/src/main/java/net/finmath/montecarlo/IndependentIncrementsFromICDF.java
for ( int timeIndex=0; timeIndex<timeDiscretization.getNumberOfTimeSteps ( ) ; timeIndex++ ) { final double time = timeDiscretization.getTime ( timeIndex+1 ) ; for ( int factor=0; factor<numberOfFactors; factor++ ) { increments[timeIndex][factor] = randomVariableFactory.createRandomVariable ( time, incrementsArray[timeIndex][factor] ) ; }
final double uniformIncrement = mersenneTwister.nextDouble(); incrementsArray[timeIndex][factor][path] = inverseCumulativeDistributionFunctions[timeIndex][factor].applyAsDouble(uniformIncrement); } } } increments = new RandomVariable[timeDiscretization.getNumberOfTimeSteps()][numberOfFactors]; <extra_id_0> } } } @Override public TimeDiscretization getTimeDiscretization() { return timeDiscretization;