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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.
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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 27.04.2010
 */
package net.finmath.montecarlo;

import net.finmath.stochastic.RandomVariable;
import net.finmath.time.TimeDiscretization;

/**
 * Interface description of a time-discrete n-dimensional Brownian motion
 * W = (W₁,...,W_n) where W_i is a Brownian motion.
 *
 * 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.
 *
 * @author Christian Fries
 * @version 1.3
 */
public interface BrownianMotion extends IndependentIncrements {

	/**
	 * Return the Brownian increment for a given timeIndex.
	 *
	 * The method returns the random variable
	 *	 Δ W_j(t_i) := W_j(t_i+1)-W(t_i)
	 * for the given time index i and a given factor (index) j
	 *
	 * @param timeIndex The time index (corresponding to the this class's time discretization).
	 * @param factor The index of the factor (independent scalar Brownian increment).
	 * @return The factor (component) of the Brownian increments (a random variable).
	 */
	RandomVariable getBrownianIncrement(int timeIndex, int factor);


	/**
	 * Return the Brownian increment for a given timeIndex.
	 *
	 * The method returns the random variable
	 *	 Δ W_j(t_i) := W_j(t_i+1)-W(t_i)
	 * for the given time index i and a given factor (index) j, where the time index is derived via getTimeDiscretization().getTimeIndex(time)
	 *
	 * @param time The time (has to map to a time in this class's time discretization).
	 * @param factor The index of the factor (independent scalar Brownian increment).
	 * @return The factor (component) of the Brownian increments (a random variable).
	 */
	default RandomVariable getBrownianIncrement(final double time, final int factor) {
		return getBrownianIncrement(getTimeDiscretization().getTimeIndex(time), factor);
	}

	@Override
	default RandomVariable getIncrement(int timeIndex, int factor) {
		return getBrownianIncrement(timeIndex, factor);
	}

	/**
	 * Returns the time discretization used for this set of time-discrete Brownian increments.
	 *
	 * @return The time discretization used for this set of time-discrete Brownian increments.
	 */
	@Override
	TimeDiscretization getTimeDiscretization();

	/**
	 * Returns the number of factors.
	 *
	 * @return The number of factors.
	 */
	@Override
	int getNumberOfFactors();

	/**
	 * Returns the number of paths.
	 *
	 * @return The number of paths.
	 */
	@Override
	int getNumberOfPaths();

	/**
	 * Returns a random variable which is initialized to a constant,
	 * but has exactly the same number of paths or discretization points as the ones used by this BrownianMotion.
	 *
	 * @param value The constant value to be used for initialized the random variable.
	 * @return A new random variable.
	 */
	@Override
	RandomVariable getRandomVariableForConstant(double value);

	/**
	 * Return a new object implementing BrownianMotion
	 * having the same specifications as this object but a different seed
	 * for the random number generator.
	 *
	 * This method is useful if you like to make Monte-Carlo samplings by changing
	 * the seed.
	 *
	 * @param seed New value for the seed.
	 * @return New object implementing BrownianMotion.
	 */
	@Override
	BrownianMotion getCloneWithModifiedSeed(int seed);


	/**
	 * Return a new object implementing BrownianMotion
	 * having the same specifications as this object but a different
	 * time discretization.
	 *
	 * @param newTimeDiscretization New time discretization
	 * @return New object implementing BrownianMotion.
	 */
	@Override
	BrownianMotion getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization);
}