- java.lang.Object
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- net.finmath.montecarlo.CorrelatedBrownianMotion
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- All Implemented Interfaces:
BrownianMotion
,IndependentIncrements
public class CorrelatedBrownianMotion extends Object implements BrownianMotion
Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings. The i-th factor of this BrownianMotionLazyInit is dWi where dWi = fi,1 dU1 + ... + fi,m dUm for i = 1, ..., n. Here fi,j are the factor loadings, an n × m-matrix. If dUj are independent, then dWi dWk = ρi,k dt where ρi,k = fi · fj. Note: It is possible to create this class with a Brownian motion U which is already correlated. The factors loadings will be applied accordingly.- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description CorrelatedBrownianMotion(BrownianMotion uncollelatedFactors, double[][] factorLoadings)
Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description 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.RandomVariable
getIncrement(int timeIndex, int factor)
Return the increment for a given timeIndex and given factor.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 class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Methods inherited from interface net.finmath.montecarlo.BrownianMotion
getBrownianIncrement
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Methods inherited from interface net.finmath.montecarlo.IndependentIncrements
getIncrement
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Constructor Detail
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CorrelatedBrownianMotion
public CorrelatedBrownianMotion(BrownianMotion uncollelatedFactors, double[][] factorLoadings)
Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings. The i-th factor of this BrownianMotionLazyInit is dWi where dWi = fi,1 dU1 + ... + fi,m dUm for i = 1, ..., n. Here fi,j are the factor loadings, an n × m-matrix. If dUj are independent, then dWi dWk = ρi,k dt where ρi,k = fi · fj.- Parameters:
uncollelatedFactors
- The Brownian motion providing the (uncorrelated) factors dUj.factorLoadings
- The factor loadings fi,j.
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Method Detail
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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 interfaceBrownianMotion
- 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).
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getTimeDiscretization
public TimeDiscretization getTimeDiscretization()
Description copied from interface:BrownianMotion
Returns the time discretization used for this set of time-discrete Brownian increments.- Specified by:
getTimeDiscretization
in interfaceBrownianMotion
- Specified by:
getTimeDiscretization
in interfaceIndependentIncrements
- Returns:
- The time discretization used for this set of time-discrete Brownian increments.
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getNumberOfFactors
public int getNumberOfFactors()
Description copied from interface:BrownianMotion
Returns the number of factors.- Specified by:
getNumberOfFactors
in interfaceBrownianMotion
- Specified by:
getNumberOfFactors
in interfaceIndependentIncrements
- Returns:
- The number of factors.
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getNumberOfPaths
public int getNumberOfPaths()
Description copied from interface:BrownianMotion
Returns the number of paths.- Specified by:
getNumberOfPaths
in interfaceBrownianMotion
- Specified by:
getNumberOfPaths
in interfaceIndependentIncrements
- Returns:
- The number of paths.
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getRandomVariableForConstant
public RandomVariable getRandomVariableForConstant(double value)
Description copied from interface:BrownianMotion
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 interfaceBrownianMotion
- Specified by:
getRandomVariableForConstant
in interfaceIndependentIncrements
- Parameters:
value
- The constant value to be used for initialized the random variable.- Returns:
- A new random variable.
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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 interfaceBrownianMotion
- Specified by:
getCloneWithModifiedSeed
in interfaceIndependentIncrements
- Parameters:
seed
- New value for the seed.- Returns:
- New object implementing BrownianMotion.
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getCloneWithModifiedTimeDiscretization
public BrownianMotion getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
Description copied from interface:BrownianMotion
Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.- Specified by:
getCloneWithModifiedTimeDiscretization
in interfaceBrownianMotion
- Specified by:
getCloneWithModifiedTimeDiscretization
in interfaceIndependentIncrements
- Parameters:
newTimeDiscretization
- New time discretization- Returns:
- New object implementing BrownianMotion.
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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 interfaceIndependentIncrements
- 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)
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