The first picaresque novel in European literature was the Spanish novel Lazarillo de Tormes, which was first published in 1554. The Wikipedia article about the genre does not mention any examples in Portuguese even though both countries share a long border and use languages belonging to the same language family. I would assume that there was some form of cultural exchange between Spain and Portugal. For example, the Portuguese historian and poet Manuel de Faria e Sousa (1590–1649; previously mentioned in a question about the Lusiads) frequently wrote in Spanish.
The Portuguese Wikipedia article about the picaresque novel does not seem to mention any Portuguese examples of the genre. Did the editors of that article overlook Portuguese examples or were Portuguese authors never interested in the genre?
