Class ForwardSensitivities.ProjectedHedgeRatioResult

java.lang.Object

net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities.ForwardSensitivities.ProjectedHedgeRatioResult

Enclosing class:

ForwardSensitivities

public static final class ForwardSensitivities.ProjectedHedgeRatioResult
extends Object

Result container for a reduced stochastic hedge-ratio calculation. hedgeRatios[j] is the reconstructed stochastic hedge ratio phi_j^r(t, omega). coefficients[j][q] is xi_j^q with respect to the solution basis X_q.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
ProjectedHedgeRatioResult(RandomVariable[] hedgeRatios, double[][] coefficients, double[][] reducedMatrix, double[] reducedRhs, List<String> riskFactorNames)	Backwards-compatible constructor.
ProjectedHedgeRatioResult(RandomVariable[] hedgeRatios, double[][] coefficients, double[][] reducedMatrix, double[] reducedRhs, List<String> riskFactorNames, ForwardSensitivities.ReductionMethod reductionMethod)

Method Summary

Modifier and Type	Method	Description
double[][]	getCoefficients()
RandomVariable[]	getHedgeRatios()
double[][]	getReducedMatrix()	Method-dependent reduced system matrix.
double[]	getReducedRhs()	Method-dependent reduced right-hand side.
ForwardSensitivities.ReductionMethod	getReductionMethod()
List<String>	getRiskFactorNames()

Methods inherited from class Object

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

Constructor Details

ProjectedHedgeRatioResult

public ProjectedHedgeRatioResult(RandomVariable[] hedgeRatios,
 double[][] coefficients,
 double[][] reducedMatrix,
 double[] reducedRhs,
 List<String> riskFactorNames)

Backwards-compatible constructor. The method is assumed to be PROJECTED_GALERKIN.

ProjectedHedgeRatioResult

public ProjectedHedgeRatioResult(RandomVariable[] hedgeRatios,
 double[][] coefficients,
 double[][] reducedMatrix,
 double[] reducedRhs,
 List<String> riskFactorNames,
 ForwardSensitivities.ReductionMethod reductionMethod)

Method Details

getHedgeRatios

public RandomVariable[] getHedgeRatios()

getCoefficients

public double[][] getCoefficients()

getReducedMatrix

public double[][] getReducedMatrix()

Method-dependent reduced system matrix.

• PROJECTED_GALERKIN: B with rows (i,s) for test basis Y_s and columns (j,q) for solution basis X_q.
• L2: normal matrix G = D^T D / N with columns (j,q).

getReducedRhs

public double[] getReducedRhs()

Method-dependent reduced right-hand side.

• PROJECTED_GALERKIN: beta with rows (i,s) for test basis Y_s.
• L2: h = D^T b / N with columns (j,q).

getRiskFactorNames

public List<String> getRiskFactorNames()

getReductionMethod

public ForwardSensitivities.ReductionMethod getReductionMethod()