Uses of Interface
net.finmath.stochastic.ConditionalExpectationEstimator

Packages that use ConditionalExpectationEstimator

Package	Description
net.finmath.montecarlo	Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
net.finmath.montecarlo.automaticdifferentiation.backward	Provides the implementation of backward automatic differentiation.
net.finmath.montecarlo.automaticdifferentiation.forward	Provides the implementation of forward automatic differentiation.
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.
net.finmath.stochastic	Interfaces specifying operations on random variables.

Uses of ConditionalExpectationEstimator in net.finmath.montecarlo

Methods in net.finmath.montecarlo with parameters of type ConditionalExpectationEstimator

Modifier and Type	Method	Description
RandomVariable	RandomVariableFromDoubleArray.getConditionalExpectation(ConditionalExpectationEstimator conditionalExpectationOperator)
RandomVariable	RandomVariableFromFloatArray.getConditionalExpectation(ConditionalExpectationEstimator conditionalExpectationOperator)

Uses of ConditionalExpectationEstimator in net.finmath.montecarlo.automaticdifferentiation.backward

Methods in net.finmath.montecarlo.automaticdifferentiation.backward with parameters of type ConditionalExpectationEstimator

Modifier and Type	Method	Description
RandomVariable	RandomVariableDifferentiableAAD.getConditionalExpectation(ConditionalExpectationEstimator estimator)

Constructors in net.finmath.montecarlo.automaticdifferentiation.backward with parameters of type ConditionalExpectationEstimator

Constructor	Description
RandomVariableDifferentiableAAD(RandomVariable values, List<net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD.OperatorTreeNode> argumentOperatorTreeNodes, List<RandomVariable> argumentValues, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD.OperatorType operator, RandomVariableDifferentiableAADFactory factory, int methodArgumentTypePriority)
RandomVariableDifferentiableAAD(RandomVariable values, List<RandomVariable> arguments, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD.OperatorType operator, RandomVariableDifferentiableAADFactory factory)
RandomVariableDifferentiableAAD(RandomVariable values, List<RandomVariable> arguments, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD.OperatorType operator, RandomVariableDifferentiableAADFactory factory, int methodArgumentTypePriority)

Uses of ConditionalExpectationEstimator in net.finmath.montecarlo.automaticdifferentiation.forward

Methods in net.finmath.montecarlo.automaticdifferentiation.forward with parameters of type ConditionalExpectationEstimator

Modifier and Type	Method	Description
RandomVariable	RandomVariableDifferentiableAD.getConditionalExpectation(ConditionalExpectationEstimator estimator)

Constructors in net.finmath.montecarlo.automaticdifferentiation.forward with parameters of type ConditionalExpectationEstimator

Constructor	Description
RandomVariableDifferentiableAD(RandomVariable values, List<RandomVariable> arguments, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorType operator)
RandomVariableDifferentiableAD(RandomVariable values, List<RandomVariable> arguments, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorType operator, int methodArgumentTypePriority)

Uses of ConditionalExpectationEstimator in net.finmath.montecarlo.conditionalexpectation

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

Modifier and Type	Class	Description
class	MonteCarloConditionalExpectationRegression	A service that allows to estimate conditional expectation via regression.
class	MonteCarloConditionalExpectationRegressionLocalizedOnDependents	A service that allows to estimate conditional expectation via regression.

Methods in net.finmath.montecarlo.conditionalexpectation that return ConditionalExpectationEstimator

Modifier and Type	Method	Description
ConditionalExpectationEstimator	MonteCarloConditionalExpectationLinearRegressionFactory.getConditionalExpectationEstimator(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor)
ConditionalExpectationEstimator	MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory.getConditionalExpectationEstimator(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor)
ConditionalExpectationEstimator	MonteCarloConditionalExpectationRegressionFactory.getConditionalExpectationEstimator(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor)	Creates an object implementing a ConditionalExpectationEstimator for conditional expectation estimation.

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

Methods in net.finmath.montecarlo.interestrate.products that return ConditionalExpectationEstimator

Modifier and Type	Method	Description
ConditionalExpectationEstimator	BermudanSwaption.getConditionalExpectationEstimator(double fixingDate, LIBORModelMonteCarloSimulationModel model)	Return the conditional expectation estimator suitable for this product.
ConditionalExpectationEstimator	BermudanSwaptionFromSwapSchedules.getConditionalExpectationEstimator(double exerciseTime, LIBORModelMonteCarloSimulationModel model)	The conditional expectation is calculated using a Monte-Carlo regression technique.

Uses of ConditionalExpectationEstimator in net.finmath.stochastic

Methods in net.finmath.stochastic with parameters of type ConditionalExpectationEstimator

Modifier and Type	Method	Description
default RandomVariable	RandomVariable.getConditionalExpectation(ConditionalExpectationEstimator conditionalExpectationOperator)	Returns the conditional expectation using a given conditional expectation estimator.
default RandomVariableArray	RandomVariableArray.getConditionalExpectation(ConditionalExpectationEstimator conditionalExpectationOperator)