public static void ResultSetTestOnBlackScholes()
{
ADouble vol = 0.2;
ADouble spot = 100.0;
ADouble rate = 0.05;
ADouble time = 0.0;
ADouble mat = 1.0;
ADouble strike = 90.0;
ADouble[] parameters = new ADouble[] { vol, spot, rate, time, mat, strike };
//List<Ref<ADouble>> parameters = new List<Ref<ADouble>>();
//parameters.Add(new Ref<ADouble> { Value = vol });
//parameters.Add(new Ref<ADouble> { Value = spot });
//parameters.Add(new Ref<ADouble> { Value = rate });
//parameters.Add(new Ref<ADouble> { Value = time });
//parameters.Add(new Ref<ADouble> { Value = mat });
//parameters.Add(new Ref<ADouble> { Value = strike });
string[] identifiers = new string[] { "Vol", "Spot", "Rate", "Time0", "Mat", "Strike" };
AADTape.Initialize(parameters, identifiers);
AADTestFunctions.BlackScholesNoReset(vol, spot, rate, time, mat, strike);
AADTape.InterpretTape();
AADTape.PrintResultSet();
AADTape.PrintTape();
AADTape.ResetTape();
}
public static void GoalFunctionTest()
{
AADTape.ResetTape();
ADouble x1 = 10.0;
List <ADouble> activeVariables = new List <ADouble>();
activeVariables.Add(x1);
// Initialize tape with x1 and x2
AADTape.Initialize(activeVariables.ToArray());
// Compute the function value of f. Tape is now running
ADouble result = AADTestFunctions.TestingPow(x1);
// Once complete, interpret the tape
AADTape.InterpretTape();
AADTape.PrintTape();
AADTape.ResetTape();
///////////
activeVariables = new List <ADouble>();
activeVariables.Add(x1);
// Initialize tape with x1 and x2
AADTape.Initialize(activeVariables.ToArray());
// Compute the function value of f. Tape is now running
ADouble result2 = AADTestFunctions.TestingPowInverse(x1);
// Once complete, interpret the tape
AADTape.InterpretTape();
AADTape.PrintTape();
}
public static void CalculateDerivativesByAd()
{
Console.Title = "AD Example.";
ADouble x1 = 10.0;
ADouble x2 = 2.0;
List <ADouble> activeVariables = new List <ADouble>();
activeVariables.Add(x1);
activeVariables.Add(x2);
string[] identifiers = new string[] { "x1", "x2" };
// Initialize tape with x1 and x2
AADTape.Initialize(activeVariables.ToArray(), identifiers);
// Compute the function value of f. Tape is now running
ADouble result = AADTestFunctions.ExampleFunctionThesis(x1, x2);
// Once complete, interpret the tape
AADTape.InterpretTape();
AADTape.PrintTape();
var gradient = AADTape.GetGradient();
}