Module net.finmath.lib
Package net.finmath.montecarlo

Class GammaProcess

java.lang.Object
net.finmath.montecarlo.GammaProcess
All Implemented Interfaces:
Serializable, IndependentIncrements
public class GammaProcess
extends Object
implements IndependentIncrements, Serializable
Implementation of a time-discrete n-dimensional Gamma process \( \Gamma = (\Gamma_{1},\ldots,\Gamma_{n}) \), where \( \Gamma_{i} \) is a Gamma process and \( \Gamma_{i} \), \( \Gamma_{j} \) are independent for i not equal j. The increments \( \Delta \Gamma \) are Gamma distributed with shape parameter shape * (t-s) for \( t-s = \Delta t \) and scale parameter 1. Here the dimension n is called factors since this Gamma process is used to generate multi-dimensional multi-factor Levy processes and there one might use a different number of factors to generate Levy processes of different dimension. The quintruppel (time discretization, number of factors, number of paths, seed, shape) defines the state of an object of this class, i.e., GammaProcess 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 Details

    • GammaProcess

      public GammaProcess​(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, double shape, double scale)
      Construct a Gamma process with a given shape parameter.
      Parameters:
      timeDiscretization - The time discretization used for the Gamma increments.
      numberOfFactors - Number of factors.
      numberOfPaths - Number of paths to simulate.
      seed - The seed of the random number generator.
      shape - The shape parameter of the Gamma distribution.
      scale - The scale parameter of the Gamma distribution.

    • GammaProcess

      public GammaProcess​(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, double shape)
      Construct a Gamma process with a given shape parameter.
      Parameters:
      timeDiscretization - The time discretization used for the Gamma increments.
      numberOfFactors - Number of factors.
      numberOfPaths - Number of paths to simulate.
      seed - The seed of the random number generator.
      shape - The shape parameter of the Gamma distribution.

  • Method Details