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