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