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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 02.07.2017
 */

package net.finmath.montecarlo.automaticdifferentiation;

import net.finmath.montecarlo.AbstractRandomVariableFactory;
import net.finmath.montecarlo.RandomVariableFactory;
import net.finmath.montecarlo.RandomVariableFromArrayFactory;
import net.finmath.stochastic.RandomVariable;

/**
 * A random variable factory extending AbstractRandomVariableFactory providing
 * random variables implementing RandomVariableDifferentiable.
 *
 * @author Christian Fries
 * @version 1.0
 */
public abstract class AbstractRandomVariableDifferentiableFactory extends AbstractRandomVariableFactory implements RandomVariableDifferentiableFactory {

	/**
	 *
	 */
	private static final long serialVersionUID = 8262731847824139905L;
	private final RandomVariableFactory randomVariableFactoryForNonDifferentiable;

	/**
	 * Construct an object extending AbstractRandomVariableDifferentiableFactory
	 * with a specific AbstractRandomVariableFactory for the storage of values.
	 *
	 * @param randomVariableFactoryForNonDifferentiable Random variable factory to be used for the storage of values.
	 */
	public AbstractRandomVariableDifferentiableFactory(final RandomVariableFactory randomVariableFactoryForNonDifferentiable) {
		super();
		this.randomVariableFactoryForNonDifferentiable = randomVariableFactoryForNonDifferentiable;
	}

	public AbstractRandomVariableDifferentiableFactory() {
		this(new RandomVariableFromArrayFactory());
	}

	@Override
	public RandomVariableDifferentiable createRandomVariable(final double value) {
		return createRandomVariable(0.0, value);
	}

	@Override
	public abstract RandomVariableDifferentiable createRandomVariable(double time, double value);

	@Override
	public abstract RandomVariableDifferentiable createRandomVariable(double time, double[] values);

	@Override
	public RandomVariable createRandomVariableNonDifferentiable(final double time, final double value) {
		return randomVariableFactoryForNonDifferentiable.createRandomVariable(time, value);
	}

	@Override
	public RandomVariable createRandomVariableNonDifferentiable(final double time, final double[] values) {
		return randomVariableFactoryForNonDifferentiable.createRandomVariable(time, values);
	}

	@Override
	public String toString() {
		return "AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable="
				+ randomVariableFactoryForNonDifferentiable + "]";
	}
}