net.finmath.montecarlo.conditionalexpectation

Class RegressionBasisFunctionsFromProducts

java.lang.Object

net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsFromProducts

All Implemented Interfaces:

RegressionBasisFunctionsProvider

public class RegressionBasisFunctionsFromProducts
extends Object
implements RegressionBasisFunctionsProvider

An implementation of an RegressionBasisFunctionsProvider using a list of AbstractMonteCarloProduct-s. The getBasisFunctions method will perform a check if the products getValue method returns an \( \mathcal{F}_{t} \)-measurable random variable if called with evaluationTime being \( t \). If this test fails an IllegalArgumentException exception is thrown.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
RegressionBasisFunctionsFromProducts(List<AbstractMonteCarloProduct> products)

Method Summary

Modifier and Type	Method and Description
RandomVariable[]	getBasisFunctions(double evaluationTime, MonteCarloSimulationModel model) Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

RegressionBasisFunctionsFromProducts

public RegressionBasisFunctionsFromProducts(List<AbstractMonteCarloProduct> products)

Method Detail

getBasisFunctions

public RandomVariable[] getBasisFunctions(double evaluationTime,
                                          MonteCarloSimulationModel model)

Description copied from interface: RegressionBasisFunctionsProvider

Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.

Specified by:

getBasisFunctions in interface RegressionBasisFunctionsProvider

Parameters:

evaluationTime - The evaluation time \( t \) at which the basis function should be observed.

model - The Monte-Carlo model used to derive the basis function.

Returns:

An \( \mathcal{F}_{t} \)-measurable random variable.