net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsProvider Maven / Gradle / Ivy
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 26.08.2018
*/
package net.finmath.montecarlo.conditionalexpectation;
import net.finmath.exception.CalculationException;
import net.finmath.montecarlo.MonteCarloSimulationModel;
import net.finmath.stochastic.RandomVariable;
/**
* Interfaces for object providing regression basis functions.
*
* @author Christian Fries
* @version 1.0
*/
public interface RegressionBasisFunctionsProvider {
/**
* Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.
*
* @param evaluationTime The evaluation time \( t \) at which the basis function should be observed.
* @param model The Monte-Carlo model used to derive the basis function.
* @return An \( \mathcal{F}_{t} \)-measurable random variable.
* @throws CalculationException Thrown if derivation of the basis function fails.
*/
RandomVariable[] getBasisFunctions(double evaluationTime, MonteCarloSimulationModel model) throws CalculationException;
}