21#ifndef quantlib_parametric_exercise_hpp
22#define quantlib_parametric_exercise_hpp
36 const std::vector<Real>& parameters,
37 const std::vector<Real>& variables)
const = 0;
39 std::vector<Real>& parameters)
const = 0;
54 std::vector<std::vector<NodeData> >& simulationData,
56 std::vector<std::vector<Real> >& parameters,
Criteria to end optimization process:
Abstract class for constrained optimization method.
virtual void guess(Size exerciseNumber, std::vector< Real > ¶meters) const =0
virtual std::vector< Size > numberOfVariables() const =0
virtual std::vector< Size > numberOfParameters() const =0
virtual bool exercise(Size exerciseNumber, const std::vector< Real > ¶meters, const std::vector< Real > &variables) const =0
virtual ~ParametricExercise()=default
std::size_t Size
size of a container
Abstract optimization method class.
Real genericEarlyExerciseOptimization(std::vector< std::vector< NodeData > > &simulationData, const ParametricExercise &exercise, std::vector< std::vector< Real > > ¶meters, const EndCriteria &endCriteria, OptimizationMethod &method)
returns the biased estimate obtained while optimizing