/usr/include/ql/methods/montecarlo/parametricexercise.hpp is in libquantlib0-dev 1.7.1-1.
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
|