Uses of Interface
net.finmath.stochastic.ConditionalExpectationEstimator
Package
Description
Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation
of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
Provides the implementation of backward automatic differentiation.
Provides the implementation of forward automatic differentiation.
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations,
also known as "American Monte-Carlo".
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
.Interfaces specifying operations on random variables.
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Uses of ConditionalExpectationEstimator in net.finmath.montecarlo
Modifier and TypeMethodDescriptionRandomVariableFromDoubleArray.getConditionalExpectation
(ConditionalExpectationEstimator conditionalExpectationOperator) RandomVariableFromFloatArray.getConditionalExpectation
(ConditionalExpectationEstimator conditionalExpectationOperator) -
Uses of ConditionalExpectationEstimator in net.finmath.montecarlo.automaticdifferentiation.backward
Modifier and TypeMethodDescriptionRandomVariableDifferentiableAAD.getConditionalExpectation
(ConditionalExpectationEstimator estimator) ModifierConstructorDescriptionRandomVariableDifferentiableAAD
(RandomVariable values, List<net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD.OperatorTreeNode> argumentOperatorTreeNodes, List<RandomVariable> argumentValues, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD.OperatorType operator, RandomVariableDifferentiableAADFactory factory, int methodArgumentTypePriority) RandomVariableDifferentiableAAD
(RandomVariable values, List<RandomVariable> arguments, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD.OperatorType operator, RandomVariableDifferentiableAADFactory factory) RandomVariableDifferentiableAAD
(RandomVariable values, List<RandomVariable> arguments, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD.OperatorType operator, RandomVariableDifferentiableAADFactory factory, int methodArgumentTypePriority) -
Uses of ConditionalExpectationEstimator in net.finmath.montecarlo.automaticdifferentiation.forward
Modifier and TypeMethodDescriptionRandomVariableDifferentiableAD.getConditionalExpectation
(ConditionalExpectationEstimator estimator) ModifierConstructorDescriptionRandomVariableDifferentiableAD
(RandomVariable values, List<RandomVariable> arguments, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorType operator) RandomVariableDifferentiableAD
(RandomVariable values, List<RandomVariable> arguments, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorType operator, int methodArgumentTypePriority) -
Uses of ConditionalExpectationEstimator in net.finmath.montecarlo.conditionalexpectation
Modifier and TypeClassDescriptionclass
A service that allows to estimate conditional expectation via regression.class
A service that allows to estimate conditional expectation via regression.Modifier and TypeMethodDescriptionMonteCarloConditionalExpectationLinearRegressionFactory.getConditionalExpectationEstimator
(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor) MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory.getConditionalExpectationEstimator
(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor) MonteCarloConditionalExpectationRegressionFactory.getConditionalExpectationEstimator
(RandomVariable[] basisFunctionsEstimator, RandomVariable[] basisFunctionsPredictor) Creates an object implementing aConditionalExpectationEstimator
for conditional expectation estimation. -
Uses of ConditionalExpectationEstimator in net.finmath.montecarlo.interestrate.products
Modifier and TypeMethodDescriptionBermudanSwaption.getConditionalExpectationEstimator
(double fixingDate, TermStructureMonteCarloSimulationModel model) Return the conditional expectation estimator suitable for this product.BermudanSwaptionFromSwapSchedules.getConditionalExpectationEstimator
(double exerciseTime, TermStructureMonteCarloSimulationModel model) The conditional expectation is calculated using a Monte-Carlo regression technique. -
Uses of ConditionalExpectationEstimator in net.finmath.stochastic
Modifier and TypeMethodDescriptiondefault RandomVariable
RandomVariable.getConditionalExpectation
(ConditionalExpectationEstimator conditionalExpectationOperator) Returns the conditional expectation using a given conditional expectation estimator.default RandomVariableArray
RandomVariableArray.getConditionalExpectation
(ConditionalExpectationEstimator conditionalExpectationOperator)