webcab.lib.finance.pricing.core.util
Class CorrelatedNormalDistribution

java.lang.Object
  |
  +--webcab.lib.finance.pricing.core.util.RandomGenerator
        |
        +--webcab.lib.finance.pricing.core.util.CorrelatedNormalDistribution

All Implemented Interfaces:

webcab.lib.finance.pricing.core.util.SequentialRandomGenerator

public class CorrelatedNormalDistribution

extends RandomGenerator

Constructor Summary

CorrelatedNormalDistribution(RandomGenerator generator, double[][] choleskyMatrix)

Method Summary

double	getNextNumber()
double[]	getRandomNumbers(int n)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CorrelatedNormalDistribution

public CorrelatedNormalDistribution(RandomGenerator generator,
                                    double[][] choleskyMatrix)
                             throws BondsException

Method Detail

getNextNumber

public double getNextNumber()

Specified by:

getNextNumber in interface webcab.lib.finance.pricing.core.util.SequentialRandomGenerator

Specified by:

getNextNumber in class RandomGenerator

getRandomNumbers

public double[] getRandomNumbers(int n)

Overrides:

getRandomNumbers in class RandomGenerator