public abstract class MultivariateRandomProcess extends Object implements RandomVectorGenerator
Constructor and Description |
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MultivariateRandomProcess(int nB,
TimeGrid timeGrid)
Construct a multivariate random process.
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Modifier and Type | Method and Description |
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protected Vector |
dB(double dt)
Get a Brownian motion increment.
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int |
nB()
Get the dimension of the Brownian motion (or the number of driving 1D Brownian motions).
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protected double |
nextTime()
Get the next time point in the time grid.
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void |
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
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double |
time()
Get the current time.
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protected Vector |
Zt()
Get a d-dimensional Gaussian innovation.
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clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
nextVector
public MultivariateRandomProcess(int nB, TimeGrid timeGrid)
nB
- the dimension of the Brownian motion (or the number of driving 1D Brownian motions)timeGrid
- the time pointspublic void seed(long... seeds)
Seedable
public int nB()
public double time()
NaN
if nextTime()
is not already calledprotected double nextTime()
protected Vector Zt()
protected Vector dB(double dt)
dt
- the time incrementCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.