示例#1
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  /* (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);
    }
  }
示例#2
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  /* (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);
    }
  }
示例#3
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  /* (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);
    }
  }
示例#4
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 public RandomVariableInterface barrier(
     RandomVariableInterface trigger,
     RandomVariableInterface valueIfTriggerNonNegative,
     double valueIfTriggerNegative) {
   return this.barrier(
       trigger,
       valueIfTriggerNonNegative,
       new RandomVariable(valueIfTriggerNonNegative.getFiltrationTime(), valueIfTriggerNegative));
 }
示例#5
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  /* (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);
    }
  }
示例#6
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  /* (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;
  }
示例#7
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  /* (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);
    }
  }
示例#8
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 /**
  * 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;
 }