Module net.finmath.lib
Class AbstractRandomVariableDifferentiableFactory
- java.lang.Object
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- net.finmath.montecarlo.AbstractRandomVariableFactory
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- net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
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- All Implemented Interfaces:
Serializable
,RandomVariableDifferentiableFactory
,RandomVariableFactory
- Direct Known Subclasses:
RandomVariableDifferentiableAADFactory
,RandomVariableDifferentiableADFactory
public abstract class AbstractRandomVariableDifferentiableFactory extends AbstractRandomVariableFactory implements RandomVariableDifferentiableFactory
A random variable factory extendingAbstractRandomVariableFactory
providing random variables implementingRandomVariableDifferentiable
.- Version:
- 1.0
- Author:
- Christian Fries
- See Also:
- Serialized Form
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Constructor Summary
Constructors Constructor Description AbstractRandomVariableDifferentiableFactory()
AbstractRandomVariableDifferentiableFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable)
Construct an object extendingAbstractRandomVariableDifferentiableFactory
with a specificAbstractRandomVariableFactory
for the storage of values.
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Method Summary
All Methods Instance Methods Abstract Methods Concrete Methods 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()
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Methods inherited from class net.finmath.montecarlo.AbstractRandomVariableFactory
createRandomVariableArray, createRandomVariableMatrix
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
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Methods inherited from interface net.finmath.montecarlo.RandomVariableFactory
createRandomVariableArray, createRandomVariableMatrix
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Constructor Detail
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AbstractRandomVariableDifferentiableFactory
public AbstractRandomVariableDifferentiableFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable)
Construct an object extendingAbstractRandomVariableDifferentiableFactory
with a specificAbstractRandomVariableFactory
for the storage of values.- Parameters:
randomVariableFactoryForNonDifferentiable
- Random variable factory to be used for the storage of values.
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AbstractRandomVariableDifferentiableFactory
public AbstractRandomVariableDifferentiableFactory()
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Method Detail
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createRandomVariable
public RandomVariableDifferentiable createRandomVariable(double value)
Description copied from interface:RandomVariableFactory
Create a (deterministic) random variable from a constant.- Specified by:
createRandomVariable
in interfaceRandomVariableDifferentiableFactory
- Specified by:
createRandomVariable
in interfaceRandomVariableFactory
- Overrides:
createRandomVariable
in classAbstractRandomVariableFactory
- Parameters:
value
- A constant value.- Returns:
- The
RandomVariable
.
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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 interfaceRandomVariableDifferentiableFactory
- Specified by:
createRandomVariable
in interfaceRandomVariableFactory
- Specified by:
createRandomVariable
in classAbstractRandomVariableFactory
- Parameters:
time
- The filtration time of the random variable.value
- A constant value.- Returns:
- The
RandomVariable
.
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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 interfaceRandomVariableDifferentiableFactory
- Specified by:
createRandomVariable
in interfaceRandomVariableFactory
- Specified by:
createRandomVariable
in classAbstractRandomVariableFactory
- Parameters:
time
- The filtration time of the random variable.values
- Array representing values of the random variable at the sample paths.- Returns:
- The
RandomVariable
.
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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 interfaceRandomVariableDifferentiableFactory
- Parameters:
time
- The filtration time of the random variable.value
- A constant value.- Returns:
- The
RandomVariable
.
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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 interfaceRandomVariableDifferentiableFactory
- Parameters:
time
- The filtration time of the random variable.values
- Array representing values of the random variable at the sample paths.- Returns:
- The
RandomVariable
.
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