Uses of Interface
net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionFactory

Packages that use MonteCarloConditionalExpectationRegressionFactory

Package	Description
net.finmath.montecarlo.conditionalexpectation	Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.

Uses of MonteCarloConditionalExpectationRegressionFactory in net.finmath.montecarlo.conditionalexpectation

Classes in net.finmath.montecarlo.conditionalexpectation that implement MonteCarloConditionalExpectationRegressionFactory

Modifier and Type	Class	Description
class	MonteCarloConditionalExpectationLinearRegressionFactory	Provides a linear regression for a vector of regression basis functions.
class	MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory	Provides a localized linear regression with an indicator function as localization weight for a vector of regression basis functions.

Uses of MonteCarloConditionalExpectationRegressionFactory in net.finmath.montecarlo.interestrate.products

Constructors in net.finmath.montecarlo.interestrate.products with parameters of type MonteCarloConditionalExpectationRegressionFactory

Constructor

Description

BermudanSwaptionFromSwapSchedules(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double[] swaprates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules, MonteCarloConditionalExpectationRegressionFactory conditionalExpectationRegressionFactory, RegressionBasisFunctionsProvider regressionBasisFunctionProvider)

Create a Bermudan swaption from an array of underlying swap schedules (fix leg and float leg), swap rates and notionals.