Ejemplo n.º 1
0
  /* (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);
    }
  }
Ejemplo n.º 2
0
  /* (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);
    }
  }
Ejemplo n.º 3
0
 /**
  * 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;
 }