Module: tf_quant_finance.math

Module: tf_quant_finance.math#

TensorFlow Quantitative Finance general math functions.

custom_loops module: Custom implementations of loops for improved performance.

integration module: Numerical integration methods.

interpolation module: Ops related to interpolation.

optimizer module: Optimization methods.

pad module: Helper functions for padding multiple tensors.

pde module: PDE solver methods.

piecewise module: Piecewise utility functions.

qmc module: RQMC support.

random module: Ops related to random or quasi random sampling.

root_search module: Ops related to root search.

segment_ops module: Element wise ops acting on segments of arrays.

diff(...): Computes the difference between elements of an array at a regular interval.

fwd_gradient(...): Computes forward mode gradient.

gradients(...): Computes the gradients of func_or_y wrt to *xs.

jacobian(...): Computes the jacobian of func wrt to x.

make_val_and_grad_fn(...): Function decorator to compute both function value and gradient.

value_and_gradient(...): Computes f(*xs) and its gradients wrt to *xs.

value_and_jacobian(...): Computes f(x) and its jacobian wrt to x.