Package net.finmath.montecarlo.conditionalexpectation

Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".

See: Description

Interface Summary

Interface	Description
MonteCarloConditionalExpectationRegression.RegressionBasisFunctions	Interface for objects specifying regression basis functions (a vector of random variables).
MonteCarloConditionalExpectationRegressionFactory	Interface implemented by classes providing a ConditionalExpectationEstimator 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.
MonteCarloConditionalExpectationRegressionLocalizedOnDependents	A service that allows to estimate conditional expectation via regression.
RegressionBasisFunctionsFromProducts	An implementation of an RegressionBasisFunctionsProvider using a list of AbstractMonteCarloProduct-s.

Package net.finmath.montecarlo.conditionalexpectation Description

Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".

Author:

Christian Fries