/src/main/java/net/finmath/montecarlo/VarianceGammaProcess.java
varianceGammaIncrements[timeIndex][factor] =( myBrownianMotion.getIncrement( timeIndex, factor).mult( theta) ).add( ( myGammaProcess.getIncrement( timeIndex, factor) ).sqrt( ).mult( myGammaProcess.getBrownianIncrement( timeIndex,factor)
varianceGammaIncrements[timeIndex][factor] = ( myGammaProcess.getIncrement ( timeIndex, factor ) .mult ( theta ) ) .add ( ( myGammaProcess.getIncrement ( timeIndex, factor ) ) .sqrt ( ) .mult ( myBrownianMotion.getBrownianIncrement ( timeIndex,factor )
new GammaProcess(timeDiscretization,numberOfFactors,numberOfPaths,seed,1/nu,nu); myBrownianMotion = new BrownianMotionFromMersenneRandomNumbers(timeDiscretization,numberOfFactors,numberOfPaths,seed+1); varianceGammaIncrements = new RandomVariable[timeDiscretization.getNumberOfTimeSteps()][numberOfFactors]; for(int timeIndex = 0; timeIndex < timeDiscretization.getNumberOfTimeSteps(); timeIndex++) { for(int factor=0; factor<numberOfFactors; factor++) { <extra_id_0> .mult(sigma/Math.sqrt(timeDiscretization.getTimeStep(timeIndex))))); } } } public double getSigma() { return sigma;