net.finmath.montecarlo

Class GammaProcess

java.lang.Object

net.finmath.montecarlo.GammaProcess

All Implemented Interfaces:

Serializable, IndependentIncrements

public class GammaProcess
extends Object
implements IndependentIncrements, Serializable

Implementation of a time-discrete n-dimensional Gamma process \( \Gamma = (\Gamma_{1},\ldots,\Gamma_{n}) \), where \( \Gamma_{i} \) is a Gamma process and \( \Gamma_{i} \), \( \Gamma_{j} \) are independent for i not equal j. The increments \( \Delta \Gamma \) are Gamma distributed with shape parameter shape * (t-s) for \( t-s = \Delta t \) and scale parameter 1. Here the dimension n is called factors since this Gamma process is used to generate multi-dimensional multi-factor Levy processes and there one might use a different number of factors to generate Levy processes of different dimension. The quintruppel (time discretization, number of factors, number of paths, seed, shape) defines the state of an object of this class, i.e., GammaProcess for which there parameters agree, generate the same random numbers. The class is immutable and thread safe. It uses lazy initialization.

Version:

1.6

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
GammaProcess(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, double shape) Construct a Gamma process with a given shape parameter.
GammaProcess(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, double shape, double scale) Construct a Gamma process with a given shape parameter.

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object o)
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.
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.
int	getSeed()
TimeDiscretization	getTimeDiscretization() Returns the time discretization used for this set of time-discrete Brownian increments.
int	hashCode()
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.IndependentIncrements

getIncrement

Constructor Detail

GammaProcess

public GammaProcess(TimeDiscretization timeDiscretization,
                    int numberOfFactors,
                    int numberOfPaths,
                    int seed,
                    double shape,
                    double scale)

Construct a Gamma process with a given shape parameter.

Parameters:

timeDiscretization - The time discretization used for the Gamma increments.

numberOfFactors - Number of factors.

numberOfPaths - Number of paths to simulate.

seed - The seed of the random number generator.

shape - The shape parameter of the Gamma distribution.

scale - The scale parameter of the Gamma distribution.

GammaProcess

public GammaProcess(TimeDiscretization timeDiscretization,
                    int numberOfFactors,
                    int numberOfPaths,
                    int seed,
                    double shape)

Construct a Gamma process with a given shape parameter.

Parameters:

timeDiscretization - The time discretization used for the Gamma increments.

numberOfFactors - Number of factors.

numberOfPaths - Number of paths to simulate.

seed - The seed of the random number generator.

shape - The shape parameter of the Gamma distribution.

Method Detail

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.

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.

getSeed

public int getSeed()

Returns:

Returns the seed.

toString

public String toString()

Overrides:

toString in class Object

equals

public boolean equals(Object o)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object