Module net.finmath.cuda
Package net.finmath.cuda.montecarlo.alternative

Class RandomVariableCudaWithFinalizer

  • All Implemented Interfaces:
    Serializable, RandomVariable
    public class RandomVariableCudaWithFinalizer
extends Object
implements RandomVariable
    The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation. It is thus essentially a vector of floating point numbers - the realizations - together with a double - the time. The index of the vector represents path. The class may also be used for non-stochastic quantities which may potentially be stochastic (e.g. volatility). If only non-stochastic random variables are involved in an operation the class uses optimized code. Accesses performed exclusively through the interface RandomVariable is thread safe (and does not mutate the class). This implementation uses floats for the realizations (consuming less memory compared to using doubles). However, the calculation of the average is performed using double precision.
    Version:
    1.8
    Author:
    Christian Fries
    See Also:
    Serialized Form