Optimization is a topic that covers a set of techniques used to find the minimum or maximum of a function over a predetermined group of conditions. Optimization strategies are employed in several areas of financial engineering, and as such should be part of the basic skill set of financial developers.
In this chapter we discuss programming examples that explore a few of the implement aspects of optimization algorithms. We start with a concise explanation of some techniques and how they are typically implemented in C++. Topics covered in this chapter include the following: