Class MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory

java.lang.Object
net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory
All Implemented Interfaces:
MonteCarloConditionalExpectationRegressionFactory

public class MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory extends Object implements MonteCarloConditionalExpectationRegressionFactory
Provides a localized linear regression with an indicator function as localization weight for a vector of regression basis functions. The regression only considers sample paths where \( - M < y_{i} < M \) where M is a multiple of the standard deviation of y.
Author:
Christian Fries
  • Constructor Details

    • MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory

      public MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory(double standardDeviations)
  • Method Details