/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariableInterface#discount(net.finmath.stochastic.RandomVariableInterface, double)
*/
public RandomVariableInterface discount(RandomVariableInterface rate, double periodLength) {
// Set time of this random variable to maximum of time with respect to which measurability is
// known.
double newTime = Math.max(time, rate.getFiltrationTime());
if (isDeterministic() && rate.isDeterministic()) {
double newValueIfNonStochastic = valueIfNonStochastic / (1 + rate.get(0) * periodLength);
return new RandomVariable(newTime, newValueIfNonStochastic);
} else if (isDeterministic() && !rate.isDeterministic()) {
double[] rateRealizations = rate.getRealizations();
double[] newRealizations = new double[Math.max(size(), rate.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = valueIfNonStochastic / (1.0 + rateRealizations[i] * periodLength);
return new RandomVariable(newTime, newRealizations);
} else if (!isDeterministic() && rate.isDeterministic()) {
double rateValue = rate.get(0);
double[] newRealizations = new double[Math.max(size(), rate.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = realizations[i] / (1.0 + rateValue * periodLength);
return new RandomVariable(newTime, newRealizations);
} else {
double[] rateRealizations = rate.getRealizations();
double[] newRealizations = new double[Math.max(size(), rate.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = realizations[i] / (1.0 + rateRealizations[i] * periodLength);
return new RandomVariable(newTime, newRealizations);
}
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariableInterface#addProduct(net.finmath.stochastic.RandomVariableInterface, double)
*/
public RandomVariableInterface addProduct(RandomVariableInterface factor1, double factor2) {
// Set time of this random variable to maximum of time with respect to which measurability is
// known.
double newTime = Math.max(time, factor1.getFiltrationTime());
if (isDeterministic() && factor1.isDeterministic()) {
double newValueIfNonStochastic = valueIfNonStochastic + (factor1.get(0) * factor2);
return new RandomVariable(newTime, newValueIfNonStochastic);
} else if (isDeterministic() && !factor1.isDeterministic()) {
double[] factor1Realizations = factor1.getRealizations();
double[] newRealizations = new double[Math.max(size(), factor1.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = valueIfNonStochastic + factor1Realizations[i] * factor2;
return new RandomVariable(newTime, newRealizations);
} else if (!isDeterministic() && factor1.isDeterministic()) {
double factor1Value = factor1.get(0);
double[] newRealizations = new double[Math.max(size(), factor1.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = realizations[i] + factor1Value * factor2;
return new RandomVariable(newTime, newRealizations);
} else {
double[] factor1Realizations = factor1.getRealizations();
double[] newRealizations = new double[Math.max(size(), factor1.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = realizations[i] + factor1Realizations[i] * factor2;
return new RandomVariable(newTime, newRealizations);
}
}
/**
* Create a random variable from a given other implementation of <code>RandomVariableInterface
* </code>.
*
* @param value Object implementing <code>RandomVariableInterface</code>.
*/
public RandomVariable(RandomVariableInterface value) {
super();
this.time = value.getFiltrationTime();
this.realizations = value.isDeterministic() ? null : value.getRealizations();
this.valueIfNonStochastic = value.isDeterministic() ? value.get(0) : Double.NaN;
}