Module net.finmath.lib
Package net.finmath.montecarlo.conditionalexpectation
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations,
also known as "American Monte-Carlo".
- Author:
- Christian Fries
-
Interface Summary Interface Description MonteCarloConditionalExpectationRegression.RegressionBasisFunctions Interface for objects specifying regression basis functions (a vector of random variables).MonteCarloConditionalExpectationRegressionFactory Interface implemented by classes providing aConditionalExpectationEstimator
for conditional expectation estimation.RegressionBasisFunctionsProvider Interfaces for object providing regression basis functions. -
Class Summary Class Description LinearRegression Performs a linear regression on random variables implementing RandomVariable.MonteCarloConditionalExpectationLinearRegressionFactory Provides a linear regression for a vector of regression basis functions.MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory Provides a localized linear regression with an indicator function as localization weight for a vector of regression basis functions.MonteCarloConditionalExpectationRegression A service that allows to estimate conditional expectation via regression.MonteCarloConditionalExpectationRegression.RegressionBasisFunctionsGiven Wrapper to an array of RandomVariable[] implementing RegressionBasisFunctionsMonteCarloConditionalExpectationRegressionLocalizedOnDependents A service that allows to estimate conditional expectation via regression.RegressionBasisFunctionsFromProducts An implementation of an RegressionBasisFunctionsProvider using a list of AbstractMonteCarloProduct-s.