/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariableInterface#addProduct(net.finmath.stochastic.RandomVariableInterface, net.finmath.stochastic.RandomVariableInterface)
*/
public RandomVariableInterface addProduct(
RandomVariableInterface factor1, RandomVariableInterface factor2) {
// Set time of this random variable to maximum of time with respect to which measurability is
// known.
double newTime =
Math.max(Math.max(time, factor1.getFiltrationTime()), factor2.getFiltrationTime());
if (isDeterministic() && factor1.isDeterministic() && factor2.isDeterministic()) {
double newValueIfNonStochastic = valueIfNonStochastic + (factor1.get(0) * factor2.get(0));
return new RandomVariable(newTime, newValueIfNonStochastic);
} else if (isDeterministic() && !factor1.isDeterministic() && !factor2.isDeterministic()) {
double[] factor1Realizations = factor1.getRealizations();
double[] factor2Realizations = factor2.getRealizations();
double[] newRealizations = new double[Math.max(size(), factor1.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = valueIfNonStochastic + factor1Realizations[i] * factor2Realizations[i];
return new RandomVariable(newTime, newRealizations);
} else if (!isDeterministic() && !factor1.isDeterministic() && !factor2.isDeterministic()) {
double[] factor1Realizations = factor1.getRealizations();
double[] factor2Realizations = factor2.getRealizations();
double[] newRealizations = new double[Math.max(size(), factor1.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = realizations[i] + factor1Realizations[i] * factor2Realizations[i];
return new RandomVariable(newTime, newRealizations);
} else {
double[] newRealizations =
new double[Math.max(Math.max(size(), factor1.size()), factor2.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = get(i) + factor1.get(i) * factor2.get(i);
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);
}
}
public RandomVariableInterface barrier(
RandomVariableInterface trigger,
RandomVariableInterface valueIfTriggerNonNegative,
double valueIfTriggerNegative) {
return this.barrier(
trigger,
valueIfTriggerNonNegative,
new RandomVariable(valueIfTriggerNonNegative.getFiltrationTime(), valueIfTriggerNegative));
}
/* (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#equals(net.finmath.montecarlo.RandomVariable)
*/
@Override
public boolean equals(RandomVariableInterface randomVariable) {
if (this.time != randomVariable.getFiltrationTime()) return false;
if (this.isDeterministic() && randomVariable.isDeterministic()) {
return this.valueIfNonStochastic == randomVariable.get(0);
}
if (this.isDeterministic() != randomVariable.isDeterministic()) return false;
for (int i = 0; i < realizations.length; i++)
if (realizations[i] != randomVariable.get(i)) return false;
return true;
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariableInterface#floor(net.finmath.stochastic.RandomVariableInterface)
*/
public RandomVariableInterface floor(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 = FastMath.max(valueIfNonStochastic, randomVariable.get(0));
return new RandomVariable(newTime, newValueIfNonStochastic);
} else if (isDeterministic()) return randomVariable.floor(this);
else {
double[] newRealizations = new double[Math.max(size(), randomVariable.size())];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = FastMath.max(realizations[i], randomVariable.get(i));
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;
}
