Package | Description |
---|---|
net.finmath.montecarlo |
Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation
of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
|
net.finmath.montecarlo.automaticdifferentiation |
Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.
|
net.finmath.montecarlo.automaticdifferentiation.backward |
Provides the implementation of backward automatic differentiation.
|
net.finmath.montecarlo.automaticdifferentiation.forward |
Provides the implementation of forward automatic differentiation.
|
Modifier and Type | Class and Description |
---|---|
class |
RandomVariableFloatFactory |
class |
RandomVariableFromArrayFactory
A factory (helper class) to create random variables.
|
class |
RandomVariableLazyEvaluationFactory |
Modifier and Type | Class and Description |
---|---|
class |
AbstractRandomVariableDifferentiableFactory
A random variable factory extending
AbstractRandomVariableFactory providing
random variables implementing RandomVariableDifferentiable . |
Modifier and Type | Class and Description |
---|---|
class |
RandomVariableDifferentiableAADFactory |
Modifier and Type | Class and Description |
---|---|
class |
RandomVariableDifferentiableADFactory |
Copyright © 2020. All rights reserved.