/usr/include/ql/methods/montecarlo/parametricexercise.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
| 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
 Copyright (C) 2006 StatPro Italia srl
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
#ifndef quantlib_parametric_exercise_hpp
#define quantlib_parametric_exercise_hpp
#include <ql/methods/montecarlo/nodedata.hpp>
#include <ql/math/optimization/method.hpp>
namespace QuantLib {
    class ParametricExercise {
      public:
        virtual ~ParametricExercise() {}
        // possibly different for each exercise
        virtual std::vector<Size> numberOfVariables() const = 0;
        virtual std::vector<Size> numberOfParameters() const = 0;
        virtual bool exercise(Size exerciseNumber,
                              const std::vector<Real>& parameters,
                              const std::vector<Real>& variables) const = 0;
        virtual void guess(Size exerciseNumber,
                           std::vector<Real>& parameters) const = 0;
    };
    
    //! returns the biased estimate obtained while optimizing
    /* TODO document:
       n exercises, n+1 elements in simulationData
       simulationData[0][j] -> cashflows up to first exercise, j-th path
       simulationData[i+1][j] -> i-th exercise, j-th path
       simulationData[0][j].foo unused (unusable?) if foo != cumulatedCashFlows
       parameters.size() = n
    */
    Real genericEarlyExerciseOptimization(
        std::vector<std::vector<NodeData> >& simulationData,
        const ParametricExercise& exercise,
        std::vector<std::vector<Real> >& parameters,
        const EndCriteria& endCriteria,
        OptimizationMethod& method);
}
#endif
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