Added constructor for backward compatibility
@@ -149,6 +149,37 @@ public class MonteCarloMultiAssetBlackScholesModel extends AbstractProcessModel
* @param riskFreeRate The risk free rate.
* @param volatilities The log volatilities.
* @param correlations A correlation matrix.
+ *
+ * @deprecated uses default seed of 3141.
+ */
+ @Deprecated
+ public MonteCarloMultiAssetBlackScholesModel(
+ final TimeDiscretization timeDiscretization,
+ final int numberOfPaths,
+ final double[] initialValues,
+ final double riskFreeRate,
+ final double[] volatilities,
+ final double[][] correlations
+ ) {
+ this(timeDiscretization,
+ numberOfPaths,
+ 3141 /* seed */,
+ initialValues,
+ riskFreeRate,
+ volatilities,
+ correlations
+ );
+ }
+ /**
+ * Create a Monte-Carlo simulation using given time discretization.
+ *
+ * @param timeDiscretization The time discretization.
+ * @param numberOfPaths The number of Monte-Carlo path to be used.
+ * @param seed The seed to be used.
+ * @param initialValues Spot values.
+ * @param riskFreeRate The risk free rate.
+ * @param volatilities The log volatilities.
+ * @param correlations A correlation matrix.
*/
public MonteCarloMultiAssetBlackScholesModel(
final TimeDiscretization timeDiscretization,
