Uses of Interface
net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionFactory
Package
Description
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
.-
Uses of MonteCarloConditionalExpectationRegressionFactory in net.finmath.montecarlo.conditionalexpectation
Modifier and TypeClassDescriptionclass
Provides a linear regression for a vector of regression basis functions.class
Provides a localized linear regression with an indicator function as localization weight for a vector of regression basis functions. -
Uses of MonteCarloConditionalExpectationRegressionFactory in net.finmath.montecarlo.interestrate.products
ModifierConstructorDescriptionBermudanSwaptionFromSwapSchedules
(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double[] swaprates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules, MonteCarloConditionalExpectationRegressionFactory conditionalExpectationRegressionFactory, RegressionBasisFunctionsProvider regressionBasisFunctionProvider) Create a Bermudan swaption from an array of underlying swap schedules (fix leg and float leg), swap rates and notionals.