Module net.finmath.lib

Package net.finmath.montecarlo

Interface BrownianMotion

All Superinterfaces:

IndependentIncrements

All Known Implementing Classes:

BrownianBridge, BrownianMotionFromMersenneRandomNumbers, BrownianMotionFromRandomNumberGenerator, BrownianMotionLazyInit, BrownianMotionView, BrownianMotionWithControlVariate, CorrelatedBrownianMotion

public interface BrownianMotion
extends IndependentIncrements

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	Description
default RandomVariable	getBrownianIncrement(double time, int factor)	Return the Brownian increment for a given timeIndex.
RandomVariable	getBrownianIncrement(int timeIndex, int factor)	Return the Brownian increment for a given timeIndex.
BrownianMotion	getCloneWithModifiedSeed(int seed)	Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator.
BrownianMotion	getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)	Return a new object implementing BrownianMotion 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.
RandomVariable	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 BrownianMotion.
TimeDiscretization	getTimeDiscretization()	Returns the time discretization used for this set of time-discrete Brownian increments.

Methods inherited from interface net.finmath.montecarlo.IndependentIncrements

getIncrement, getIncrement

Method Detail

getBrownianIncrement

RandomVariable 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).

getBrownianIncrement

default RandomVariable getBrownianIncrement(double time,
                                            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, where the time index is derived via getTimeDiscretization().getTimeIndex(time)

Parameters:

time - The time (has to map to a time in 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

TimeDiscretization getTimeDiscretization()

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

Specified by:

getTimeDiscretization in interface IndependentIncrements

Returns:

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

getNumberOfFactors

int getNumberOfFactors()

Returns the number of factors.

Specified by:

getNumberOfFactors in interface IndependentIncrements

Returns:

The number of factors.

getNumberOfPaths

int getNumberOfPaths()

Returns the number of paths.

Specified by:

getNumberOfPaths in interface IndependentIncrements

Returns:

The number of paths.

getRandomVariableForConstant

RandomVariable 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 BrownianMotion.

Specified by:

getRandomVariableForConstant in interface IndependentIncrements

Parameters:

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

Returns:

A new random variable.

getCloneWithModifiedSeed

BrownianMotion getCloneWithModifiedSeed(int seed)

Return a new object implementing BrownianMotion 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 IndependentIncrements

Parameters:

seed - New value for the seed.

Returns:

New object implementing BrownianMotion.

getCloneWithModifiedTimeDiscretization

BrownianMotion getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)

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

Specified by:

getCloneWithModifiedTimeDiscretization in interface IndependentIncrements

Parameters:

newTimeDiscretization - New time discretization

Returns:

New object implementing BrownianMotion.