Using faster implementation.
@@ -161,7 +161,7 @@ public class BrownianMotionFromMersenneRandomNumbers implements BrownianMotion,
final double sqrtDeltaT = sqrtOfTimeStep[timeIndex];
// Generate uncorrelated Brownian increment
for(int factor=0; factor<numberOfFactors; factor++) {
- final double uniformIncrement = mersenneTwister.nextDouble();
+ final double uniformIncrement = mersenneTwister.nextDoubleFast();
brownianIncrementsArray[timeIndex][factor][path] = net.finmath.functions.NormalDistribution.inverseCumulativeDistribution(uniformIncrement) * sqrtDeltaT;
}
}
