net.finmath.montecarlo

Class BrownianMotion

java.lang.Object

net.finmath.montecarlo.BrownianMotion

All Implemented Interfaces:

Serializable, BrownianMotionInterface

public class BrownianMotion
extends Object
implements BrownianMotionInterface, 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., BrownianMotion 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
BrownianMotion(TimeDiscretizationInterface timeDiscretization, int numberOfFactors, int numberOfPaths, int seed) Construct a Brownian motion.

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object o)
RandomVariableInterface	getBrownianIncrement(int timeIndex, int factor) Return the Brownian increment for a given timeIndex.
BrownianMotionInterface	getCloneWithModifiedSeed(int seed) Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different seed for the random number generator.
BrownianMotionInterface	getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization) Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different time discretization.
int	getNumberOfFactors() Returns the number of factors.
int	getNumberOfPaths() Returns the number of paths.
RandomVariableInterface	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 BrownianMotionInterface.
int	getSeed()
TimeDiscretizationInterface	getTimeDiscretization() Returns the time discretization used for this set of time-discrete Brownian increments.
int	hashCode()
String	toString()

Methods inherited from class java.lang.Object

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

Constructor Detail

BrownianMotion

public BrownianMotion(TimeDiscretizationInterface 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 BrownianMotionInterface getCloneWithModifiedSeed(int seed)

Description copied from interface: BrownianMotionInterface

Return a new object implementing BrownianMotionInterface 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 BrownianMotionInterface

Parameters:

seed - New value for the seed.

Returns:

New object implementing BrownianMotionInterface.

getCloneWithModifiedTimeDiscretization

public BrownianMotionInterface getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)

Description copied from interface: BrownianMotionInterface

Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different time discretization.

Specified by:

getCloneWithModifiedTimeDiscretization in interface BrownianMotionInterface

Parameters:

newTimeDiscretization - New time discretization

Returns:

New object implementing BrownianMotionInterface.

getBrownianIncrement

public RandomVariableInterface getBrownianIncrement(int timeIndex,
                                                    int factor)

Description copied from interface: BrownianMotionInterface

Return the Brownian increment for a given timeIndex. The method returns the random variable Δ W_j(t_i) := W_j(t_i+1)-W(t_i) for the given time index i and a given factor (index) j

Specified by:

getBrownianIncrement in interface BrownianMotionInterface

Parameters:

timeIndex - The time index (corresponding to the this class's time discretization).

factor - The index of the factor (independent scalar Brownian increment).

Returns:

The factor (component) of the Brownian increments (a random variable).

getTimeDiscretization

public TimeDiscretizationInterface getTimeDiscretization()

Description copied from interface: BrownianMotionInterface

Returns the time discretization used for this set of time-discrete Brownian increments.

Specified by:

getTimeDiscretization in interface BrownianMotionInterface

Returns:

The time discretization used for this set of time-discrete Brownian increments.

getNumberOfFactors

public int getNumberOfFactors()

Description copied from interface: BrownianMotionInterface

Returns the number of factors.

Specified by:

getNumberOfFactors in interface BrownianMotionInterface

Returns:

The number of factors.

getNumberOfPaths

public int getNumberOfPaths()

Description copied from interface: BrownianMotionInterface

Returns the number of paths.

Specified by:

getNumberOfPaths in interface BrownianMotionInterface

Returns:

The number of paths.

getRandomVariableForConstant

public RandomVariableInterface getRandomVariableForConstant(double value)

Description copied from interface: BrownianMotionInterface

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 BrownianMotionInterface.

Specified by:

getRandomVariableForConstant in interface BrownianMotionInterface

Parameters:

value - The constant value to be used for initialized the random variable.

Returns:

A new random variable.

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

hashCode

public int hashCode()

Overrides:

hashCode in class Object