W_i is a Brownian motion and W_i, W_j are independent for i not equal j. For a correlated Brownian motion with see CorrelatedBrownianMotion. Here the dimension n is called factors since this Brownian motion is used to generate multi-dimensional multi-factor Ito processes and there one might use a different number of factors to generate Ito processes of different dimension. The quadruppel (time discretization, number of factors, number of paths, seed) defines the state of an object of this class, i.e., BrownianMotionLazyInit for which there parameters agree, generate the same random numbers. The class is immutable and thread safe. It uses lazy initialization.

Version:

1.6

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
BrownianMotionJavaRandom(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed) Construct a Brownian motion.
BrownianMotionJavaRandom(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, AbstractRandomVariableFactory randomVariableFactory) Construct a Brownian motion.

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object o)
RandomVariable	getBrownianIncrement(int timeIndex, int factor)
BrownianMotion	getCloneWithModifiedSeed(int seed)
BrownianMotion	getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
RandomVariable	getIncrement(int timeIndex, int factor)
int	getNumberOfFactors()
int	getNumberOfPaths()
RandomVariable	getRandomVariableForConstant(double value)
int	getSeed()
TimeDiscretization	getTimeDiscretization()
int	hashCode()
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.IndependentIncrements

getIncrement

Constructor Detail

BrownianMotionJavaRandom

public BrownianMotionJavaRandom(TimeDiscretization timeDiscretization,
                                int numberOfFactors,
                                int numberOfPaths,
                                int seed,
                                AbstractRandomVariableFactory randomVariableFactory)

Construct a Brownian motion. The constructor allows to set the factory to be used for the construction of random variables. This allows to generate Brownian increments represented by different implementations of the RandomVariable (e.g. the RandomVariableFromFloatArray internally using float representations).

Parameters:

timeDiscretization - The time discretization used for the Brownian increments.

numberOfFactors - Number of factors.

numberOfPaths - Number of paths to simulate.

seed - The seed of the random number generator.

randomVariableFactory - Factory to be used to create random variable.

BrownianMotionJavaRandom

public BrownianMotionJavaRandom(TimeDiscretization timeDiscretization,
                                int numberOfFactors,
                                int numberOfPaths,
                                int seed)

Construct a Brownian motion.

Parameters:

timeDiscretization - The time discretization used for the Brownian increments.

numberOfFactors - Number of factors.

numberOfPaths - Number of paths to simulate.

seed - The seed of the random number generator.

Method Detail

getCloneWithModifiedSeed

public BrownianMotion getCloneWithModifiedSeed(int seed)

Specified by:

getCloneWithModifiedSeed in interface BrownianMotion

Specified by:

getCloneWithModifiedSeed in interface IndependentIncrements

getCloneWithModifiedTimeDiscretization

public BrownianMotion getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)

Specified by:

getCloneWithModifiedTimeDiscretization in interface BrownianMotion

Specified by:

getCloneWithModifiedTimeDiscretization in interface IndependentIncrements

getBrownianIncrement

public RandomVariable getBrownianIncrement(int timeIndex,
                                           int factor)

Specified by:

getBrownianIncrement in interface BrownianMotion

getTimeDiscretization

public TimeDiscretization getTimeDiscretization()

Specified by:

getTimeDiscretization in interface BrownianMotion

Specified by:

getTimeDiscretization in interface IndependentIncrements

getNumberOfFactors

public int getNumberOfFactors()

Specified by:

getNumberOfFactors in interface BrownianMotion

Specified by:

getNumberOfFactors in interface IndependentIncrements

getNumberOfPaths

public int getNumberOfPaths()

Specified by:

getNumberOfPaths in interface BrownianMotion

Specified by:

getNumberOfPaths in interface IndependentIncrements

getRandomVariableForConstant

public RandomVariable getRandomVariableForConstant(double value)

Specified by:

getRandomVariableForConstant in interface BrownianMotion

Specified by:

getRandomVariableForConstant in interface IndependentIncrements

getSeed

public int getSeed()

Returns:

Returns the seed.

toString

public String toString()

Overrides:

toString in class Object

equals

public boolean equals(Object o)

Overrides:

equals in class Object

getIncrement

public RandomVariable getIncrement(int timeIndex,
                                   int factor)

Specified by:

getIncrement in interface IndependentIncrements

hashCode

public int hashCode()

Overrides:

hashCode in class Object