Uses of Enum
net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities.ForwardSensitivities.ReductionMethod

Packages that use ForwardSensitivities.ReductionMethod

Package	Description
net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities	Provides method to obtain robust and fast forward sensitivites and hedge ratios.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.

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

Subclasses with type arguments of type ForwardSensitivities.ReductionMethod in net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities

Modifier and Type	Class	Description
static enum	ForwardSensitivities.ReductionMethod	The reduced coefficient criterion used to determine the basis coefficients.

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

Modifier and Type	Method	Description
ForwardSensitivities.ReductionMethod	ForwardSensitivities.ProjectedHedgeRatioResult.getReductionMethod()
static ForwardSensitivities.ReductionMethod	ForwardSensitivities.ReductionMethod.valueOf(String name)	Returns the enum constant of this type with the specified name.
static ForwardSensitivities.ReductionMethod[]	ForwardSensitivities.ReductionMethod.values()	Returns an array containing the constants of this enum type, in the order they are declared.

Methods in net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities with parameters of type ForwardSensitivities.ReductionMethod

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.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.

Constructors in net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities with parameters of type ForwardSensitivities.ReductionMethod

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

Uses of ForwardSensitivities.ReductionMethod in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products that return ForwardSensitivities.ReductionMethod

Modifier and Type	Method	Description
ForwardSensitivities.ReductionMethod	ForwardSensitivityDeltaHedgedPortfolio.getReductionMethod()

Constructors in net.finmath.montecarlo.interestrate.products with parameters of type ForwardSensitivities.ReductionMethod

Modifier	Constructor	Description
	ForwardSensitivityDeltaHedgedPortfolio(TermStructureMonteCarloProduct productToReplicate, List<TermStructureMonteCarloProduct> hedgeInstruments, double[] rebalancingTimes, ForwardSensitivityDeltaHedgedPortfolio.BasisFunctionProvider basisFunctionProvider, double regularizationLambda, ForwardSensitivities.ReductionMethod reductionMethod)	Creates a self-financing hedge using the same basis for solution and test functions, the process-state primitive provider, and regression trade values.
	ForwardSensitivityDeltaHedgedPortfolio(TermStructureMonteCarloProduct productToReplicate, List<TermStructureMonteCarloProduct> hedgeInstruments, double[] rebalancingTimes, ForwardSensitivityDeltaHedgedPortfolio.BasisFunctionProvider solutionBasisFunctionProvider, ForwardSensitivityDeltaHedgedPortfolio.BasisFunctionProvider testBasisFunctionProvider, double regularizationLambda, ForwardSensitivities.ReductionMethod reductionMethod)	Creates a self-financing hedge using possibly different solution and test bases, the process-state primitive provider, and regression trade values.
	ForwardSensitivityDeltaHedgedPortfolio(TermStructureMonteCarloProduct productToReplicate, List<TermStructureMonteCarloProduct> hedgeInstruments, double[] rebalancingTimes, ForwardSensitivityDeltaHedgedPortfolio.BasisFunctionProvider solutionBasisFunctionProvider, ForwardSensitivityDeltaHedgedPortfolio.BasisFunctionProvider testBasisFunctionProvider, ForwardSensitivityDeltaHedgedPortfolio.ParameterIDProvider parameterIDProvider, ForwardSensitivityDeltaHedgedPortfolio.HedgeInstrumentTradeValueProvider hedgeInstrumentTradeValueProvider, double regularizationLambda, ForwardSensitivities.ReductionMethod reductionMethod)	Full constructor allowing custom primitive and trade-value providers.
	ForwardSensitivityDeltaHedgedPortfolio(TermStructureMonteCarloProduct productToReplicate, List<TermStructureMonteCarloProduct> hedgeInstruments, double[] rebalancingTimes, ForwardSensitivityDeltaHedgedPortfolio.BasisFunctionProvider solutionBasisFunctionProvider, ForwardSensitivityDeltaHedgedPortfolio.BasisFunctionProvider testBasisFunctionProvider, ForwardSensitivityDeltaHedgedPortfolio.ParameterIDProvider parameterIDProvider, ForwardSensitivityDeltaHedgedPortfolio.HedgeInstrumentValueProvider hedgeInstrumentValueProvider, ForwardSensitivityDeltaHedgedPortfolio.HedgeInstrumentTradeValueProvider hedgeInstrumentTradeValueProvider, double regularizationLambda, ForwardSensitivities.ReductionMethod reductionMethod)	Full constructor allowing custom primitive, hedge-instrument value and trade-value providers.
	ForwardSensitivityDeltaHedgedPortfolio(TermStructureMonteCarloProduct productToReplicate, TermStructureMonteCarloProduct[] hedgeInstruments, double[] rebalancingTimes, ForwardSensitivityDeltaHedgedPortfolio.BasisFunctionProvider basisFunctionProvider, double regularizationLambda, ForwardSensitivities.ReductionMethod reductionMethod)	Convenience constructor accepting an array of hedge instruments.