Package net.finmath.montecarlo.automaticdifferentiation

package net.finmath.montecarlo.automaticdifferentiation

Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.

Author:

Christian Fries

Related Packages

Package	Description
net.finmath.montecarlo	Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
net.finmath.montecarlo.automaticdifferentiation.backward	Provides the implementation of backward automatic differentiation.
net.finmath.montecarlo.automaticdifferentiation.forward	Provides the implementation of forward automatic differentiation.
net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities	Provides method to obtain robust and fast forward sensitivites and hedge ratios.

Class	Description
AbstractRandomVariableDifferentiableFactory	A random variable factory extending AbstractRandomVariableFactory providing random variables implementing RandomVariableDifferentiable.
IndependentModelParameterProvider	Interface implemented by model which can provide their independent model parameters.
RandomVariableDifferentiable	Interface providing additional methods for random variable implementing RandomVariable allowing automatic differentiation.
RandomVariableDifferentiableFactory	A factory for creating objects implementing net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable.