finMath lib documentation
net.finmath.montecarlo

## Interface IndependentIncrements

• ### Method Summary

All Methods
Modifier and Type Method and 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.
default RandomVariable[] getIncrement(int timeIndex)
Return the increment for a given timeIndex.
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.
• ### Method Detail

• #### getIncrement

default RandomVariable[] getIncrement(int timeIndex)
Return the increment for a given timeIndex. The method returns the random variablevector Δ X(ti) := X(ti+1)-X(ti) for the given time index i.
Parameters:
timeIndex - The time index (corresponding to the this class's time discretization)
Returns:
The factor (component) of the increments (a random variable)
• #### getIncrement

RandomVariable getIncrement(int timeIndex,
int factor)
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
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

TimeDiscretization getTimeDiscretization()
Returns the time discretization used for this set of time-discrete Brownian increments.
Returns:
The time discretization used for this set of time-discrete Brownian increments.
• #### getNumberOfFactors

int getNumberOfFactors()
Returns the number of factors.
Returns:
The number of factors.
• #### getNumberOfPaths

int getNumberOfPaths()
Returns the number of paths.
Returns:
The number of paths.
• #### getRandomVariableForConstant

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.
Parameters:
value - The constant value to be used for initialized the random variable.
Returns:
A new random variable.
• #### getCloneWithModifiedSeed

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. This method is useful if you like to make Monte-Carlo samplings by changing the seed.
Parameters:
seed - New value for the seed.
Returns:
New object implementing BrownianMotion.
• #### getCloneWithModifiedTimeDiscretization

IndependentIncrements getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
Parameters:
newTimeDiscretization - New time discretization
Returns:
New object implementing BrownianMotion.