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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 17.06.2017
*/
package net.finmath.montecarlo.automaticdifferentiation.backward.alternative;
import java.util.Arrays;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import java.util.Set;
import java.util.TreeMap;
import java.util.concurrent.atomic.AtomicLong;
import java.util.function.DoubleBinaryOperator;
import java.util.function.DoubleUnaryOperator;
import java.util.function.Function;
import java.util.function.IntToDoubleFunction;
import java.util.stream.Collectors;
import java.util.stream.DoubleStream;
import net.finmath.functions.DoubleTernaryOperator;
import net.finmath.montecarlo.RandomVariableFromDoubleArray;
import net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable;
import net.finmath.stochastic.RandomVariable;
/**
* Implementation of RandomVariableDifferentiable using
* the backward algorithmic differentiation (adjoint algorithmic differentiation, AAD).
*
* @author Christian Fries
* @author Stefan Sedlmair
* @version 1.0
*/
public class RandomVariableDifferentiableAADPathwise implements RandomVariableDifferentiable {
private static final long serialVersionUID = 2459373647785530657L;
private static AtomicLong indexOfNextRandomVariable = new AtomicLong(0);
private enum OperatorType {
ADD, MULT, DIV, SUB, SQUARED, SQRT, LOG, SIN, COS, EXP, INVERT, CAP, FLOOR, ABS,
ADDPRODUCT, ADDRATIO, SUBRATIO, BARRIER, DISCOUNT, ACCRUE, POW, MIN, MAX, AVERAGE, VARIANCE,
STDEV, STDERROR, SVARIANCE, AVERAGE2, VARIANCE2,
STDEV2, STDERROR2
}
private static class OperatorTreeNode {
private final Long id;
private final OperatorType operator;
private final List arguments;
private final List argumentValues;
OperatorTreeNode(final OperatorType operator, final List arguments) {
this(operator,
arguments != null ? arguments.stream().map(new Function() {
@Override
public OperatorTreeNode apply(final RandomVariable x) {
return (x != null && x instanceof RandomVariableDifferentiableAADPathwise) ? ((RandomVariableDifferentiableAADPathwise)x).getOperatorTreeNode(): null;
}
}).collect(Collectors.toList()) : null,
arguments != null ? arguments.stream().map(new Function() {
@Override
public RandomVariable apply(final RandomVariable x) {
return (x != null && x instanceof RandomVariableDifferentiableAADPathwise) ? ((RandomVariableDifferentiableAADPathwise)x).getValues() : x;
}
}).collect(Collectors.toList()) : null
);
}
OperatorTreeNode(final OperatorType operator, final List arguments, final List argumentValues) {
super();
id = indexOfNextRandomVariable.getAndIncrement();
this.operator = operator;
this.arguments = arguments;
// This is the simple modification which reduces memory requirements.
this.argumentValues = argumentValues;
}
private void propagateDerivativesFromResultToArgument(final Map derivatives) {
for(final OperatorTreeNode argument : arguments) {
if(argument != null) {
final Long argumentID = argument.id;
if(!derivatives.containsKey(argumentID)) {
derivatives.put(argumentID, new RandomVariableFromDoubleArray(0.0));
}
final RandomVariable partialDerivative = getPartialDerivative(argument);
final RandomVariable derivative = derivatives.get(id);
RandomVariable argumentDerivative = derivatives.get(argumentID);
argumentDerivative = argumentDerivative.addProduct(partialDerivative, derivative);
derivatives.put(argumentID, argumentDerivative);
}
}
}
private RandomVariable getPartialDerivative(final OperatorTreeNode differential){
if(!arguments.contains(differential)) {
return new RandomVariableFromDoubleArray(0.0);
}
final int differentialIndex = arguments.indexOf(differential);
final RandomVariable X = arguments.size() > 0 && argumentValues != null ? argumentValues.get(0) : null;
final RandomVariable Y = arguments.size() > 1 && argumentValues != null ? argumentValues.get(1) : null;
final RandomVariable Z = arguments.size() > 2 && argumentValues != null ? argumentValues.get(2) : null;
RandomVariable resultrandomvariable = null;
switch(operator) {
/* functions with one argument */
case SQUARED:
resultrandomvariable = X.mult(2.0);
break;
case SQRT:
resultrandomvariable = X.sqrt().invert().mult(0.5);
break;
case EXP:
resultrandomvariable = X.exp();
break;
case LOG:
resultrandomvariable = X.invert();
break;
case SIN:
resultrandomvariable = X.cos();
break;
case COS:
resultrandomvariable = X.sin().mult(-1.0);
break;
case AVERAGE:
resultrandomvariable = new RandomVariableFromDoubleArray(X.size()).invert();
break;
case VARIANCE:
resultrandomvariable = X.sub(X.getAverage()*(2.0*X.size()-1.0)/X.size()).mult(2.0/X.size());
break;
case STDEV:
resultrandomvariable = X.sub(X.getAverage()*(2.0*X.size()-1.0)/X.size()).mult(2.0/X.size()).mult(0.5).div(Math.sqrt(X.getVariance()));
break;
case MIN:
final double min = X.getMin();
resultrandomvariable = X.apply(new DoubleUnaryOperator() {
@Override
public double applyAsDouble(final double x) {
return (x == min) ? 1.0 : 0.0;
}
});
break;
case MAX:
final double max = X.getMax();
resultrandomvariable = X.apply(new DoubleUnaryOperator() {
@Override
public double applyAsDouble(final double x) {
return (x == max) ? 1.0 : 0.0;
}
});
break;
case ABS:
resultrandomvariable = X.choose(new RandomVariableFromDoubleArray(1.0), new RandomVariableFromDoubleArray(-1.0));
break;
case STDERROR:
resultrandomvariable = X.sub(X.getAverage()*(2.0*X.size()-1.0)/X.size()).mult(2.0/X.size()).mult(0.5).div(Math.sqrt(X.getVariance() * X.size()));
break;
case SVARIANCE:
resultrandomvariable = X.sub(X.getAverage()*(2.0*X.size()-1.0)/X.size()).mult(2.0/(X.size()-1));
break;
case ADD:
resultrandomvariable = X.size() > 1 ? new RandomVariableFromDoubleArray(0.0, X.size(), 1.0) : new RandomVariableFromDoubleArray(1.0);
break;
case SUB:
resultrandomvariable = new RandomVariableFromDoubleArray(differentialIndex == 0 ? 1.0 : -1.0);
break;
case MULT:
resultrandomvariable = differentialIndex == 0 ? Y : X;
break;
case DIV:
resultrandomvariable = differentialIndex == 0 ? Y.invert() : X.div(Y.squared()).mult(-1);
break;
case CAP:
if(differentialIndex == 0) {
resultrandomvariable = X.sub(Y).choose(new RandomVariableFromDoubleArray(0.0), new RandomVariableFromDoubleArray(1.0));
}
else {
resultrandomvariable = X.sub(Y).choose(new RandomVariableFromDoubleArray(1.0), new RandomVariableFromDoubleArray(0.0));
}
break;
case FLOOR:
if(differentialIndex == 0) {
resultrandomvariable = X.sub(Y).choose(new RandomVariableFromDoubleArray(1.0), new RandomVariableFromDoubleArray(0.0));
}
else {
resultrandomvariable = X.sub(Y).choose(new RandomVariableFromDoubleArray(0.0), new RandomVariableFromDoubleArray(1.0));
}
break;
case AVERAGE2:
resultrandomvariable = differentialIndex == 0 ? Y : X;
break;
case VARIANCE2:
resultrandomvariable = differentialIndex == 0 ? Y.mult(2.0).mult(X.mult(Y.add(X.getAverage(Y)*(X.size()-1)).sub(X.getAverage(Y)))) :
X.mult(2.0).mult(Y.mult(X.add(Y.getAverage(X)*(X.size()-1)).sub(Y.getAverage(X))));
break;
case STDEV2:
resultrandomvariable = differentialIndex == 0 ? Y.mult(2.0).mult(X.mult(Y.add(X.getAverage(Y)*(X.size()-1)).sub(X.getAverage(Y)))).div(Math.sqrt(X.getVariance(Y))) :
X.mult(2.0).mult(Y.mult(X.add(Y.getAverage(X)*(X.size()-1)).sub(Y.getAverage(X)))).div(Math.sqrt(Y.getVariance(X)));
break;
case STDERROR2:
resultrandomvariable = differentialIndex == 0 ? Y.mult(2.0).mult(X.mult(Y.add(X.getAverage(Y)*(X.size()-1)).sub(X.getAverage(Y)))).div(Math.sqrt(X.getVariance(Y) * X.size())) :
X.mult(2.0).mult(Y.mult(X.add(Y.getAverage(X)*(X.size()-1)).sub(Y.getAverage(X)))).div(Math.sqrt(Y.getVariance(X) * Y.size()));
break;
case POW:
/* second argument will always be deterministic and constant! */
resultrandomvariable = (differentialIndex == 0) ? Y.mult(X.pow(Y.getAverage() - 1.0)) : new RandomVariableFromDoubleArray(0.0);
break;
case ADDPRODUCT:
if(differentialIndex == 0) {
resultrandomvariable = new RandomVariableFromDoubleArray(1.0);
} else if(differentialIndex == 1) {
resultrandomvariable = Z;
} else {
resultrandomvariable = Y;
}
break;
case ADDRATIO:
if(differentialIndex == 0) {
resultrandomvariable = new RandomVariableFromDoubleArray(1.0);
} else if(differentialIndex == 1) {
resultrandomvariable = Z.invert();
} else {
resultrandomvariable = Y.div(Z.squared());
}
break;
case SUBRATIO:
if(differentialIndex == 0) {
resultrandomvariable = new RandomVariableFromDoubleArray(1.0);
} else if(differentialIndex == 1) {
resultrandomvariable = Z.invert().mult(-1.0);
} else {
resultrandomvariable = Y.div(Z.squared()).mult(-1.0);
}
break;
case ACCRUE:
if(differentialIndex == 0) {
resultrandomvariable = Y.mult(Z).add(1.0);
} else if(differentialIndex == 1) {
resultrandomvariable = X.mult(Z);
} else {
resultrandomvariable = X.mult(Y);
}
break;
case DISCOUNT:
if(differentialIndex == 0) {
resultrandomvariable = Y.mult(Z).add(1.0).invert();
} else if(differentialIndex == 1) {
resultrandomvariable = X.mult(Z).div(Y.mult(Z).add(1.0).squared());
} else {
resultrandomvariable = X.mult(Y).div(Y.mult(Z).add(1.0).squared());
}
break;
case BARRIER:
if(differentialIndex == 0) {
resultrandomvariable = X.apply(new DoubleUnaryOperator() {
@Override
public double applyAsDouble(final double x) {
return (x == 0.0) ? Double.POSITIVE_INFINITY : 0.0;
}
});
} else if(differentialIndex == 1) {
resultrandomvariable = X.choose(new RandomVariableFromDoubleArray(1.0), new RandomVariableFromDoubleArray(0.0));
} else {
resultrandomvariable = X.choose(new RandomVariableFromDoubleArray(0.0), new RandomVariableFromDoubleArray(1.0));
}
default:
break;
}
return resultrandomvariable;
}
}
private final RandomVariable values;
private final OperatorTreeNode operatorTreeNode;
public static RandomVariableDifferentiableAADPathwise of(final double value) {
return new RandomVariableDifferentiableAADPathwise(value);
}
public static RandomVariableDifferentiableAADPathwise of(final RandomVariable randomVariable) {
return new RandomVariableDifferentiableAADPathwise(randomVariable);
}
public RandomVariableDifferentiableAADPathwise(final double value) {
this(new RandomVariableFromDoubleArray(value), null, null);
}
public RandomVariableDifferentiableAADPathwise(final double time, final double[] realisations) {
this(new RandomVariableFromDoubleArray(time, realisations), null, null);
}
public RandomVariableDifferentiableAADPathwise(final RandomVariable randomVariable) {
this(randomVariable, null, null);
}
private RandomVariableDifferentiableAADPathwise(final RandomVariable values, final List arguments, final OperatorType operator) {
super();
this.values = values;
operatorTreeNode = new OperatorTreeNode(operator, arguments);
}
public RandomVariable getRandomVariable() {
return values;
}
public OperatorTreeNode getOperatorTreeNode() {
return operatorTreeNode;
}
@Override
public Long getID(){
return getOperatorTreeNode().id;
}
@Override
public Map getGradient(final Set independentIDs) {
// The map maintaining the derivatives id -> derivative
final Map derivatives = new HashMap<>();
// Put derivative of this node w.r.t. itself
derivatives.put(getID(), new RandomVariableFromDoubleArray(1.0));
// The set maintaining the independents. Note: TreeMap is maintaining a sort on the keys.
final TreeMap independents = new TreeMap<>();
independents.put(getID(), getOperatorTreeNode());
while(independents.size() > 0) {
// Process node with the highest id in independents
final Map.Entry independentEntry = independents.lastEntry();
final Long id = independentEntry.getKey();
final OperatorTreeNode independent = independentEntry.getValue();
// Get arguments of this node and propagate derivative to arguments
final List arguments = independent.arguments;
if(arguments != null && arguments.size() > 0) {
independent.propagateDerivativesFromResultToArgument(derivatives);
// Add all non constant arguments to the list of independents
for(final OperatorTreeNode argument : arguments) {
if(argument != null) {
final Long argumentId = argument.id;
independents.put(argumentId, argument);
}
}
// Remove id from derivatives - keep only leaf nodes.
derivatives.remove(id);
}
// Done with processing. Remove from map.
independents.remove(id);
}
return derivatives;
}
@Override
public Map getTangents(final Set dependentIDs) {
throw new UnsupportedOperationException();
}
/* for all functions that need to be differentiated and are returned as double in the Interface, write a method to return it as RandomVariableAAD
* that is deterministic by its nature. For their double-returning pendant just return the average of the deterministic RandomVariableAAD */
public RandomVariable getAverageAsRandomVariableAAD(final RandomVariable probabilities) {
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getAverage(probabilities)),
Arrays.asList(this, new RandomVariableFromDoubleArray(probabilities)),
OperatorType.AVERAGE2);
}
public RandomVariable getVarianceAsRandomVariableAAD(final RandomVariable probabilities){
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getVariance(probabilities)),
Arrays.asList(this, new RandomVariableFromDoubleArray(probabilities)),
OperatorType.VARIANCE2);
}
public RandomVariable getStandardDeviationAsRandomVariableAAD(final RandomVariable probabilities){
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getStandardDeviation(probabilities)),
Arrays.asList(this, new RandomVariableFromDoubleArray(probabilities)),
OperatorType.STDEV2);
}
public RandomVariable getStandardErrorAsRandomVariableAAD(final RandomVariable probabilities){
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getStandardError(probabilities)),
Arrays.asList(this, new RandomVariableFromDoubleArray(probabilities)),
OperatorType.STDERROR2);
}
public RandomVariable getAverageAsRandomVariableAAD(){
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getAverage()),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.AVERAGE);
}
public RandomVariable getVarianceAsRandomVariableAAD(){
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getVariance()),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.VARIANCE);
}
public RandomVariable getSampleVarianceAsRandomVariableAAD() {
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getSampleVariance()),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.SVARIANCE);
}
public RandomVariable getStandardDeviationAsRandomVariableAAD(){
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getStandardDeviation()),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.STDEV);
}
public RandomVariable getStandardErrorAsRandomVariableAAD(){
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getStandardError()),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.STDERROR);
}
public RandomVariable getMinAsRandomVariableAAD(){
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getMin()),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.MIN);
}
public RandomVariable getMaxAsRandomVariableAAD(){
/*returns deterministic AAD random variable */
return new RandomVariableDifferentiableAADPathwise(
new RandomVariableFromDoubleArray(getMax()),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.MAX);
}
@Override
public RandomVariable getValues(){
return values;
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#equals(net.finmath.stochastic.RandomVariable)
*/
@Override
public boolean equals(final RandomVariable randomVariable) {
return getValues().equals(randomVariable);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getFiltrationTime()
*/
@Override
public double getFiltrationTime() {
return getValues().getFiltrationTime();
}
@Override
public int getTypePriority() {
return 3;
}
@Override
public double get(final int pathOrState) {
return getValues().get(pathOrState);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#size()
*/
@Override
public int size() {
return getValues().size();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#isDeterministic()
*/
@Override
public boolean isDeterministic() {
return getValues().isDeterministic();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getRealizations()
*/
@Override
public double[] getRealizations() {
return getValues().getRealizations();
}
@Override
public Double doubleValue() {
return getValues().doubleValue();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getMin()
*/
@Override
public double getMin() {
return getValues().getMin();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getMax()
*/
@Override
public double getMax() {
return getValues().getMax();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getAverage()
*/
@Override
public double getAverage() {
return getValues().getAverage();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getAverage(net.finmath.stochastic.RandomVariable)
*/
@Override
public double getAverage(final RandomVariable probabilities) {
return getValues().getAverage();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getVariance()
*/
@Override
public double getVariance() {
return getValues().getVariance();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getVariance(net.finmath.stochastic.RandomVariable)
*/
@Override
public double getVariance(final RandomVariable probabilities) {
return getValues().getVariance(probabilities);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getSampleVariance()
*/
@Override
public double getSampleVariance() {
return getValues().getSampleVariance();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getStandardDeviation()
*/
@Override
public double getStandardDeviation() {
return getValues().getStandardDeviation();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getStandardDeviation(net.finmath.stochastic.RandomVariable)
*/
@Override
public double getStandardDeviation(final RandomVariable probabilities) {
return getValues().getStandardDeviation(probabilities);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getStandardError()
*/
@Override
public double getStandardError() {
return getValues().getStandardError();
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getStandardError(net.finmath.stochastic.RandomVariable)
*/
@Override
public double getStandardError(final RandomVariable probabilities) {
return getValues().getStandardError(probabilities);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getQuantile(double)
*/
@Override
public double getQuantile(final double quantile) {
return getValues().getQuantile(quantile);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getQuantile(double, net.finmath.stochastic.RandomVariable)
*/
@Override
public double getQuantile(final double quantile, final RandomVariable probabilities) {
return ((RandomVariableDifferentiableAADPathwise) getValues()).getValues().getQuantile(quantile, probabilities);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getQuantileExpectation(double, double)
*/
@Override
public double getQuantileExpectation(final double quantileStart, final double quantileEnd) {
return ((RandomVariableDifferentiableAADPathwise) getValues()).getValues().getQuantileExpectation(quantileStart, quantileEnd);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getHistogram(double[])
*/
@Override
public double[] getHistogram(final double[] intervalPoints) {
return getValues().getHistogram(intervalPoints);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#getHistogram(int, double)
*/
@Override
public double[][] getHistogram(final int numberOfPoints, final double standardDeviations) {
return getValues().getHistogram(numberOfPoints, standardDeviations);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#cache()
*/
@Override
public RandomVariable cache() {
return this;
}
@Override
public RandomVariable cap(final double cap) {
return new RandomVariableDifferentiableAADPathwise(
getValues().cap(cap),
Arrays.asList(this, new RandomVariableFromDoubleArray(cap)),
OperatorType.CAP);
}
@Override
public RandomVariable floor(final double floor) {
return new RandomVariableDifferentiableAADPathwise(
getValues().floor(floor),
Arrays.asList(this, new RandomVariableFromDoubleArray(floor)),
OperatorType.FLOOR);
}
@Override
public RandomVariable add(final double value) {
return new RandomVariableDifferentiableAADPathwise(
getValues().add(value),
Arrays.asList(this, new RandomVariableFromDoubleArray(value)),
OperatorType.ADD);
}
@Override
public RandomVariable sub(final double value) {
return new RandomVariableDifferentiableAADPathwise(
getValues().sub(value),
Arrays.asList(this, new RandomVariableFromDoubleArray(value)),
OperatorType.SUB);
}
@Override
public RandomVariable mult(final double value) {
return new RandomVariableDifferentiableAADPathwise(
getValues().mult(value),
Arrays.asList(this, new RandomVariableFromDoubleArray(value)),
OperatorType.MULT);
}
@Override
public RandomVariable div(final double value) {
return new RandomVariableDifferentiableAADPathwise(
getValues().div(value),
Arrays.asList(this, new RandomVariableFromDoubleArray(value)),
OperatorType.DIV);
}
@Override
public RandomVariable pow(final double exponent) {
return new RandomVariableDifferentiableAADPathwise(
getValues().pow(exponent),
Arrays.asList(this, new RandomVariableFromDoubleArray(exponent)),
OperatorType.POW);
}
@Override
public RandomVariable average() {
return new RandomVariableDifferentiableAADPathwise(
getValues().average(),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.AVERAGE);
}
@Override
public RandomVariable squared() {
return new RandomVariableDifferentiableAADPathwise(
getValues().squared(),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.SQUARED);
}
@Override
public RandomVariable sqrt() {
return new RandomVariableDifferentiableAADPathwise(
getValues().sqrt(),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.SQRT);
}
@Override
public RandomVariable exp() {
return new RandomVariableDifferentiableAADPathwise(
getValues().exp(),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.EXP);
}
@Override
public RandomVariable log() {
return new RandomVariableDifferentiableAADPathwise(
getValues().log(),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.LOG);
}
@Override
public RandomVariable sin() {
return new RandomVariableDifferentiableAADPathwise(
getValues().sin(),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.SIN);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#cos()
*/
@Override
public RandomVariable cos() {
return new RandomVariableDifferentiableAADPathwise(
getValues().cos(),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.COS);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#add(net.finmath.stochastic.RandomVariable)
*/
@Override
public RandomVariable add(final RandomVariable randomVariable) {
return new RandomVariableDifferentiableAADPathwise(
getValues().add(randomVariable),
Arrays.asList(this, randomVariable),
OperatorType.ADD);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#sub(net.finmath.stochastic.RandomVariable)
*/
@Override
public RandomVariable sub(final RandomVariable randomVariable) {
return new RandomVariableDifferentiableAADPathwise(
getValues().sub(randomVariable),
Arrays.asList(this, randomVariable),
OperatorType.SUB);
}
@Override
public RandomVariable bus(final RandomVariable randomVariable) {
return new RandomVariableDifferentiableAADPathwise(
getValues().bus(randomVariable),
Arrays.asList(randomVariable, this),
OperatorType.SUB);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#mult(net.finmath.stochastic.RandomVariable)
*/
@Override
public RandomVariableDifferentiable mult(final RandomVariable randomVariable) {
return new RandomVariableDifferentiableAADPathwise(
getValues().mult(randomVariable),
Arrays.asList(this, randomVariable),
OperatorType.MULT);
}
@Override
public RandomVariable div(final RandomVariable randomVariable) {
return new RandomVariableDifferentiableAADPathwise(
getValues().div(randomVariable),
Arrays.asList(this, randomVariable),
OperatorType.DIV);
}
@Override
public RandomVariable vid(final RandomVariable randomVariable) {
return new RandomVariableDifferentiableAADPathwise(
getValues().vid(randomVariable),
Arrays.asList(randomVariable, this),
OperatorType.DIV);
}
@Override
public RandomVariable cap(final RandomVariable cap) {
return new RandomVariableDifferentiableAADPathwise(
getValues().cap(cap),
Arrays.asList(this, cap),
OperatorType.CAP);
}
@Override
public RandomVariable floor(final RandomVariable floor) {
return new RandomVariableDifferentiableAADPathwise(
getValues().cap(floor),
Arrays.asList(this, floor),
OperatorType.FLOOR);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#accrue(net.finmath.stochastic.RandomVariable, double)
*/
@Override
public RandomVariable accrue(final RandomVariable rate, final double periodLength) {
return new RandomVariableDifferentiableAADPathwise(
getValues().accrue(rate, periodLength),
Arrays.asList(this, rate, new RandomVariableFromDoubleArray(periodLength)),
OperatorType.ACCRUE);
}
@Override
public RandomVariable discount(final RandomVariable rate, final double periodLength) {
return new RandomVariableDifferentiableAADPathwise(
getValues().discount(rate, periodLength),
Arrays.asList(this, rate, new RandomVariableFromDoubleArray(periodLength)),
OperatorType.DISCOUNT);
}
@Override
public RandomVariable choose(final RandomVariable valueIfTriggerNonNegative, final RandomVariable valueIfTriggerNegative) {
return new RandomVariableDifferentiableAADPathwise(
getValues().choose(valueIfTriggerNonNegative.getValues(), valueIfTriggerNegative.getValues()),
Arrays.asList(this, valueIfTriggerNonNegative, valueIfTriggerNegative),
OperatorType.BARRIER);
}
@Override
public RandomVariable invert() {
return new RandomVariableDifferentiableAADPathwise(
getValues().invert(),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.INVERT);
}
@Override
public RandomVariable abs() {
return new RandomVariableDifferentiableAADPathwise(
getValues().abs(),
Arrays.asList(new RandomVariable[]{ this }),
OperatorType.ABS);
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariable#addProduct(net.finmath.stochastic.RandomVariable, double)
*/
@Override
public RandomVariable addProduct(final RandomVariable factor1, final double factor2) {
return new RandomVariableDifferentiableAADPathwise(
getValues().addProduct(factor1, factor2),
Arrays.asList(this, factor1, new RandomVariableFromDoubleArray(factor2)),
OperatorType.ADDPRODUCT);
}
@Override
public RandomVariable addProduct(final RandomVariable factor1, final RandomVariable factor2) {
return new RandomVariableDifferentiableAADPathwise(
getValues().addProduct(factor1, factor2),
Arrays.asList(this, factor1, factor2),
OperatorType.ADDPRODUCT);
}
@Override
public RandomVariable addRatio(final RandomVariable numerator, final RandomVariable denominator) {
return new RandomVariableDifferentiableAADPathwise(
getValues().addRatio(numerator, denominator),
Arrays.asList(this, numerator, denominator),
OperatorType.ADDRATIO);
}
@Override
public RandomVariable subRatio(final RandomVariable numerator, final RandomVariable denominator) {
return new RandomVariableDifferentiableAADPathwise(
getValues().subRatio(numerator, denominator),
Arrays.asList(this, numerator, denominator),
OperatorType.SUBRATIO);
}
@Override
public RandomVariable isNaN() {
return getValues().isNaN();
}
@Override
public IntToDoubleFunction getOperator() {
return getValues().getOperator();
}
@Override
public DoubleStream getRealizationsStream() {
return getValues().getRealizationsStream();
}
@Override
public RandomVariable apply(final DoubleUnaryOperator operator) {
throw new UnsupportedOperationException("Applying functions is not supported.");
}
@Override
public RandomVariable apply(final DoubleBinaryOperator operator, final RandomVariable argument) {
throw new UnsupportedOperationException("Applying functions is not supported.");
}
@Override
public RandomVariable apply(final DoubleTernaryOperator operator, final RandomVariable argument1, final RandomVariable argument2) {
throw new UnsupportedOperationException("Applying functions is not supported.");
}
}