Package net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities

package net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities

Provides method to obtain robust and fast forward sensitivites and hedge ratios. Given a derivative product V and considered hedge products \( P_i \) we provide methods to determine the random variable \( dV / dP_{i} \). The methoddologies are related to the following publications:

Author:

Christian Fries

Related Packages

Package	Description
net.finmath.montecarlo.automaticdifferentiation	Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.
net.finmath.montecarlo.automaticdifferentiation.backward	Provides the implementation of backward automatic differentiation.
net.finmath.montecarlo.automaticdifferentiation.forward	Provides the implementation of forward automatic differentiation.

Class	Description
ForwardSensitivities	Provides static methods to obtain reduced stochastic hedge ratios dV/dP_j.
ForwardSensitivities.ProjectedHedgeRatioResult	Result container for a reduced stochastic hedge-ratio calculation.
ForwardSensitivities.ReductionMethod	The reduced coefficient criterion used to determine the basis coefficients.