parametricexercise.cpp File Reference

#include <ql/methods/montecarlo/parametricexercise.hpp>
#include <ql/math/optimization/problem.hpp>
#include <ql/math/optimization/constraint.hpp>

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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.