net.finmath.montecarlo.BrownianMotionLazyInit Maven / Gradle / Ivy
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 09.02.2004
*/
package net.finmath.montecarlo;
import net.finmath.time.TimeDiscretization;
/**
* Implementation of a time-discrete n-dimensional Brownian motion
* W = (W1,...,Wn) where Wi is
* a Brownian motion and Wi, Wj are
* independent for i not equal j.
*
* For a correlated Brownian motion with see
* {@link net.finmath.montecarlo.CorrelatedBrownianMotion}.
*
* Here the dimension n is called factors since this Brownian motion is used to
* generate multi-dimensional multi-factor Ito processes and there one might
* use a different number of factors to generate Ito processes of different
* dimension.
*
* The quadruppel (time discretization, number of factors, number of paths, seed)
* defines the state of an object of this class, i.e., BrownianMotionLazyInit for which
* there parameters agree, generate the same random numbers.
*
* The class is immutable and thread safe. It uses lazy initialization.
*
* @author Christian Fries
* @version 1.6
* @deprecated Refactor rename. Please use BrownianMotionFromMersenneRandomNumbers instead.
*/
@Deprecated
public class BrownianMotionLazyInit extends BrownianMotionFromMersenneRandomNumbers {
private static final long serialVersionUID = -5430067621669213475L;
/**
* Construct a Brownian motion.
*
* The constructor allows to set the factory to be used for the construction of
* random variables. This allows to generate Brownian increments represented
* by different implementations of the RandomVariable (e.g. the RandomVariableFromFloatArray internally
* using float representations).
*
* @param timeDiscretization The time discretization used for the Brownian increments.
* @param numberOfFactors Number of factors.
* @param numberOfPaths Number of paths to simulate.
* @param seed The seed of the random number generator.
* @param randomVariableFactory Factory to be used to create random variable.
*/
public BrownianMotionLazyInit(
final TimeDiscretization timeDiscretization,
final int numberOfFactors,
final int numberOfPaths,
final int seed,
final RandomVariableFactory randomVariableFactory) {
super(timeDiscretization, numberOfFactors, numberOfPaths, seed, randomVariableFactory);
}
/**
* Construct a Brownian motion.
*
* @param timeDiscretization The time discretization used for the Brownian increments.
* @param numberOfFactors Number of factors.
* @param numberOfPaths Number of paths to simulate.
* @param seed The seed of the random number generator.
*/
public BrownianMotionLazyInit(
final TimeDiscretization timeDiscretization,
final int numberOfFactors,
final int numberOfPaths,
final int seed) {
this(timeDiscretization, numberOfFactors, numberOfPaths, seed, new RandomVariableFromArrayFactory());
}
}