net.finmath.stochastic

Interface ConditionalExpectationEstimator

All Known Implementing Classes:

MonteCarloConditionalExpectationRegression, MonteCarloConditionalExpectationRegressionLocalizedOnDependents

public interface ConditionalExpectationEstimator

The interface which has to be implemented by a fixed conditional expectation operator, i.e., E( · | Z ) for a fixed Z.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
RandomVariable	getConditionalExpectation(RandomVariable randomVariable) Return the conditional expectation of a given random variable.

Method Detail

getConditionalExpectation

RandomVariable getConditionalExpectation(RandomVariable randomVariable)

Return the conditional expectation of a given random variable. The definition of the filtration time is part of the object implementing this interface.

Parameters:

randomVariable - Given random variable.

Returns:

The conditional expectation of randomVariable.