Simulate Uncorrelated Paths with Separate Path Generator Instead of Multivariate Path Generator

[bowd]

def generate_uncorrelated_paths(self):
            sequence_generator = UniformRandomSequenceGenerator(
                len(time_grid), UniformRandomGenerator())
            gaussian_sequence_generator = GaussianRandomSequenceGenerator(
                sequence_generator)
            maturity = time_grid[len(time_grid) - 1]
            path_generator = GaussianPathGenerator(
                process, maturity, len(time_grid), gaussian_sequence_generator, False)
            paths = np.zeros(shape=(number_of_paths, len(time_grid)))
            for path_index in range(number_of_paths):
                path = path_generator.next().value()
                paths[path_index, :] = np.array(
                    [path[j] for j in range(len(time_grid))])

        log_returns = np.diff(np.log(paths[0]))
        # the current setup does only support simulation of processes with independent
        # increments or processes without if the value is not changed in other sub-steps
        increments = {}
        for asset, path in list(zip(self.processes, log_returns)):
            increments[asset] = path

        return increments

    def switcher(self, params):
        if (np.array(params['correlation']) -
            np.diag(np.ones(len(params['correlation'])))
                == np.zeros(np.array(params['correlation']).shape)).all():
            process = self.process_container(params=params)
        else:
            process = None
        return process