Module net.finmath.lib

Package net.finmath.montecarlo

Class MertonJumpProcess

java.lang.Object

net.finmath.montecarlo.MertonJumpProcess

All Implemented Interfaces:

Serializable, IndependentIncrements

public class MertonJumpProcess
extends Object
implements IndependentIncrements, Serializable

Implementation of the compound Poisson process for the Merton jump diffusion model.

Author:

Christian Fries, Alessandro Gnoatto

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
MertonJumpProcess(double jumpIntensity, double jumpSizeMean, double jumpSizeStDev, TimeDiscretization timeDiscretization, int numberOfPaths, int seed)	Constructs a Merton Jump Process for Monte Carlo simulation.

Method Summary

Modifier and Type	Method	Description
IndependentIncrements	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.
IndependentIncrements	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.
double	getJumpIntensity()
double	getJumpSizeMean()
double	getJumpSizeStDev()
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

Methods inherited from interface net.finmath.montecarlo.IndependentIncrements

getIncrement

Constructor Detail

MertonJumpProcess

public MertonJumpProcess(double jumpIntensity,
                         double jumpSizeMean,
                         double jumpSizeStDev,
                         TimeDiscretization timeDiscretization,
                         int numberOfPaths,
                         int seed)

Constructs a Merton Jump Process for Monte Carlo simulation.

Parameters:

jumpIntensity - The jump intensity.

jumpSizeMean - The mean of the jump size distribution.

jumpSizeStDev - The std dev of the jump size distribution.

timeDiscretization - The time discretization of the process.

numberOfPaths - The number of path.

seed - The seed for the random number generator.

Method Detail

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 X_j(t_i) := X_j(t_i+1)-X(t_i) 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)

getTimeDiscretization

public TimeDiscretization getTimeDiscretization()

Description copied from interface: IndependentIncrements

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

public int getNumberOfFactors()

Description copied from interface: IndependentIncrements

Returns the number of factors.

Specified by:

getNumberOfFactors in interface IndependentIncrements

Returns:

The number of factors.

getNumberOfPaths

public int getNumberOfPaths()

Description copied from interface: IndependentIncrements

Returns the number of paths.

Specified by:

getNumberOfPaths in interface IndependentIncrements

Returns:

The number of paths.

getRandomVariableForConstant

public RandomVariable getRandomVariableForConstant(double value)

Description copied from interface: IndependentIncrements

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

public IndependentIncrements getCloneWithModifiedSeed(int seed)

Description copied from interface: IndependentIncrements

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

public IndependentIncrements getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)

Description copied from interface: IndependentIncrements

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.

getJumpIntensity

public double getJumpIntensity()

Returns:

the jumpIntensity

getJumpSizeMean

public double getJumpSizeMean()

Returns:

the jumpSizeMean

getJumpSizeStDev

public double getJumpSizeStDev()

Returns:

the jumpSizeStDev