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

createRandomVariable, createRandomVariableArray, createRandomVariableMatrix

Constructor Details

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 Details

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