net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionFactory Maven / Gradle / Ivy
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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
package net.finmath.montecarlo.conditionalexpectation;
import net.finmath.stochastic.ConditionalExpectationEstimator;
import net.finmath.stochastic.RandomVariable;
/**
* Interface implemented by classes providing a ConditionalExpectationEstimator for conditional expectation estimation.
*
* @author Christian Fries
*/
public interface MonteCarloConditionalExpectationRegressionFactory {
/**
* Creates an object implementing a ConditionalExpectationEstimator for conditional expectation estimation.
*
* @param basisFunctionsEstimator A vector of random variables to be used as basis functions for estimation.
* @param basisFunctionsPredictor A vector of random variables to be used as basis functions for prediction.
* @return An object implementing a ConditionalExpectationEstimator.
*/
ConditionalExpectationEstimator getConditionalExpectationEstimator(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor);
}