Module net.finmath.lib

Package net.finmath.montecarlo.automaticdifferentiation

Interface RandomVariableDifferentiableFactory

All Superinterfaces:

RandomVariableFactory

All Known Implementing Classes:

AbstractRandomVariableDifferentiableFactory, RandomVariableDifferentiableAADFactory, RandomVariableDifferentiableADFactory

public interface RandomVariableDifferentiableFactory
extends RandomVariableFactory

A factory for creating objects implementing net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable. The factory extends the net.finmath.montecarlo.RandomVariableFactory, which can be used to allow for dependency injection.

Version:

1.0

Author:

Christian Fries

See Also:

RandomVariable

Method Summary

Modifier and Type	Method	Description
RandomVariableDifferentiable	createRandomVariable(double value)	Create a (deterministic) random variable from a constant.
RandomVariableDifferentiable	createRandomVariable(double time, double value)	Create a (deterministic) random variable form a constant using a specific filtration time.
RandomVariableDifferentiable	createRandomVariable(double time, double[] values)	Create a random variable form 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.

Methods inherited from interface net.finmath.montecarlo.RandomVariableFactory

createRandomVariable, createRandomVariableArray, createRandomVariableMatrix

Method Detail

createRandomVariable

RandomVariableDifferentiable createRandomVariable(double value)

Create a (deterministic) random variable from a constant.

Specified by:

createRandomVariable in interface RandomVariableFactory

Parameters:

value - A constant value.

Returns:

The RandomVariableDifferentiable.

createRandomVariable

RandomVariableDifferentiable createRandomVariable(double time,
                                                  double value)

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

Specified by:

createRandomVariable in interface RandomVariableFactory

Parameters:

time - The filtration time of the random variable.

value - A constant value.

Returns:

The RandomVariableDifferentiable.

createRandomVariable

RandomVariableDifferentiable createRandomVariable(double time,
                                                  double[] values)

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

Specified by:

createRandomVariable in interface RandomVariableFactory

Parameters:

time - The filtration time of the random variable.

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

Returns:

The RandomVariableDifferentiable.

createRandomVariableNonDifferentiable

RandomVariable createRandomVariableNonDifferentiable(double time,
                                                     double value)

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

Parameters:

value - A constant value.

time - The filtration time of the random variable.

Returns:

The RandomVariable.

createRandomVariableNonDifferentiable

RandomVariable createRandomVariableNonDifferentiable(double time,
                                                     double[] values)

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

Parameters:

time - The filtration time of the random variable.

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

Returns:

The RandomVariable.