net.finmath.montecarlo

Class CorrelatedBrownianMotion

java.lang.Object

net.finmath.montecarlo.CorrelatedBrownianMotion

All Implemented Interfaces:

BrownianMotionInterface

public class CorrelatedBrownianMotion
extends Object
implements BrownianMotionInterface

Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings. The i-th factor of this BrownianMotion is dW_i where dW_i = f_i,1 dU₁ + ... + f_i,m dU_m for i = 1, ..., n. Here f_i,j are the factor loadings, an n × m-matrix. If dU_j are independent, then dW_i dW_k = ρ_i,k dt where ρ_i,k = f_i · f_j. Note: It is possible to create this class with a Brownian motion U which is already correlated. The factors loadings will be applied accordingly.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
CorrelatedBrownianMotion(BrownianMotionInterface uncollelatedFactors, double[][] factorLoadings) Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings.

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.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CorrelatedBrownianMotion

public CorrelatedBrownianMotion(BrownianMotionInterface uncollelatedFactors,
                                double[][] factorLoadings)

Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings. The i-th factor of this BrownianMotion is dW_i where dW_i = f_i,1 dU₁ + ... + f_i,m dU_m for i = 1, ..., n. Here f_i,j are the factor loadings, an n × m-matrix. If dU_j are independent, then dW_i dW_k = ρ_i,k dt where ρ_i,k = f_i · f_j.

Parameters:

uncollelatedFactors - The Brownian motion providing the (uncorrelated) factors dU_j.

factorLoadings - The factor loadings f_i,j.

Method Detail

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.

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.