Module net.finmath.lib

Package net.finmath.montecarlo.automaticdifferentiation.forward

Class RandomVariableDifferentiableADFactory

java.lang.Object

net.finmath.montecarlo.AbstractRandomVariableFactory

net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory

net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory

All Implemented Interfaces:

Serializable, RandomVariableDifferentiableFactory, RandomVariableFactory

public class RandomVariableDifferentiableADFactory
extends AbstractRandomVariableDifferentiableFactory

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
RandomVariableDifferentiableADFactory()
RandomVariableDifferentiableADFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable)

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.
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

RandomVariableDifferentiableADFactory

public RandomVariableDifferentiableADFactory()

RandomVariableDifferentiableADFactory

public RandomVariableDifferentiableADFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable)

Parameters:

randomVariableFactoryForNonDifferentiable - Random variable facotory for the underlying values.

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.

toString

public String toString()

Overrides:

toString in class AbstractRandomVariableDifferentiableFactory