Module net.finmath.lib

Package net.finmath.montecarlo.automaticdifferentiation.backward

Class RandomVariableDifferentiableAADFactory

java.lang.Object

net.finmath.montecarlo.AbstractRandomVariableFactory

net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory

net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory

All Implemented Interfaces:

Serializable, RandomVariableDifferentiableFactory, RandomVariableFactory

public class RandomVariableDifferentiableAADFactory
extends AbstractRandomVariableDifferentiableFactory

Version:

1.1

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod

Constructor Summary

Constructors

Constructor	Description
RandomVariableDifferentiableAADFactory()
RandomVariableDifferentiableAADFactory(Map<String,Object> properties)
RandomVariableDifferentiableAADFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable)
RandomVariableDifferentiableAADFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable, Map<String,Object> properties)	Create a factory for objects of type RandomVariableDifferentiableAAD.

Method Summary

Modifier and Type	Method	Description
RandomVariableDifferentiable	createRandomVariable(double time, double value)	Create a (deterministic) random variable from a constant using a specific filtration time.
RandomVariableDifferentiable	createRandomVariable(double time, double[] values)	Create a random variable from an array using a specific filtration time.
double	getBarrierDiracWidth()	Deprecated.
double	getDiracDeltaApproximationDensityRegressionWidthPerStdDev()
RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod	getDiracDeltaApproximationMethod()
double	getDiracDeltaApproximationWidthPerStdDev()
boolean	isGradientRetainsLeafNodesOnly()
String	toString()

Methods inherited from class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory

createRandomVariable, createRandomVariableNonDifferentiable, createRandomVariableNonDifferentiable

Methods inherited from class net.finmath.montecarlo.AbstractRandomVariableFactory

createRandomVariableArray, createRandomVariableMatrix

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.RandomVariableFactory

createRandomVariableArray, createRandomVariableMatrix

Constructor Detail

RandomVariableDifferentiableAADFactory

public RandomVariableDifferentiableAADFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable,
                                              Map<String,Object> properties)

Create a factory for objects of type RandomVariableDifferentiableAAD. Supported propeties are

• isGradientRetainsLeafNodesOnly: Boolean
• diracDeltaApproximationMethod: String
• diracDeltaApproximationWidthPerStdDev: Double

Parameters:

randomVariableFactoryForNonDifferentiable - Random variable factory for the underlying values.

properties - A key value map with properties.

RandomVariableDifferentiableAADFactory

public RandomVariableDifferentiableAADFactory(Map<String,Object> properties)

Parameters:

properties - A key value map with properties.

RandomVariableDifferentiableAADFactory

public RandomVariableDifferentiableAADFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable)

Parameters:

randomVariableFactoryForNonDifferentiable - Random variable factory for the underlying values.

RandomVariableDifferentiableAADFactory

public RandomVariableDifferentiableAADFactory()

Method Detail

createRandomVariable

public RandomVariableDifferentiable createRandomVariable(double time,
                                                         double value)

Description copied from interface: RandomVariableFactory

Create a (deterministic) random variable from a constant using a specific filtration time.

Specified by:

createRandomVariable in interface RandomVariableDifferentiableFactory

Specified by:

createRandomVariable in interface RandomVariableFactory

Specified by:

createRandomVariable in class AbstractRandomVariableDifferentiableFactory

Parameters:

time - The filtration time of the random variable.

value - A constant value.

Returns:

The RandomVariable.

createRandomVariable

public RandomVariableDifferentiable createRandomVariable(double time,
                                                         double[] values)

Description copied from interface: RandomVariableFactory

Create a random variable from an array using a specific filtration time.

Specified by:

createRandomVariable in interface RandomVariableDifferentiableFactory

Specified by:

createRandomVariable in interface RandomVariableFactory

Specified by:

createRandomVariable in class AbstractRandomVariableDifferentiableFactory

Parameters:

time - The filtration time of the random variable.

values - Array representing values of the random variable at the sample paths.

Returns:

The RandomVariable.

getDiracDeltaApproximationMethod

public RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod getDiracDeltaApproximationMethod()

getDiracDeltaApproximationWidthPerStdDev

public double getDiracDeltaApproximationWidthPerStdDev()

getDiracDeltaApproximationDensityRegressionWidthPerStdDev

public double getDiracDeltaApproximationDensityRegressionWidthPerStdDev()

getBarrierDiracWidth

@Deprecated
public double getBarrierDiracWidth()

Deprecated.

isGradientRetainsLeafNodesOnly

public boolean isGradientRetainsLeafNodesOnly()

toString

public String toString()

Overrides:

toString in class AbstractRandomVariableDifferentiableFactory