RandomVariable (finmath lib 2.0.1 API)

java.lang.Object
- net.finmath.montecarlo.RandomVariable

All Implemented Interfaces:

Serializable, RandomVariableInterface
```
public class RandomVariable
extends Object
implements RandomVariableInterface
```
The class RandomVariable 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 doubles - 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 RandomVariableInterface is thread safe (and does not mutate the class).

Version:

1.8

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors
Constructor and Description
`RandomVariable(double value)` Create a non stochastic random variable, i.e. a constant.
`RandomVariable(double time, double value)` Create a non stochastic random variable, i.e. a constant.
`RandomVariable(double time, double[] realisations)` Create a stochastic random variable.
`RandomVariable(double time, int numberOfPath, double value)` Create a non stochastic random variable, i.e. a constant.
`RandomVariable(RandomVariableInterface value)` Create a random variable from a given other implementation of `RandomVariableInterface`.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`RandomVariableInterface`	`abs()` Applies x → Math.abs(x), i.e. x → \|x\| to this random variable.
`RandomVariableInterface`	`accrue(RandomVariableInterface rate, double periodLength)` Applies x → x * (1.0 + rate * periodLength) to this random variable.
`RandomVariableInterface`	`add(double value)` Applies x → x + value to this random variable.
`RandomVariableInterface`	`add(RandomVariableInterface randomVariable)` Applies x → x+randomVariable to this random variable.
`RandomVariableInterface`	`addProduct(RandomVariableInterface factor1, double factor2)` Applies x → x + factor1 * factor2
`RandomVariableInterface`	`addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2)` Applies x → x + factor1 * factor2
`RandomVariableInterface`	`addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)` Applies x → x + numerator / denominator
`RandomVariableInterface`	`apply(UnivariateFunction function)` Applies x → function.value(x) to this random variable.
`RandomVariableInterface`	`barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative)` Applies x → (trigger ≥ 0 ?
`RandomVariableInterface`	`barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative)` Applies x → (trigger ≥ 0 ?
`RandomVariableInterface`	`cache()` Return a cacheable version of this object (often a self-reference).
`RandomVariableInterface`	`cap(double cap)` Applies x → min(x,cap) to this random variable.
`RandomVariableInterface`	`cap(RandomVariableInterface randomVariable)` Applies x → min(x,cap) to this random variable.
`RandomVariableInterface`	`cos()` Applies x → cos(x) to this random variable.
`RandomVariableInterface`	`discount(RandomVariableInterface rate, double periodLength)` Applies x → x / (1.0 + rate * periodLength) to this random variable.
`RandomVariableInterface`	`div(double value)` Applies x → x / value to this random variable.
`RandomVariableInterface`	`div(RandomVariableInterface randomVariable)` Applies x → x/randomVariable to this random variable.
`boolean`	`equals(RandomVariableInterface randomVariable)` Compare this random variable with a given one
`RandomVariable`	`exp()` Applies x → exp(x) to this random variable.
`RandomVariableInterface`	`expand(int numberOfPaths)`
`RandomVariableInterface`	`floor(double floor)` Applies x → max(x,floor) to this random variable.
`RandomVariableInterface`	`floor(RandomVariableInterface randomVariable)` Applies x → max(x,floor) to this random variable.
`double`	`get(int pathOrState)` Evaluate at a given path or state.
`double`	`getAverage()` Returns the expectation of this random variable.
`double`	`getAverage(RandomVariableInterface probabilities)` Returns the expectation of this random variable for a given probability measure (weight).
`double`	`getFiltrationTime()` Returns the filtration time.
`double[]`	`getHistogram(double[] intervalPoints)` Generates a Histogram based on the realizations stored in this random variable.
`double[][]`	`getHistogram(int numberOfPoints, double standardDeviations)` Generates a histogram based on the realizations stored in this random variable using interval points calculated from the arguments, see also `RandomVariableInterface.getHistogram(double[])`.
`double`	`getMax()` Returns the maximum value attained by this random variable.
`double`	`getMin()` Returns the minimum value attained by this random variable.
`RandomVariable`	`getMutableCopy()`
`double`	`getQuantile(double quantile)` Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure.
`double`	`getQuantile(double quantile, RandomVariableInterface probabilities)` Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure.
`double`	`getQuantileExpectation(double quantileStart, double quantileEnd)` Returns the expectation over a quantile for this given random variable.
`double[]`	`getRealizations()` Returns a vector representing the realization of this random variable.
`double[]`	`getRealizations(int numberOfPaths)` Returns the realizations as double array.
`double`	`getStandardDeviation()` Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
`double`	`getStandardDeviation(RandomVariableInterface probabilities)` Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
`double`	`getStandardError()` Returns the standard error (discretization error) of this random variable.
`double`	`getStandardError(RandomVariableInterface probabilities)` Returns the standard error (discretization error) of this random variable.
`double`	`getVariance()` Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
`double`	`getVariance(RandomVariableInterface probabilities)` Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
`RandomVariableInterface`	`invert()` Applies x → 1/x to this random variable.
`boolean`	`isDeterministic()` Check if this random variable is deterministic in the sense that it is represented by a single double value.
`RandomVariableInterface`	`isNaN()` Applies x → (Double.isNaN(x) ?
`RandomVariable`	`log()` Applies x → log(x) to this random variable.
`RandomVariableInterface`	`mult(double value)` Applies x → x * value to this random variable.
`RandomVariableInterface`	`mult(RandomVariableInterface randomVariable)` Applies x → x*randomVariable to this random variable.
`RandomVariableInterface`	`pow(double exponent)` Applies x → pow(x,exponent) to this random variable.
`RandomVariableInterface`	`sin()` Applies x → sin(x) to this random variable.
`int`	`size()` Returns the number of paths or states.
`RandomVariableInterface`	`sqrt()` Applies x → sqrt(x) to this random variable.
`RandomVariableInterface`	`squared()` Applies x → x * x to this random variable.
`RandomVariableInterface`	`sub(double value)` Applies x → x - value to this random variable.
`RandomVariableInterface`	`sub(RandomVariableInterface randomVariable)` Applies x → x-randomVariable to this random variable.
`RandomVariableInterface`	`subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)` Applies x → x - numerator / denominator
`String`	`toString()`

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

- Constructor Detail
  - RandomVariable
```
public RandomVariable(RandomVariableInterface value)
```
    Create a random variable from a given other implementation of RandomVariableInterface.
    
    Parameters:
    
    value - Object implementing RandomVariableInterface.
  - RandomVariable
```
public RandomVariable(double value)
```
    Create a non stochastic random variable, i.e. a constant.
    
    Parameters:
    
    value - the value, a constant.
  - RandomVariable
```
public RandomVariable(double time,
                      double value)
```
    Create a non stochastic random variable, i.e. a constant.
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    value - the value, a constant.
  - RandomVariable
```
public RandomVariable(double time,
                      int numberOfPath,
                      double value)
```
    Create a non stochastic random variable, i.e. a constant.
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    numberOfPath - The number of paths.
    
    value - the value, a constant.
  - RandomVariable
```
public RandomVariable(double time,
                      double[] realisations)
```
    Create a stochastic random variable. Important: The realizations array is not cloned (not defensive copy is made).
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    realisations - the vector of realizations.
    
    To dos:
    
    A future version should perform a defensive copy.
- Method Detail
  - getMutableCopy
```
public RandomVariable getMutableCopy()
```
    Specified by:
    
    getMutableCopy in interface RandomVariableInterface
  - equals
```
public boolean equals(RandomVariableInterface randomVariable)
```
    Description copied from interface: RandomVariableInterface
    
    Compare this random variable with a given one
    
    Specified by:
    
    equals in interface RandomVariableInterface
    
    Parameters:
    
    randomVariable - Random variable to compare with.
    
    Returns:
    
    True if this random variable and the given one are equal, otherwise false
  - getFiltrationTime
```
public double getFiltrationTime()
```
    Description copied from interface: RandomVariableInterface
    
    Returns the filtration time.
    
    Specified by:
    
    getFiltrationTime in interface RandomVariableInterface
    
    Returns:
    
    The filtration time.
  - get
```
public double get(int pathOrState)
```
    Description copied from interface: RandomVariableInterface
    
    Evaluate at a given path or state.
    
    Specified by:
    
    get in interface RandomVariableInterface
    
    Parameters:
    
    pathOrState - Index of the path or state.
    
    Returns:
    
    Value of this random variable at the given path or state.
  - size
```
public int size()
```
    Description copied from interface: RandomVariableInterface
    
    Returns the number of paths or states.
    
    Specified by:
    
    size in interface RandomVariableInterface
    
    Returns:
    
    Number of paths or states.
  - getMin
```
public double getMin()
```
    Description copied from interface: RandomVariableInterface
    
    Returns the minimum value attained by this random variable.
    
    Specified by:
    
    getMin in interface RandomVariableInterface
    
    Returns:
    
    The minimum value.
  - getMax
```
public double getMax()
```
    Description copied from interface: RandomVariableInterface
    
    Returns the maximum value attained by this random variable.
    
    Specified by:
    
    getMax in interface RandomVariableInterface
    
    Returns:
    
    The maximum value.
  - getAverage
```
public double getAverage()
```
    Description copied from interface: RandomVariableInterface
    
    Returns the expectation of this random variable.
    
    Specified by:
    
    getAverage in interface RandomVariableInterface
    
    Returns:
    
    The average assuming equi-distribution.
  - getAverage
```
public double getAverage(RandomVariableInterface probabilities)
```
    Description copied from interface: RandomVariableInterface
    
    Returns the expectation of this random variable for a given probability measure (weight). The result of this method is (mathematically) equivalent to
    this.mult(probabilities).getAverage() / probabilities.getAverage()
    while the internal implementation may differ, e.g. being more efficient by performing multiplication and summation in the same loop.
    
    Specified by:
    
    getAverage in interface RandomVariableInterface
    
    Parameters:
    
    probabilities - The probability weights.
    
    Returns:
    
    The average assuming the given probability weights.
  - getVariance
```
public double getVariance()
```
    Description copied from interface: RandomVariableInterface
    
    Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
    
    Specified by:
    
    getVariance in interface RandomVariableInterface
    
    Returns:
    
    The average assuming equi-distribution.
  - getVariance
```
public double getVariance(RandomVariableInterface probabilities)
```
    Description copied from interface: RandomVariableInterface
    
    Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
    
    Specified by:
    
    getVariance in interface RandomVariableInterface
    
    Parameters:
    
    probabilities - The probability weights.
    
    Returns:
    
    The average assuming the given probability weights.
  - getStandardDeviation
```
public double getStandardDeviation()
```
    Description copied from interface: RandomVariableInterface
    
    Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
    
    Specified by:
    
    getStandardDeviation in interface RandomVariableInterface
    
    Returns:
    
    The standard deviation assuming equi-distribution.
  - getStandardDeviation
```
public double getStandardDeviation(RandomVariableInterface probabilities)
```
    Description copied from interface: RandomVariableInterface
    
    Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
    
    Specified by:
    
    getStandardDeviation in interface RandomVariableInterface
    
    Parameters:
    
    probabilities - The probability weights.
    
    Returns:
    
    The standard error assuming the given probability weights.
  - getStandardError
```
public double getStandardError()
```
    Description copied from interface: RandomVariableInterface
    
    Returns the standard error (discretization error) of this random variable. For a Monte-Carlo simulation this is 1/Math.sqrt(n) * RandomVariableInterface.getStandardDeviation().
    
    Specified by:
    
    getStandardError in interface RandomVariableInterface
    
    Returns:
    
    The standard error assuming equi-distribution.
  - getStandardError
```
public double getStandardError(RandomVariableInterface probabilities)
```
    Description copied from interface: RandomVariableInterface
    
    Returns the standard error (discretization error) of this random variable. For a Monte-Carlo simulation this is 1/Math.sqrt(n) * RandomVariableInterface.getStandardDeviation(RandomVariableInterface).
    
    Specified by:
    
    getStandardError in interface RandomVariableInterface
    
    Parameters:
    
    probabilities - The probability weights.
    
    Returns:
    
    The standard error assuming the given probability weights.
  - getQuantile
```
public double getQuantile(double quantile)
```
    Description copied from interface: RandomVariableInterface
    
    Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure. The method will consider picewise constant values (with constant extrapolation) in the random variable. That is getQuantile(0) and getQuantile(1) will return the largest and smallest value.
    
    Specified by:
    
    getQuantile in interface RandomVariableInterface
    
    Parameters:
    
    quantile - The quantile level.
    
    Returns:
    
    The quantile value assuming equi-distribution.
  - getQuantile
```
public double getQuantile(double quantile,
                          RandomVariableInterface probabilities)
```
    Description copied from interface: RandomVariableInterface
    
    Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure.
    
    Specified by:
    
    getQuantile in interface RandomVariableInterface
    
    Parameters:
    
    quantile - The quantile level.
    
    probabilities - The probability weights.
    
    Returns:
    
    The quantile value assuming the given probability weights.
  - getQuantileExpectation
```
public double getQuantileExpectation(double quantileStart,
                                     double quantileEnd)
```
    Description copied from interface: RandomVariableInterface
    Returns the expectation over a quantile for this given random variable. The method will consider picewise constant values (with constant extrapolation) in the random variable. For a ≤ b the method returns (Σ_{a ≤ i ≤ b} x[i]) / (b-a+1), where
    - a = min(max((n+1) * quantileStart - 1, 0, 1);
    - b = min(max((n+1) * quantileEnd - 1, 0, 1);
    - n = this.size();
    For quantileStart > quantileEnd the method returns getQuantileExpectation(quantileEnd, quantileStart).
    Specified by:
    
    getQuantileExpectation in interface RandomVariableInterface
    
    Parameters:
    
    quantileStart - Lower bound of the integral.
    
    quantileEnd - Upper bound of the integral.
    
    Returns:
    
    The (conditional) expectation of the values between two quantile levels assuming equi-distribution.
  - getHistogram
```
public double[] getHistogram(double[] intervalPoints)
```
    Description copied from interface: RandomVariableInterface
    Generates a Histogram based on the realizations stored in this random variable. The returned result array's length is intervalPoints.length+1.
    - The value result[0] equals the relative frequency of values observed in the interval ( -infinity, intervalPoints[0] ].
    - The value result[i] equals the relative frequency of values observed in the interval ( intervalPoints[i-1], intervalPoints[i] ].
    - The value result[n] equals the relative frequency of values observed in the interval ( intervalPoints[n-1], infinity ).
    where n = intervalPoints.length. Note that the intervals are open on the left, closed on the right, i.e., result[i] contains the number of elements x with intervalPoints[i-1] < x ≤ intervalPoints[i]. Thus, is you have a random variable which only takes values contained in the (sorted) array possibleValues, then result = getHistogram(possibleValues) returns an array where result[i] is the relative frequency of occurrence of possibleValues[i]. The sum of result[i] over all i is equal to 1, except for uninitialized random variables where all values are 0.
    Specified by:
    
    getHistogram in interface RandomVariableInterface
    
    Parameters:
    
    intervalPoints - Array of ascending values defining the interval boundaries.
    
    Returns:
    
    A histogram with respect to a provided interval.
  - getHistogram
```
public double[][] getHistogram(int numberOfPoints,
                               double standardDeviations)
```
    Description copied from interface: RandomVariableInterface
    Generates a histogram based on the realizations stored in this random variable using interval points calculated from the arguments, see also RandomVariableInterface.getHistogram(double[]). The interval points are set with equal distance over an the interval of the specified standard deviation. The interval points used are x[i] = mean + alpha[i] * standardDeviations * sigma where
    - i = 0,..., numberOfPoints-1,
    - alpha[i] = (i - (numberOfPoints-1)/2.0) / ((numberOfPoints-1)/2.0),
    - mean = RandomVariableInterface.getAverage(),
    - sigma = RandomVariableInterface.getStandardDeviation().
    The methods result is an array of two vectors, where result[0] are the intervals center points ('anchor points') and result[1] contains the relative frequency for the interval. The 'anchor point' for the interval (-infinity, x[0]) is x[0] - 1/2 (x[1]-x[0]) and the 'anchor point' for the interval (x[n], infinity) is x[n] + 1/2 (x[n]-x[n-1]). Here n = numberOfPoints is the number of interval points.
    Specified by:
    
    getHistogram in interface RandomVariableInterface
    
    Parameters:
    
    numberOfPoints - The number of interval points.
    
    standardDeviations - The number of standard deviations defining the discretization radius.
    
    Returns:
    
    A histogram, given as double[2][], where result[0] are the center point of the intervals and result[1] is the value of RandomVariableInterface.getHistogram(double[]) for the given the interval points. The length of result[0] and result[1] is numberOfPoints+1.
  - isDeterministic
```
public boolean isDeterministic()
```
    Description copied from interface: RandomVariableInterface
    
    Check if this random variable is deterministic in the sense that it is represented by a single double value. Note that the methods returns false, if the random variable is represented by a vector where each element has the same value.
    
    Specified by:
    
    isDeterministic in interface RandomVariableInterface
    
    Returns:
    
    True if this random variable is deterministic.
  - expand
```
public RandomVariableInterface expand(int numberOfPaths)
```
  - cache
```
public RandomVariableInterface cache()
```
    Description copied from interface: RandomVariableInterface
    
    Return a cacheable version of this object (often a self-reference). This method should be called when you store the object for later use, i.e., assign it, or when the object is consumed in a function, but later used also in another function.
    
    Specified by:
    
    cache in interface RandomVariableInterface
    
    Returns:
    
    A cacheable version of this object (often a self-reference).
  - getRealizations
```
public double[] getRealizations()
```
    Description copied from interface: RandomVariableInterface
    
    Returns a vector representing the realization of this random variable. This method is merely useful for analysis. Its interpretation depends on the context (Monte-Carlo or lattice). The method does not expose an internal data model.
    
    Specified by:
    
    getRealizations in interface RandomVariableInterface
    
    Returns:
    
    Vector of realizations of this random variable.
  - getRealizations
```
public double[] getRealizations(int numberOfPaths)
```
    Returns the realizations as double array. If the random variable is deterministic, then it is expanded to the given number of paths.
    
    Specified by:
    
    getRealizations in interface RandomVariableInterface
    
    Parameters:
    
    numberOfPaths - Number of paths.
    
    Returns:
    
    The realization as double array.
  - apply
```
public RandomVariableInterface apply(UnivariateFunction function)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → function.value(x) to this random variable.
    
    Specified by:
    
    apply in interface RandomVariableInterface
    
    Parameters:
    
    function - A univariate function mapping doubles to doubles.
    
    Returns:
    
    New random variable with the result of the function.
  - cap
```
public RandomVariableInterface cap(double cap)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → min(x,cap) to this random variable. It returns a new random variable with the result.
    
    Specified by:
    
    cap in interface RandomVariableInterface
    
    Parameters:
    
    cap - The cap.
    
    Returns:
    
    New random variable with the result of the function.
  - floor
```
public RandomVariableInterface floor(double floor)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → max(x,floor) to this random variable. It returns a new random variable with the result.
    
    Specified by:
    
    floor in interface RandomVariableInterface
    
    Parameters:
    
    floor - The floor.
    
    Returns:
    
    New random variable with the result of the function.
  - add
```
public RandomVariableInterface add(double value)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x + value to this random variable. It returns a new random variable with the result.
    
    Specified by:
    
    add in interface RandomVariableInterface
    
    Parameters:
    
    value - The value to add.
    
    Returns:
    
    New random variable with the result of the function.
  - sub
```
public RandomVariableInterface sub(double value)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x - value to this random variable.
    
    Specified by:
    
    sub in interface RandomVariableInterface
    
    Parameters:
    
    value - The value to subtract.
    
    Returns:
    
    New random variable with the result of the function.
  - mult
```
public RandomVariableInterface mult(double value)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x * value to this random variable.
    
    Specified by:
    
    mult in interface RandomVariableInterface
    
    Parameters:
    
    value - The value to multiply.
    
    Returns:
    
    New random variable with the result of the function.
  - div
```
public RandomVariableInterface div(double value)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x / value to this random variable.
    
    Specified by:
    
    div in interface RandomVariableInterface
    
    Parameters:
    
    value - The value to divide.
    
    Returns:
    
    New random variable with the result of the function.
  - pow
```
public RandomVariableInterface pow(double exponent)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → pow(x,exponent) to this random variable.
    
    Specified by:
    
    pow in interface RandomVariableInterface
    
    Parameters:
    
    exponent - The exponent.
    
    Returns:
    
    New random variable with the result of the function.
  - squared
```
public RandomVariableInterface squared()
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x * x to this random variable.
    
    Specified by:
    
    squared in interface RandomVariableInterface
    
    Returns:
    
    New random variable with the result of the function.
  - sqrt
```
public RandomVariableInterface sqrt()
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → sqrt(x) to this random variable.
    
    Specified by:
    
    sqrt in interface RandomVariableInterface
    
    Returns:
    
    New random variable with the result of the function.
  - exp
```
public RandomVariable exp()
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → exp(x) to this random variable.
    
    Specified by:
    
    exp in interface RandomVariableInterface
    
    Returns:
    
    New random variable with the result of the function.
  - log
```
public RandomVariable log()
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → log(x) to this random variable.
    
    Specified by:
    
    log in interface RandomVariableInterface
    
    Returns:
    
    New random variable with the result of the function.
  - sin
```
public RandomVariableInterface sin()
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → sin(x) to this random variable.
    
    Specified by:
    
    sin in interface RandomVariableInterface
    
    Returns:
    
    New random variable with the result of the function.
  - cos
```
public RandomVariableInterface cos()
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → cos(x) to this random variable.
    
    Specified by:
    
    cos in interface RandomVariableInterface
    
    Returns:
    
    New random variable with the result of the function.
  - add
```
public RandomVariableInterface add(RandomVariableInterface randomVariable)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x+randomVariable to this random variable.
    
    Specified by:
    
    add in interface RandomVariableInterface
    
    Parameters:
    
    randomVariable - A random variable (compatible with this random variable).
    
    Returns:
    
    New random variable with the result of the function.
  - sub
```
public RandomVariableInterface sub(RandomVariableInterface randomVariable)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x-randomVariable to this random variable.
    
    Specified by:
    
    sub in interface RandomVariableInterface
    
    Parameters:
    
    randomVariable - A random variable (compatible with this random variable).
    
    Returns:
    
    New random variable with the result of the function.
  - mult
```
public RandomVariableInterface mult(RandomVariableInterface randomVariable)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x*randomVariable to this random variable.
    
    Specified by:
    
    mult in interface RandomVariableInterface
    
    Parameters:
    
    randomVariable - A random variable (compatible with this random variable).
    
    Returns:
    
    New random variable with the result of the function.
  - div
```
public RandomVariableInterface div(RandomVariableInterface randomVariable)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x/randomVariable to this random variable.
    
    Specified by:
    
    div in interface RandomVariableInterface
    
    Parameters:
    
    randomVariable - A random variable (compatible with this random variable).
    
    Returns:
    
    New random variable with the result of the function.
  - cap
```
public RandomVariableInterface cap(RandomVariableInterface randomVariable)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → min(x,cap) to this random variable.
    
    Specified by:
    
    cap in interface RandomVariableInterface
    
    Parameters:
    
    randomVariable - The cap. A random variable (compatible with this random variable).
    
    Returns:
    
    New random variable with the result of the function.
  - floor
```
public RandomVariableInterface floor(RandomVariableInterface randomVariable)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → max(x,floor) to this random variable.
    
    Specified by:
    
    floor in interface RandomVariableInterface
    
    Parameters:
    
    randomVariable - The floor. A random variable (compatible with this random variable).
    
    Returns:
    
    New random variable with the result of the function.
  - accrue
```
public RandomVariableInterface accrue(RandomVariableInterface rate,
                                      double periodLength)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x * (1.0 + rate * periodLength) to this random variable.
    
    Specified by:
    
    accrue in interface RandomVariableInterface
    
    Parameters:
    
    rate - The accruing rate. A random variable (compatible with this random variable).
    
    periodLength - The period length
    
    Returns:
    
    New random variable with the result of the function.
  - discount
```
public RandomVariableInterface discount(RandomVariableInterface rate,
                                        double periodLength)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x / (1.0 + rate * periodLength) to this random variable.
    
    Specified by:
    
    discount in interface RandomVariableInterface
    
    Parameters:
    
    rate - The discounting rate. A random variable (compatible with this random variable).
    
    periodLength - The period length
    
    Returns:
    
    New random variable with the result of the function.
  - barrier
```
public RandomVariableInterface barrier(RandomVariableInterface trigger,
                                       RandomVariableInterface valueIfTriggerNonNegative,
                                       RandomVariableInterface valueIfTriggerNegative)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → (trigger ≥ 0 ? valueIfTriggerNonNegative : valueIfTriggerNegative)
    
    Specified by:
    
    barrier in interface RandomVariableInterface
    
    Parameters:
    
    trigger - The trigger. A random variable (compatible with this random variable).
    
    valueIfTriggerNonNegative - The value used if the trigger is greater or equal 0
    
    valueIfTriggerNegative - The value used if the trigger is less than 0
    
    Returns:
    
    New random variable with the result of the function.
  - barrier
```
public RandomVariableInterface barrier(RandomVariableInterface trigger,
                                       RandomVariableInterface valueIfTriggerNonNegative,
                                       double valueIfTriggerNegative)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → (trigger ≥ 0 ? valueIfTriggerNonNegative : valueIfTriggerNegative)
    
    Specified by:
    
    barrier in interface RandomVariableInterface
    
    Parameters:
    
    trigger - The trigger. A random variable (compatible with this random variable).
    
    valueIfTriggerNonNegative - The value used if the trigger is greater or equal 0
    
    valueIfTriggerNegative - The value used if the trigger is less than 0
    
    Returns:
    
    New random variable with the result of the function.
  - invert
```
public RandomVariableInterface invert()
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → 1/x to this random variable.
    
    Specified by:
    
    invert in interface RandomVariableInterface
    
    Returns:
    
    New random variable with the result of the function.
  - abs
```
public RandomVariableInterface abs()
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → Math.abs(x), i.e. x → |x| to this random variable.
    
    Specified by:
    
    abs in interface RandomVariableInterface
    
    Returns:
    
    New random variable with the result of the function.
  - addProduct
```
public RandomVariableInterface addProduct(RandomVariableInterface factor1,
                                          double factor2)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x + factor1 * factor2
    
    Specified by:
    
    addProduct in interface RandomVariableInterface
    
    Parameters:
    
    factor1 - The factor 1. A random variable (compatible with this random variable).
    
    factor2 - The factor 2.
    
    Returns:
    
    New random variable with the result of the function.
  - addProduct
```
public RandomVariableInterface addProduct(RandomVariableInterface factor1,
                                          RandomVariableInterface factor2)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x + factor1 * factor2
    
    Specified by:
    
    addProduct in interface RandomVariableInterface
    
    Parameters:
    
    factor1 - The factor 1. A random variable (compatible with this random variable).
    
    factor2 - The factor 2. A random variable (compatible with this random variable).
    
    Returns:
    
    New random variable with the result of the function.
  - addRatio
```
public RandomVariableInterface addRatio(RandomVariableInterface numerator,
                                        RandomVariableInterface denominator)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x + numerator / denominator
    
    Specified by:
    
    addRatio in interface RandomVariableInterface
    
    Parameters:
    
    numerator - The numerator of the ratio to add. A random variable (compatible with this random variable).
    
    denominator - The denominator of the ratio to add. A random variable (compatible with this random variable).
    
    Returns:
    
    New random variable with the result of the function.
  - subRatio
```
public RandomVariableInterface subRatio(RandomVariableInterface numerator,
                                        RandomVariableInterface denominator)
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → x - numerator / denominator
    
    Specified by:
    
    subRatio in interface RandomVariableInterface
    
    Parameters:
    
    numerator - The numerator of the ratio to sub. A random variable (compatible with this random variable).
    
    denominator - The denominator of the ratio to sub. A random variable (compatible with this random variable).
    
    Returns:
    
    New random variable with the result of the function.
  - isNaN
```
public RandomVariableInterface isNaN()
```
    Description copied from interface: RandomVariableInterface
    
    Applies x → (Double.isNaN(x) ? 1.0 : 0.0)
    
    Specified by:
    
    isNaN in interface RandomVariableInterface
    
    Returns:
    
    A random variable which is 1.0 for all states that are NaN.
  - toString
```
public String toString()
```
    Overrides:
    
    toString in class Object

Class RandomVariable

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Constructor Detail

RandomVariable

RandomVariable

RandomVariable

RandomVariable

RandomVariable

Method Detail

getMutableCopy

equals

getFiltrationTime

get

size

getMin

getMax

getAverage

getAverage

getVariance

getVariance

getStandardDeviation

getStandardDeviation

getStandardError

getStandardError

getQuantile

getQuantile

getQuantileExpectation

getHistogram

getHistogram

isDeterministic

expand

cache

getRealizations

getRealizations

apply

cap

floor

add

sub

mult

div

pow

squared

sqrt

exp

log

sin

cos

add

sub

mult

div

cap

floor

accrue

discount

barrier

barrier

invert

abs

addProduct

addProduct

addRatio

subRatio

isNaN

toString