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

Author:

Christian Fries

See Also:

Serialized Form

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
RandomVariableDifferentiableInterface	createRandomVariable(double time, double value)
RandomVariableDifferentiableInterface	createRandomVariable(double time, double[] values)
double	getBarrierDiracWidth()
boolean	isGradientRetainsLeafNodesOnly()

Methods inherited from class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory

createRandomVariable, createRandomVariableNonDifferentiable, createRandomVariableNonDifferentiable

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

RandomVariableDifferentiableAADFactory

public RandomVariableDifferentiableAADFactory()

RandomVariableDifferentiableAADFactory

public RandomVariableDifferentiableAADFactory(AbstractRandomVariableFactory randomVariableFactoryForNonDifferentiable)

Parameters:

randomVariableFactoryForNonDifferentiable - Random variable factory for the underlying values.

RandomVariableDifferentiableAADFactory

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

Method Detail

createRandomVariable

public RandomVariableDifferentiableInterface createRandomVariable(double time,
                                                                  double value)

Specified by:

createRandomVariable in class AbstractRandomVariableDifferentiableFactory

createRandomVariable

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

Specified by:

createRandomVariable in class AbstractRandomVariableDifferentiableFactory

getBarrierDiracWidth

public double getBarrierDiracWidth()

isGradientRetainsLeafNodesOnly

public boolean isGradientRetainsLeafNodesOnly()