Module net.finmath.lib

Package net.finmath.montecarlo.conditionalexpectation

Interface RegressionBasisFunctionsProvider

All Known Implementing Classes:

BermudanSwaption, BermudanSwaptionFromSwapSchedules, Option, RegressionBasisFunctionsFromProducts

public interface RegressionBasisFunctionsProvider

Interfaces for object providing regression basis functions.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
RandomVariable[]	getBasisFunctions(double evaluationTime, MonteCarloSimulationModel model)	Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.

Method Details

getBasisFunctions

RandomVariable[] getBasisFunctions(double evaluationTime,
 MonteCarloSimulationModel model)
                            throws CalculationException

Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.

Parameters:

evaluationTime - The evaluation time \( t \) at which the basis function should be observed.

model - The Monte-Carlo model used to derive the basis function.

Returns:

An \( \mathcal{F}_{t} \)-measurable random variable.

Throws:

CalculationException - Thrown if derivation of the basis function fails.