External module "ql/methods/montecarlo/parametricexercise"

genericEarlyExerciseOptimization

• genericEarlyExerciseOptimization(simulationData: NodeData[][], exercise: ParametricExercise, parameters: Real[][], endCriteria: EndCriteria, method: OptimizationMethod): Real

• 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

  Parameters

  • simulationData: NodeData[][]

  • exercise: ParametricExercise

  • parameters: Real[][]

  • endCriteria: EndCriteria

  • method: OptimizationMethod

  Returns Real