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