Hi
Mixed integer programming is not available in QuantLib. I've used e.g. glpk (
http://www.gnu.org/software/glpk/) together with QuantLib in the past to solve this kind of problems.
regards
Klaus
simone pilozzi <[hidden email]> hat am 5. November 2013 um 18:13 geschrieben:
Dear All,
This is to know if some implementation of Mixed Integer Programming is available on QuantLib. The problem is to translate a portfolio allocation in notionals (for futures) to an allocation in units.
Many Thanks in adavance
Simone
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