Module net.finmath.lib

Package net.finmath.montecarlo.automaticdifferentiation

Class AbstractRandomVariableDifferentiableFactory

java.lang.Object

net.finmath.montecarlo.AbstractRandomVariableFactory

net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory

All Implemented Interfaces:

Serializable, RandomVariableDifferentiableFactory, RandomVariableFactory

Direct Known Subclasses:

RandomVariableDifferentiableAADFactory, RandomVariableDifferentiableADFactory

public abstract class AbstractRandomVariableDifferentiableFactory
extends AbstractRandomVariableFactory
implements RandomVariableDifferentiableFactory

A random variable factory extending AbstractRandomVariableFactory providing random variables implementing RandomVariableDifferentiable.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
AbstractRandomVariableDifferentiableFactory()
AbstractRandomVariableDifferentiableFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable)	Construct an object extending AbstractRandomVariableDifferentiableFactory with a specific AbstractRandomVariableFactory for the storage of values.

Method Summary

Modifier and Type	Method	Description
RandomVariableDifferentiable	createRandomVariable(double value)	Create a (deterministic) random variable from a constant.
abstract RandomVariableDifferentiable	createRandomVariable(double time, double value)	Create a (deterministic) random variable from a constant using a specific filtration time.
abstract RandomVariableDifferentiable	createRandomVariable(double time, double[] values)	Create a random variable from an array using a specific filtration time.
RandomVariable	createRandomVariableNonDifferentiable(double time, double value)	Create a (deterministic) random variable, which is not differentiable, from a constant.
RandomVariable	createRandomVariableNonDifferentiable(double time, double[] values)	Create a random variable, which is not differentiable, from an array using a specific filtration time.
String	toString()

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

AbstractRandomVariableDifferentiableFactory

public AbstractRandomVariableDifferentiableFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable)

Construct an object extending AbstractRandomVariableDifferentiableFactory with a specific AbstractRandomVariableFactory for the storage of values.

Parameters:

randomVariableFactoryForNonDifferentiable - Random variable factory to be used for the storage of values.

AbstractRandomVariableDifferentiableFactory

public AbstractRandomVariableDifferentiableFactory()

Method Detail

createRandomVariable

public RandomVariableDifferentiable createRandomVariable(double value)

Description copied from interface: RandomVariableFactory

Create a (deterministic) random variable from a constant.

Specified by:

createRandomVariable in interface RandomVariableDifferentiableFactory

Specified by:

createRandomVariable in interface RandomVariableFactory

Overrides:

createRandomVariable in class AbstractRandomVariableFactory

Parameters:

value - A constant value.

Returns:

The RandomVariable.

createRandomVariable

public abstract 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 AbstractRandomVariableFactory

Parameters:

time - The filtration time of the random variable.

value - A constant value.

Returns:

The RandomVariable.

createRandomVariable

public abstract 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 AbstractRandomVariableFactory

Parameters:

time - The filtration time of the random variable.

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

Returns:

The RandomVariable.

createRandomVariableNonDifferentiable

public RandomVariable createRandomVariableNonDifferentiable(double time,
                                                            double value)

Description copied from interface: RandomVariableDifferentiableFactory

Create a (deterministic) random variable, which is not differentiable, from a constant.

Specified by:

createRandomVariableNonDifferentiable in interface RandomVariableDifferentiableFactory

Parameters:

time - The filtration time of the random variable.

value - A constant value.

Returns:

The RandomVariable.

createRandomVariableNonDifferentiable

public RandomVariable createRandomVariableNonDifferentiable(double time,
                                                            double[] values)

Description copied from interface: RandomVariableDifferentiableFactory

Create a random variable, which is not differentiable, from an array using a specific filtration time.

Specified by:

createRandomVariableNonDifferentiable in interface RandomVariableDifferentiableFactory

Parameters:

time - The filtration time of the random variable.

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

Returns:

The RandomVariable.

toString

public String toString()

Overrides:

toString in class Object