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

createRandomVariable, 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