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SSJ is a Java library for stochastic simulation, developed under the direction of Pierre L'Ecuyer,
in the Département d'Informatique et de Recherche Opérationnelle (DIRO), at the Université de Montréal.
It provides facilities for generating uniform and nonuniform random variates, computing different
measures related to probability distributions, performing goodness-of-fit tests, applying quasi-Monte
Carlo methods, collecting (elementary) statistics, and programming discrete-event simulations with both
events and processes.
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import umontreal.iro.lecuyer.rng.*;
import umontreal.iro.lecuyer.hups.*;
import umontreal.iro.lecuyer.stat.Tally;
import umontreal.iro.lecuyer.util.Chrono;
public class AsianQMCk extends AsianQMC {
public AsianQMCk (double r, double sigma, double strike,
double s0, int s, double[] zeta) {
super (r, sigma, strike, s0, s, zeta);
}
// Makes m independent randomizations of the digital net p using stream
// noise. For each of them, performs one simulation run for each point
// of p, and adds the average over these points to the collector statQMC.
public void simulateQMC (int m, PointSet p,
RandomStream noise, Tally statQMC) {
Tally statValue = new Tally ("stat on value of Asian option");
PointSetIterator stream = p.iterator ();
for (int j=0; j