/**
* Generates a new path
*
* @return Path for the stochastic process
*/
public Path next() {
final Path path = new Path(processDimension, timeSteps, dt);
path.addValue(process.getInitialVector());
double t = 0.0;
for (int i = 1; i < timeSteps; ++i) {
final DoubleMatrix1D dw = generate();
path.addValue(process.evolveMatrix(t, path.getValues(i - 1), dt, dw));
t += dt;
}
return path;
}
/**
* Constructor of SimplePathGenerator1D
*
* @param process Stochastic Process
* @param timeSteps Number of time steps
* @param duration Total duration of the process
* @param generator Random generator of normalized real values
*/
public SimplePathGenerator(
GenericProcess process, int timeSteps, double duration, NormalizedRandomGenerator generator) {
this.process = process;
processDimension = process.getDimension();
this.timeSteps = timeSteps;
this.generator = generator;
this.dt = duration / timeSteps;
}
