finMath lib documentation
net.finmath.montecarlo

Interface BrownianMotionInterface

• All Superinterfaces:
IndependentIncrementsInterface
All Known Implementing Classes:
BrownianBridge, BrownianMotion, BrownianMotionView, CorrelatedBrownianMotion

public interface BrownianMotionInterface
extends IndependentIncrementsInterface
Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion. Here the dimension n is called factors since this Brownian motion is used to generate multi-dimensional multi-factor Ito processes and there one might use a different number of factors to generate Ito processes of different dimension.
Version:
1.3
Author:
Christian Fries
• Method Summary

All Methods
Modifier and Type Method and Description
RandomVariableInterface getBrownianIncrement(int timeIndex, int factor)
Return the Brownian increment for a given timeIndex.
BrownianMotionInterface getCloneWithModifiedSeed(int seed)
Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different seed for the random number generator.
BrownianMotionInterface getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different time discretization.
int getNumberOfFactors()
Returns the number of factors.
int getNumberOfPaths()
Returns the number of paths.
RandomVariableInterface 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 BrownianMotionInterface.
TimeDiscretizationInterface getTimeDiscretization()
Returns the time discretization used for this set of time-discrete Brownian increments.
• Methods inherited from interface net.finmath.montecarlo.IndependentIncrementsInterface

getIncrement
• Method Detail

• getBrownianIncrement

RandomVariableInterface getBrownianIncrement(int timeIndex,
int factor)
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
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).
• getTimeDiscretization

TimeDiscretizationInterface getTimeDiscretization()
Returns the time discretization used for this set of time-discrete Brownian increments.
Specified by:
getTimeDiscretization in interface IndependentIncrementsInterface
Returns:
The time discretization used for this set of time-discrete Brownian increments.
• getNumberOfFactors

int getNumberOfFactors()
Returns the number of factors.
Specified by:
getNumberOfFactors in interface IndependentIncrementsInterface
Returns:
The number of factors.
• getNumberOfPaths

int getNumberOfPaths()
Returns the number of paths.
Specified by:
getNumberOfPaths in interface IndependentIncrementsInterface
Returns:
The number of paths.
• getRandomVariableForConstant

RandomVariableInterface 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 BrownianMotionInterface.
Specified by:
getRandomVariableForConstant in interface IndependentIncrementsInterface
Parameters:
value - The constant value to be used for initialized the random variable.
Returns:
A new random variable.
• getCloneWithModifiedSeed

BrownianMotionInterface getCloneWithModifiedSeed(int seed)
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 IndependentIncrementsInterface
Parameters:
seed - New value for the seed.
Returns:
New object implementing BrownianMotionInterface.
• getCloneWithModifiedTimeDiscretization

BrownianMotionInterface getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different time discretization.
Specified by:
getCloneWithModifiedTimeDiscretization in interface IndependentIncrementsInterface
Parameters:
newTimeDiscretization - New time discretization
Returns:
New object implementing BrownianMotionInterface.