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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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/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 13.08.2004
*/
package net.finmath.stochastic;
/**
* The interface which has to be implemented by a fixed conditional expectation operator,
* i.e., E( · | Z ) for a fixed Z.
*
* @author Christian Fries
* @version 1.0
*/
public interface ConditionalExpectationEstimator {
/**
* Return the conditional expectation of a given random variable.
* The definition of the filtration time is part of the object implementing this interface.
*
* @param randomVariable Given random variable.
* @return The conditional expectation of randomVariable.
*/
RandomVariable getConditionalExpectation(RandomVariable randomVariable);
}