Module net.finmath.lib

Package net.finmath.integration

Class MonteCarloIntegrator

java.lang.Object

net.finmath.integration.AbstractRealIntegral

net.finmath.integration.MonteCarloIntegrator

All Implemented Interfaces:

RealIntegral

public class MonteCarloIntegrator
extends AbstractRealIntegral

A simple integrator using Monte-Carlo integration. The constructor has an optional argument to allow parallel function evaluation. In that case, the integration rule uses Java 8 parallel streams to evaluate.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
MonteCarloIntegrator(double lowerBound, double upperBound, int numberOfEvaluationPoints)	Create an integrator using Monte-Carlo.
MonteCarloIntegrator(double lowerBound, double upperBound, int numberOfEvaluationPoints, boolean useParallelEvaluation)	Create an integrator using Monte-Carlo.
MonteCarloIntegrator(double lowerBound, double upperBound, int numberOfEvaluationPoints, int seed, boolean useParallelEvaluation)	Create an integrator using Monte-Carlo integration.

Method Summary

Modifier and Type	Method	Description
int	getNumberOfEvaluationPoints()
int	getSeed()
double	integrate(DoubleUnaryOperator integrand)

Methods inherited from class net.finmath.integration.AbstractRealIntegral

getLowerBound, getUpperBound

Methods inherited from class java.lang.Object

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

Constructor Detail

MonteCarloIntegrator

public MonteCarloIntegrator(double lowerBound,
                            double upperBound,
                            int numberOfEvaluationPoints,
                            int seed,
                            boolean useParallelEvaluation)

Create an integrator using Monte-Carlo integration.

Parameters:

lowerBound - Lower bound of the integral.

upperBound - Upper bound of the integral.

numberOfEvaluationPoints - Maximum number of evaluation points to be used, must be greater or equal to 3.

seed - The seed of the random number generator.

useParallelEvaluation - If true, the integration rule will perform parallel evaluation of the integrand.

MonteCarloIntegrator

public MonteCarloIntegrator(double lowerBound,
                            double upperBound,
                            int numberOfEvaluationPoints,
                            boolean useParallelEvaluation)

Create an integrator using Monte-Carlo.

Parameters:

lowerBound - Lower bound of the integral.

upperBound - Upper bound of the integral.

numberOfEvaluationPoints - Maximum number of evaluation points to be used, must be greater or equal to 3.

useParallelEvaluation - If true, the integration rule will perform parallel evaluation of the integrand.

MonteCarloIntegrator

public MonteCarloIntegrator(double lowerBound,
                            double upperBound,
                            int numberOfEvaluationPoints)

Create an integrator using Monte-Carlo.

Parameters:

lowerBound - Lower bound of the integral.

upperBound - Upper bound of the integral.

numberOfEvaluationPoints - Maximum number of evaluation points to be used.

Method Detail

integrate

public double integrate(DoubleUnaryOperator integrand)

Specified by:

integrate in interface RealIntegral

Specified by:

integrate in class AbstractRealIntegral

getNumberOfEvaluationPoints

public int getNumberOfEvaluationPoints()

getSeed

public int getSeed()