Uses of Package
net.finmath.montecarlo.conditionalexpectation
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
.Provides a set product components which allow to build financial products by composition.
-
ClassDescriptionA service that allows to estimate conditional expectation via regression.Interface for objects specifying regression basis functions (a vector of random variables).Interface implemented by classes providing a
ConditionalExpectationEstimator
for conditional expectation estimation.Interfaces for object providing regression basis functions. -
ClassDescriptionInterface implemented by classes providing a
ConditionalExpectationEstimator
for conditional expectation estimation.Interfaces for object providing regression basis functions. -
ClassDescriptionInterfaces for object providing regression basis functions.