Uses of Class
net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities.ForwardSensitivities.ProjectedHedgeRatioResult

Packages that use ForwardSensitivities.ProjectedHedgeRatioResult

Package	Description
net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities	Provides method to obtain robust and fast forward sensitivites and hedge ratios.

Uses of ForwardSensitivities.ProjectedHedgeRatioResult in net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities

Methods in net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities that return ForwardSensitivities.ProjectedHedgeRatioResult

Modifier and Type	Method	Description
static ForwardSensitivities.ProjectedHedgeRatioResult	ForwardSensitivities.getHedgeRatios(Map<String,Long> parameterIDsByName, double evaluationTime, RandomVariable derivativeValue, RandomVariable[] hedgePortfolioValues, RandomVariable[] solutionBasisFunctions, RandomVariable[] testBasisFunctions, double regularizationLambda, ForwardSensitivities.ReductionMethod reductionMethod)	General reduced stochastic hedge-ratio calculation supporting both coefficient criteria.
static ForwardSensitivities.ProjectedHedgeRatioResult	ForwardSensitivities.getHedgeRatiosEmpiricalL2(Map<String,Long> parameterIDsByName, double evaluationTime, RandomVariable derivativeValue, RandomVariable[] hedgePortfolioValues, RandomVariable[] basisFunctions, double regularizationLambda)	Reduced empirical L2 stochastic hedge-ratio calculation.
static ForwardSensitivities.ProjectedHedgeRatioResult	ForwardSensitivities.getHedgeRatiosProjected(Map<String,Long> parameterIDsByName, double evaluationTime, RandomVariable derivativeValue, RandomVariable[] hedgePortfolioValues, RandomVariable[] basisFunctions, double regularizationLambda)	Backwards-compatible projected stochastic hedge-ratio calculation.
static ForwardSensitivities.ProjectedHedgeRatioResult	ForwardSensitivities.getHedgeRatiosProjected(Map<String,Long> parameterIDsByName, double evaluationTime, RandomVariable derivativeValue, RandomVariable[] hedgePortfolioValues, RandomVariable[] solutionBasisFunctions, RandomVariable[] testBasisFunctions, double regularizationLambda)	Projected stochastic hedge-ratio calculation with separate solution and test bases.
static ForwardSensitivities.ProjectedHedgeRatioResult	ForwardSensitivities.getHedgeRatiosReduced(Map<String,Long> parameterIDsByName, double evaluationTime, RandomVariable derivativeValue, RandomVariable[] hedgePortfolioValues, RandomVariable[] basisFunctions, double regularizationLambda, ForwardSensitivities.ReductionMethod reductionMethod)	General reduced stochastic hedge-ratio calculation supporting both coefficient criteria.