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);
}
}