Class RandomVariableDifferentiableAADPathwiseFactory

java.lang.Object

net.finmath.montecarlo.AbstractRandomVariableFactory

net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory

net.finmath.montecarlo.automaticdifferentiation.backward.alternative.RandomVariableDifferentiableAADPathwiseFactory

All Implemented Interfaces:

Serializable, RandomVariableDifferentiableFactory, RandomVariableFactory

public class RandomVariableDifferentiableAADPathwiseFactory
extends AbstractRandomVariableDifferentiableFactory

Version:

1.0

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
RandomVariableDifferentiableAADPathwiseFactory()
RandomVariableDifferentiableAADPathwiseFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable)

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.

Methods inherited from class AbstractRandomVariableDifferentiableFactory

createRandomVariable, createRandomVariableNonDifferentiable, createRandomVariableNonDifferentiable, toString

Methods inherited from class AbstractRandomVariableFactory

createRandomVariableArray, createRandomVariableMatrix

Methods inherited from class Object

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

Methods inherited from interface RandomVariableFactory

createRandomVariable, createRandomVariableArray, createRandomVariableMatrix

Constructor Details

RandomVariableDifferentiableAADPathwiseFactory

public RandomVariableDifferentiableAADPathwiseFactory()

RandomVariableDifferentiableAADPathwiseFactory

public RandomVariableDifferentiableAADPathwiseFactory(RandomVariableFactory randomVariableFactoryForNonDifferentiable)

Parameters:

randomVariableFactoryForNonDifferentiable - Random variable facotory for the underlying values.

Method Details

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.