tf_quant_finance.math.piecewise.convert_to_tensor_or_func

Last updated: 2023-03-16.

tf_quant_finance.math.piecewise.convert_to_tensor_or_func#

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Returns either a PiecewiseConstantFunc or x converted to a Tensor.

tf_quant_finance.math.piecewise.convert_to_tensor_or_func(
    x, dtype=None, name=None
)

Converts the input argument into a Tensor unless the input is of type PiecewiseConstantFunc when the input is returned unchanged. This function helps pricing models to preprocess inputs that can be either constant or time dependent as represented by a PiecewiseConstantFunc.

Example:#

class GeometricBrownianMotion(object) def init(self, mu, sigma): self._mu, self._mu_is_constant = piecewise.convert_to_tensor_or_func( mu) self._sigma, self._sigma_is_constant = piecewise.convert_to_tensor_or_func(sigma)

Args:#

  • x: Either a ‘Tensor’ or ‘PiecewiseConstantFunc’.

  • dtype: The default dtype to use when converting values to Tensors. Default value: None which means that default dtypes inferred by TensorFlow are used.

  • name: Python string. The name to give to the ops created by this class. Default value: None which maps to the default name ‘PiecewiseConstantFunc_tensor_or_func’.

Returns:#

A tuple (y, flag) where y is either a Tensor or PiecewiseConstantFunc and flag which is False if x is of type PiecewiseConstantFunc and True otherwise.

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