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

Go to the source code of this file.

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...
 

Variable Documentation

◆ simulationData_

const std::vector<NodeData>& simulationData_
private

Definition at line 39 of file parametricexercise.cpp.

◆ exercise_

const ParametricExercise& exercise_
private

Definition at line 40 of file parametricexercise.cpp.

◆ exerciseIndex_

Size exerciseIndex_
private

Definition at line 41 of file parametricexercise.cpp.

◆ parameters_

std::vector<Real> parameters_
mutableprivate

Definition at line 42 of file parametricexercise.cpp.