Module net.finmath.lib

Package net.finmath.stochastic

Interface RandomVariableArray

All Superinterfaces:

RandomVariable, Serializable

All Known Implementing Classes:

RandomVariableArrayImplementation

public interface RandomVariableArray
extends RandomVariable

An array of RandomVariable objects, implementing the RandomVariable interface. The array features a method getLevel() which indicates if the object is an array where elements are themselves arrays. See getLevel(). All methods inherited from RandomVariable act element wise on the vector elements getElement(int) and return corresponding RandomVariableArray having the same level. In addition methods are provided that reduce the level by one, like the scalar product, see sumProduct(RandomVariableArray).

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
default RandomVariableArray	getConditionalExpectation(ConditionalExpectationEstimator conditionalExpectationOperator)	Returns the conditional expectation using a given conditional expectation estimator.
RandomVariable	getElement(int index)
default int	getLevel()	Returns the level of the array The level of the array is given by 1 if the elements are of type RandomVariable but not of type RandomVariableArray.
int	getNumberOfElements()
RandomVariableArray	map(RandomOperator operator)	Component wise operation
RandomVariable	sumProduct(RandomVariableArray array)	Components wise product followed by sum of all elements.
default Object	toDoubleArray()

Methods inherited from interface net.finmath.stochastic.RandomVariable

abs, accrue, add, add, addProduct, addProduct, addRatio, addSumProduct, addSumProduct, apply, apply, apply, appy, average, bus, bus, cache, cap, cap, choose, cos, covariance, discount, div, div, doubleValue, equals, exp, expectation, expm1, floor, floor, get, getAverage, getAverage, getFiltrationTime, getHistogram, getHistogram, getMax, getMin, getOperator, getQuantile, getQuantile, getQuantileExpectation, getRealizations, getRealizationsStream, getSampleVariance, getStandardDeviation, getStandardDeviation, getStandardError, getStandardError, getTypePriority, getValues, getVariance, getVariance, invert, isDeterministic, isNaN, log, mult, mult, pow, sin, size, sqrt, squared, sub, sub, subRatio, variance, vid, vid

Method Detail

getNumberOfElements

int getNumberOfElements()

getElement

RandomVariable getElement(int index)

getLevel

default int getLevel()

Returns the level of the array The level of the array is given by 1 if the elements are of type RandomVariable but not of type RandomVariableArray. If the elements are of type RandomVariableArray the level of this array is 1 plus the level of its elements. Note: the elements are required to be of the the same level.

Returns:

The level of the array.

toDoubleArray

default Object toDoubleArray()

map

RandomVariableArray map(RandomOperator operator)

Component wise operation

Parameters:

operator - A function operator mapping random variables x → operator(x).

Returns:

An array where operator has been applied to eeach element.

sumProduct

RandomVariable sumProduct(RandomVariableArray array)

Components wise product followed by sum of all elements. Reduction of getLevel by 1. Note: The return value is for sure instanceof RandomVariable but may be instanceof RandomVariableArray.

Parameters:

array - Given RandomVariableArray of the same size()

Returns:

The scalar product of this array and the given array.

getConditionalExpectation

default RandomVariableArray getConditionalExpectation(ConditionalExpectationEstimator conditionalExpectationOperator)

Description copied from interface: RandomVariable

Returns the conditional expectation using a given conditional expectation estimator.

Specified by:

getConditionalExpectation in interface RandomVariable

Parameters:

conditionalExpectationOperator - A given conditional expectation estimator.

Returns:

The conditional expectation of this random variable (as a random variable)