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

public class RandomVariableDifferentiableAADFactory
extends AbstractRandomVariableDifferentiableFactory

Version:

1.1

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod

Constructor Summary

Constructors

Constructor and Description
RandomVariableDifferentiableAADFactory()
RandomVariableDifferentiableAADFactory(AbstractRandomVariableFactory randomVariableFactoryForNonDifferentiable)
RandomVariableDifferentiableAADFactory(AbstractRandomVariableFactory randomVariableFactoryForNonDifferentiable, Map<String,Object> properties)

Method Summary

Modifier and Type	Method and Description
RandomVariableDifferentiable	createRandomVariable(double time, double value)
RandomVariableDifferentiable	createRandomVariable(double time, double[] values)
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

Constructor Detail

RandomVariableDifferentiableAADFactory

public RandomVariableDifferentiableAADFactory(AbstractRandomVariableFactory randomVariableFactoryForNonDifferentiable,
                                              Map<String,Object> properties)

RandomVariableDifferentiableAADFactory

public RandomVariableDifferentiableAADFactory(AbstractRandomVariableFactory randomVariableFactoryForNonDifferentiable)

Parameters:

randomVariableFactoryForNonDifferentiable - Random variable factory for the underlying values.

RandomVariableDifferentiableAADFactory

public RandomVariableDifferentiableAADFactory()

Method Detail

createRandomVariable

public RandomVariableDifferentiable createRandomVariable(double time,
                                                         double value)

Specified by:

createRandomVariable in class AbstractRandomVariableDifferentiableFactory

createRandomVariable

public RandomVariableDifferentiable createRandomVariable(double time,
                                                         double[] values)

Specified by:

createRandomVariable in class AbstractRandomVariableDifferentiableFactory

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