net.finmath.montecarlo.cuda.alternative

Class RandomVariableCudaWithFinalizer

java.lang.Object

net.finmath.montecarlo.cuda.alternative.RandomVariableCudaWithFinalizer

All Implemented Interfaces:

Serializable, RandomVariable

public class RandomVariableCudaWithFinalizer
extends Object
implements RandomVariable

The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation. It is thus essentially a vector of floating point numbers - the realizations - together with a double - the time. The index of the vector represents path. The class may also be used for non-stochastic quantities which may potentially be stochastic (e.g. volatility). If only non-stochastic random variables are involved in an operation the class uses optimized code. Accesses performed exclusively through the interface RandomVariable is thread safe (and does not mutate the class). This implementation uses floats for the realizations (consuming less memory compared to using doubles). However, the calculation of the average is performed using double precision.

Version:

1.8

Author:

Christian Fries

See Also:

Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
static jcuda.driver.CUcontext	context
static jcuda.driver.CUdevice	device

Constructor Summary

Constructors

Constructor and Description
RandomVariableCudaWithFinalizer(double value) Create a non stochastic random variable, i.e.
RandomVariableCudaWithFinalizer(double time, jcuda.driver.CUdeviceptr realizations, long size)
RandomVariableCudaWithFinalizer(double time, double value) Create a non stochastic random variable, i.e.
RandomVariableCudaWithFinalizer(double time, double[] realisations) Create a stochastic random variable.
RandomVariableCudaWithFinalizer(double time, float[] realisations) Create a stochastic random variable.

Method Summary

Modifier and Type	Method and Description
RandomVariable	abs()
RandomVariable	accrue(RandomVariable rate, double periodLength)
RandomVariable	add(double value)
RandomVariable	add(RandomVariable randomVariable)
RandomVariable	addProduct(RandomVariable factor1, double factor2)
RandomVariable	addProduct(RandomVariable factor1, RandomVariable factor2)
RandomVariable	addRatio(RandomVariable numerator, RandomVariable denominator)
RandomVariable	apply(DoubleBinaryOperator operator, RandomVariable argument)
RandomVariable	apply(DoubleTernaryOperator operator, RandomVariable argument1, RandomVariable argument2)
RandomVariable	apply(DoubleUnaryOperator function)
RandomVariable	average()
RandomVariable	bus(RandomVariable randomVariable)
RandomVariable	cache()
RandomVariable	cap(double cap)
RandomVariable	cap(RandomVariable randomVariable)
RandomVariable	choose(RandomVariable valueIfTriggerNonNegative, RandomVariable valueIfTriggerNegative)
RandomVariable	cos()
RandomVariable	discount(RandomVariable rate, double periodLength)
RandomVariable	div(double value)
RandomVariable	div(RandomVariable randomVariable)
Double	doubleValue()
boolean	equals(RandomVariable randomVariable)
RandomVariableCudaWithFinalizer	exp()
RandomVariable	expand(int numberOfPaths)
protected void	finalize()
RandomVariable	floor(double floor)
RandomVariable	floor(RandomVariable randomVariable)
double	get(int pathOrState)
double	getAverage()
double	getAverage(RandomVariable probabilities)
static jcuda.driver.CUdeviceptr	getCUdeviceptr(long size)
double	getFiltrationTime()
double[]	getHistogram(double[] intervalPoints)
double[][]	getHistogram(int numberOfPoints, double standardDeviations)
double	getMax()
double	getMin()
IntToDoubleFunction	getOperator()
double	getQuantile(double quantile)
double	getQuantile(double quantile, RandomVariable probabilities)
double	getQuantileExpectation(double quantileStart, double quantileEnd)
double[]	getRealizations()
DoubleStream	getRealizationsStream()
double	getSampleVariance()
double	getStandardDeviation()
double	getStandardDeviation(RandomVariable probabilities)
double	getStandardError()
double	getStandardError(RandomVariable probabilities)
int	getTypePriority()
double	getVariance()
double	getVariance(RandomVariable probabilities)
RandomVariable	invert()
boolean	isDeterministic()
RandomVariable	isNaN()
RandomVariableCudaWithFinalizer	log()
RandomVariable	mult(double value)
RandomVariable	mult(RandomVariable randomVariable)
RandomVariable	pow(double exponent)
RandomVariable	sin()
int	size()
RandomVariable	sqrt()
RandomVariable	squared()
RandomVariable	sub(double value)
RandomVariable	sub(RandomVariable randomVariable)
RandomVariable	subRatio(RandomVariable numerator, RandomVariable denominator)
RandomVariable	vid(RandomVariable randomVariable)

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface net.finmath.stochastic.RandomVariable

addSumProduct, addSumProduct, getConditionalExpectation, getValues

Field Detail

device

public static final jcuda.driver.CUdevice device

context

public static final jcuda.driver.CUcontext context

Constructor Detail

RandomVariableCudaWithFinalizer

public RandomVariableCudaWithFinalizer(double time,
                                       jcuda.driver.CUdeviceptr realizations,
                                       long size)

RandomVariableCudaWithFinalizer

public RandomVariableCudaWithFinalizer(double value)

Create a non stochastic random variable, i.e. a constant.

Parameters:

value - the value, a constant.

RandomVariableCudaWithFinalizer

public RandomVariableCudaWithFinalizer(double time,
                                       double value)

Create a non stochastic random variable, i.e. a constant.

Parameters:

time - the filtration time, set to 0.0 if not used.

value - the value, a constant.

RandomVariableCudaWithFinalizer

public RandomVariableCudaWithFinalizer(double time,
                                       float[] realisations)

Create a stochastic random variable.

Parameters:

time - the filtration time, set to 0.0 if not used.

realisations - the vector of realizations.

RandomVariableCudaWithFinalizer

public RandomVariableCudaWithFinalizer(double time,
                                       double[] realisations)

Create a stochastic random variable.

Parameters:

time - the filtration time, set to 0.0 if not used.

realisations - the vector of realizations.

Method Detail

getCUdeviceptr

public static jcuda.driver.CUdeviceptr getCUdeviceptr(long size)

finalize

protected void finalize()
                 throws Throwable

Overrides:

finalize in class Object

Throws:

Throwable

equals

public boolean equals(RandomVariable randomVariable)

Specified by:

equals in interface RandomVariable

getFiltrationTime

public double getFiltrationTime()

Specified by:

getFiltrationTime in interface RandomVariable

getTypePriority

public int getTypePriority()

Specified by:

getTypePriority in interface RandomVariable

get

public double get(int pathOrState)

Specified by:

get in interface RandomVariable

size

public int size()

Specified by:

size in interface RandomVariable

getMin

public double getMin()

Specified by:

getMin in interface RandomVariable

getMax

public double getMax()

Specified by:

getMax in interface RandomVariable

getAverage

public double getAverage()

Specified by:

getAverage in interface RandomVariable

getAverage

public double getAverage(RandomVariable probabilities)

Specified by:

getAverage in interface RandomVariable

getVariance

public double getVariance()

Specified by:

getVariance in interface RandomVariable

getVariance

public double getVariance(RandomVariable probabilities)

Specified by:

getVariance in interface RandomVariable

getSampleVariance

public double getSampleVariance()

Specified by:

getSampleVariance in interface RandomVariable

getStandardDeviation

public double getStandardDeviation()

Specified by:

getStandardDeviation in interface RandomVariable

getStandardDeviation

public double getStandardDeviation(RandomVariable probabilities)

Specified by:

getStandardDeviation in interface RandomVariable

getStandardError

public double getStandardError()

Specified by:

getStandardError in interface RandomVariable

getStandardError

public double getStandardError(RandomVariable probabilities)

Specified by:

getStandardError in interface RandomVariable

getQuantile

public double getQuantile(double quantile)

Specified by:

getQuantile in interface RandomVariable

getQuantile

public double getQuantile(double quantile,
                          RandomVariable probabilities)

Specified by:

getQuantile in interface RandomVariable

getQuantileExpectation

public double getQuantileExpectation(double quantileStart,
                                     double quantileEnd)

Specified by:

getQuantileExpectation in interface RandomVariable

getHistogram

public double[] getHistogram(double[] intervalPoints)

Specified by:

getHistogram in interface RandomVariable

getHistogram

public double[][] getHistogram(int numberOfPoints,
                               double standardDeviations)

Specified by:

getHistogram in interface RandomVariable

isDeterministic

public boolean isDeterministic()

Specified by:

isDeterministic in interface RandomVariable

expand

public RandomVariable expand(int numberOfPaths)

cache

public RandomVariable cache()

Specified by:

cache in interface RandomVariable

getRealizations

public double[] getRealizations()

Specified by:

getRealizations in interface RandomVariable

apply

public RandomVariable apply(DoubleUnaryOperator function)

Specified by:

apply in interface RandomVariable

apply

public RandomVariable apply(DoubleBinaryOperator operator,
                            RandomVariable argument)

Specified by:

apply in interface RandomVariable

apply

public RandomVariable apply(DoubleTernaryOperator operator,
                            RandomVariable argument1,
                            RandomVariable argument2)

Specified by:

apply in interface RandomVariable

cap

public RandomVariable cap(double cap)

Specified by:

cap in interface RandomVariable

floor

public RandomVariable floor(double floor)

Specified by:

floor in interface RandomVariable

add

public RandomVariable add(double value)

Specified by:

add in interface RandomVariable

sub

public RandomVariable sub(double value)

Specified by:

sub in interface RandomVariable

mult

public RandomVariable mult(double value)

Specified by:

mult in interface RandomVariable

div

public RandomVariable div(double value)

Specified by:

div in interface RandomVariable

pow

public RandomVariable pow(double exponent)

Specified by:

pow in interface RandomVariable

squared

public RandomVariable squared()

Specified by:

squared in interface RandomVariable

sqrt

public RandomVariable sqrt()

Specified by:

sqrt in interface RandomVariable

exp

public RandomVariableCudaWithFinalizer exp()

Specified by:

exp in interface RandomVariable

log

public RandomVariableCudaWithFinalizer log()

Specified by:

log in interface RandomVariable

sin

public RandomVariable sin()

Specified by:

sin in interface RandomVariable

cos

public RandomVariable cos()

Specified by:

cos in interface RandomVariable

add

public RandomVariable add(RandomVariable randomVariable)

Specified by:

add in interface RandomVariable

sub

public RandomVariable sub(RandomVariable randomVariable)

Specified by:

sub in interface RandomVariable

mult

public RandomVariable mult(RandomVariable randomVariable)

Specified by:

mult in interface RandomVariable

div

public RandomVariable div(RandomVariable randomVariable)

Specified by:

div in interface RandomVariable

invert

public RandomVariable invert()

Specified by:

invert in interface RandomVariable

abs

public RandomVariable abs()

Specified by:

abs in interface RandomVariable

cap

public RandomVariable cap(RandomVariable randomVariable)

Specified by:

cap in interface RandomVariable

floor

public RandomVariable floor(RandomVariable randomVariable)

Specified by:

floor in interface RandomVariable

accrue

public RandomVariable accrue(RandomVariable rate,
                             double periodLength)

Specified by:

accrue in interface RandomVariable

discount

public RandomVariable discount(RandomVariable rate,
                               double periodLength)

Specified by:

discount in interface RandomVariable

doubleValue

public Double doubleValue()

Specified by:

doubleValue in interface RandomVariable

getOperator

public IntToDoubleFunction getOperator()

Specified by:

getOperator in interface RandomVariable

getRealizationsStream

public DoubleStream getRealizationsStream()

Specified by:

getRealizationsStream in interface RandomVariable

average

public RandomVariable average()

Specified by:

average in interface RandomVariable

bus

public RandomVariable bus(RandomVariable randomVariable)

Specified by:

bus in interface RandomVariable

vid

public RandomVariable vid(RandomVariable randomVariable)

Specified by:

vid in interface RandomVariable

choose

public RandomVariable choose(RandomVariable valueIfTriggerNonNegative,
                             RandomVariable valueIfTriggerNegative)

Specified by:

choose in interface RandomVariable

addProduct

public RandomVariable addProduct(RandomVariable factor1,
                                 double factor2)

Specified by:

addProduct in interface RandomVariable

addProduct

public RandomVariable addProduct(RandomVariable factor1,
                                 RandomVariable factor2)

Specified by:

addProduct in interface RandomVariable

addRatio

public RandomVariable addRatio(RandomVariable numerator,
                               RandomVariable denominator)

Specified by:

addRatio in interface RandomVariable

subRatio

public RandomVariable subRatio(RandomVariable numerator,
                               RandomVariable denominator)

Specified by:

subRatio in interface RandomVariable

isNaN

public RandomVariable isNaN()

Specified by:

isNaN in interface RandomVariable