/* (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);
}
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariableInterface#barrier(net.finmath.stochastic.RandomVariableInterface, net.finmath.stochastic.RandomVariableInterface, net.finmath.stochastic.RandomVariableInterface)
*/
public RandomVariableInterface barrier(
RandomVariableInterface trigger,
RandomVariableInterface valueIfTriggerNonNegative,
RandomVariableInterface valueIfTriggerNegative) {
// Set time of this random variable to maximum of time with respect to which measurability is
// known.
double newTime = Math.max(time, trigger.getFiltrationTime());
newTime = Math.max(newTime, valueIfTriggerNonNegative.getFiltrationTime());
newTime = Math.max(newTime, valueIfTriggerNegative.getFiltrationTime());
if (isDeterministic()
&& trigger.isDeterministic()
&& valueIfTriggerNonNegative.isDeterministic()
&& valueIfTriggerNegative.isDeterministic()) {
double newValueIfNonStochastic =
trigger.get(0) >= 0 ? valueIfTriggerNonNegative.get(0) : valueIfTriggerNegative.get(0);
return new RandomVariable(newTime, newValueIfNonStochastic);
} else {
int numberOfPaths =
Math.max(
Math.max(trigger.size(), valueIfTriggerNonNegative.size()),
valueIfTriggerNegative.size());
double[] newRealizations = new double[numberOfPaths];
for (int i = 0; i < newRealizations.length; i++) {
newRealizations[i] =
trigger.get(i) >= 0.0
? valueIfTriggerNonNegative.get(i)
: valueIfTriggerNegative.get(i);
}
return new RandomVariable(newTime, newRealizations);
}
}
/* (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#subRatio(net.finmath.stochastic.RandomVariableInterface, net.finmath.stochastic.RandomVariableInterface)
*/
public RandomVariableInterface subRatio(
RandomVariableInterface numerator, RandomVariableInterface denominator) {
// Set time of this random variable to maximum of time with respect to which measurability is
// known.
double newTime =
Math.max(Math.max(time, numerator.getFiltrationTime()), denominator.getFiltrationTime());
if (isDeterministic() && numerator.isDeterministic() && denominator.isDeterministic()) {
double newValueIfNonStochastic =
valueIfNonStochastic - (numerator.get(0) / denominator.get(0));
return new RandomVariable(newTime, newValueIfNonStochastic);
} else {
double[] newRealizations =
new double[Math.max(Math.max(size(), numerator.size()), denominator.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = get(i) - numerator.get(i) / denominator.get(i);
return new RandomVariable(newTime, newRealizations);
}
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariableInterface#div(net.finmath.stochastic.RandomVariableInterface)
*/
public RandomVariableInterface div(RandomVariableInterface randomVariable) {
// Set time of this random variable to maximum of time with respect to which measurability is
// known.
double newTime = Math.max(time, randomVariable.getFiltrationTime());
if (isDeterministic() && randomVariable.isDeterministic()) {
double newValueIfNonStochastic = valueIfNonStochastic / randomVariable.get(0);
return new RandomVariable(newTime, newValueIfNonStochastic);
} else if (isDeterministic()) {
double[] newRealizations = new double[Math.max(size(), randomVariable.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = valueIfNonStochastic / randomVariable.get(i);
return new RandomVariable(newTime, newRealizations);
} else {
double[] newRealizations = new double[Math.max(size(), randomVariable.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = realizations[i] / randomVariable.get(i);
return new RandomVariable(newTime, newRealizations);
}
}
