Module net.finmath.lib
Package net.finmath.stochastic

Interface ConditionalExpectationEstimator

All Known Implementing Classes:
MonteCarloConditionalExpectationRegression, MonteCarloConditionalExpectationRegressionLocalizedOnDependents
public interface ConditionalExpectationEstimator
The interface which has to be implemented by a fixed conditional expectation operator, i.e., E( · | Z ) for a fixed Z.
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getConditionalExpectation

      RandomVariable getConditionalExpectation​(RandomVariable randomVariable)
      Return the conditional expectation of a given random variable. The definition of the filtration time is part of the object implementing this interface.
      Parameters:
      randomVariable - Given random variable.
      Returns:
      The conditional expectation of randomVariable.