Documentation of 'net.finmath.montecarlo.CorrelatedBrownianMotion' Java class
CorrelatedBrownianMotion
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net.finmath.montecarlo

Class CorrelatedBrownianMotion

  • All Implemented Interfaces:
    BrownianMotionInterface

    public class CorrelatedBrownianMotion
extends java.lang.Object
implements BrownianMotionInterface
    Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings. The i-th factor of this BrownianMotion 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.

    • Constructor Detail

      • CorrelatedBrownianMotion

        public CorrelatedBrownianMotion(BrownianMotionInterface 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 BrownianMotion 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.

    • Method Detail

      • getBrownianIncrement

        public RandomVariableInterface getBrownianIncrement(int timeIndex,
                                                    int factor)
        Description copied from interface: BrownianMotionInterface
        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 BrownianMotionInterface
        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).

      • getRandomVariableForConstant

        public RandomVariableInterface getRandomVariableForConstant(double value)
        Description copied from interface: BrownianMotionInterface
        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 BrownianMotionInterface.
        Specified by:
        getRandomVariableForConstant in interface BrownianMotionInterface
        Parameters:
        value - The constant value to be used for initialized the random variable.
        Returns:
        A new random variable.

      • getCloneWithModifiedSeed

        public BrownianMotionInterface getCloneWithModifiedSeed(int seed)
        Description copied from interface: BrownianMotionInterface
        Return a new object implementing BrownianMotionInterface 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 BrownianMotionInterface
        Parameters:
        seed - New value for the seed.
        Returns:
        New object implementing BrownianMotionInterface.
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