net.finmath.montecarlo

Interface BrownianMotionInterface

All Known Implementing Classes:

BrownianBridge, BrownianMotion, BrownianMotionView, CorrelatedBrownianMotion

public interface BrownianMotionInterface

Interface description of a time-discrete n-dimensional Brownian motion W = (W₁,...,W_n) where W_i is a Brownian motion. 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.

Version:

1.3

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
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.
TimeDiscretizationInterface	getTimeDiscretization() Returns the time discretization used for this set of time-discrete Brownian increments.

Method Detail

getBrownianIncrement

RandomVariableInterface getBrownianIncrement(int timeIndex,
                                             int factor)

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

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

TimeDiscretizationInterface 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

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.

Parameters:

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

Returns:

A new random variable.

getCloneWithModifiedSeed

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. 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 BrownianMotionInterface.

getCloneWithModifiedTimeDiscretization

BrownianMotionInterface getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)

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

Parameters:

newTimeDiscretization - New time discretization

Returns:

New object implementing BrownianMotionInterface.