forwardderivatives.hpp File Reference

forward derivatives computation More...

#include <qle/ad/computationgraph.hpp>
#include <ql/shared_ptr.hpp>

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Namespaces
namespace	QuantExt

Functions
template<class T >
void	forwardDerivatives (const ComputationGraph &g, const std::vector< T > &values, std::vector< T > &derivatives, const std::vector< std::function< std::vector< T >(const std::vector< const T * > &, const T *)> > &grad, std::function< void(T &)> deleter={}, const std::vector< bool > &keepNodes={}, const std::size_t conditionalExpectationOpId=0, const std::function< T(const std::vector< const T * > &)> &conditionalExpectation={})

Detailed Description

forward derivatives computation

Definition in file forwardderivatives.hpp.