net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLinearRegressionFactory 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.

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package net.finmath.montecarlo.conditionalexpectation;

import net.finmath.stochastic.ConditionalExpectationEstimator;
import net.finmath.stochastic.RandomVariable;

/**
 * Provides a linear regression for a vector of regression basis functions.
 *
 * @author Christian Fries
 */
public class MonteCarloConditionalExpectationLinearRegressionFactory implements MonteCarloConditionalExpectationRegressionFactory {

	@Override
	public ConditionalExpectationEstimator getConditionalExpectationEstimator(final RandomVariable[] basisFunctionsEstimator, final RandomVariable[] basisFunctionsPredictor) {
		return new MonteCarloConditionalExpectationRegression(basisFunctionsEstimator, basisFunctionsPredictor);
	}

}