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

Class BrownianMotionView

  • All Implemented Interfaces:
    BrownianMotion, IndependentIncrements
    public class BrownianMotionView
extends Object
implements BrownianMotion
    A Brownian motion which is defined by some factors of a given Brownian motion, i.e., for a given multi-factorial Brownian motion W, this Brownian motion is given by ( W(i[0]), W(i[1]) W(i[2]), ..., W(i[n-1]) ) where i is a given array of integers. You may use this class to change the number of factors and/or the order of a given Brownian motion. You may use this, to create a link between two models, where each model requires an individual object of type BrownianMotion.
    Version:
    1.0
    Author:
    Christian Fries

    • Constructor Detail

      • BrownianMotionView

        public BrownianMotionView​(BrownianMotion brownianMotion,
                          Integer[] factors)
        Create a sub-view on a Brownian motion. The result is an object implementing BrownianMotion, i.e. a Brownian motion, which maps factor indices to possilby other factors of the given Brownian motion. You may use this class to change the number of factors and/or the order.
        Parameters:
        brownianMotion - A given Brownian motion.
        factors - A map of indices i → j for i = 0,1,2,3,... given as an array of j's

    • Method Detail

      • getBrownianIncrement

        public RandomVariable getBrownianIncrement​(int timeIndex,
                                           int factor)
        Description copied from interface: BrownianMotion
        Return the Brownian increment for a given timeIndex. The method returns the random variable Δ Wj(ti) := Wj(ti+1)-W(ti) for the given time index i and a given factor (index) j
        Specified by:
        getBrownianIncrement in interface BrownianMotion
        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).

      • getCloneWithModifiedSeed

        public BrownianMotion getCloneWithModifiedSeed​(int seed)
        Description copied from interface: BrownianMotion
        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 BrownianMotion
        Specified by:
        getCloneWithModifiedSeed in interface IndependentIncrements
        Parameters:
        seed - New value for the seed.
        Returns:
        New object implementing BrownianMotion.

      • getIncrement

        public RandomVariable getIncrement​(int timeIndex,
                                   int factor)
        Description copied from interface: IndependentIncrements
        Return the increment for a given timeIndex and given factor. The method returns the random variable Δ Xj(ti) := Xj(ti+1)-X(ti) for the given time index i and a given factor (index) j
        Specified by:
        getIncrement in interface IndependentIncrements
        Parameters:
        timeIndex - The time index (corresponding to the this class's time discretization)
        factor - The index of the factor (independent scalar increment)
        Returns:
        The factor (component) of the increments (a random variable)