QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces | Functions
parametricexercise.hpp File Reference
#include <ql/methods/montecarlo/nodedata.hpp>
#include <ql/math/optimization/method.hpp>

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Classes

class  ParametricExercise
 

Namespaces

namespace  QuantLib
 

Functions

Real genericEarlyExerciseOptimization (std::vector< std::vector< NodeData > > &simulationData, const ParametricExercise &exercise, std::vector< std::vector< Real > > &parameters, const EndCriteria &endCriteria, OptimizationMethod &method)
 returns the biased estimate obtained while optimizing More...