QuantLib::Solver1D

Solver1D Class Template Reference

#include <ql/solver1d.hpp>

Inheritance diagram for Solver1D:

Inheritance graph
[legend]
List of all members.

Detailed Description

template<class Impl>
class QuantLib::Solver1D< Impl >

Base class for 1-D solvers.

The implementation of this class uses the so-called "Barton-Nackman trick", also known as "the curiously recurring template pattern". Concrete solvers will be declared as: 

        class Foo : public Solver1D<Foo> {
          public:
            ...
            template <class F>
            Real solveImpl(const F& f, Real accuracy) const {
                ...
            }
        };
Before calling solveImpl, the base class will set its protected data members so that:

Todo:
  • clean up the interface so that it is clear whether the accuracy is specified for $ x $ or $ f(x) $.
  • add target value (now the target value is 0.0)


Public Member Functions

Modifiers
template<class F>
Real solve (const F &f, Real accuracy, Real guess, Real step) const
template<class F>
Real solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const
void setMaxEvaluations (Size evaluations)
void setLowerBound (Real lowerBound)
 sets the lower bound for the function domain
void setUpperBound (Real upperBound)
 sets the upper bound for the function domain

Protected Attributes

Real root_
Real xMin_
Real xMax_
Real fxMin_
Real fxMax_
Size maxEvaluations_
Size evaluationNumber_

Member Function Documentation

Real solve (  const F &  f,
Real  accuracy,
Real  guess,
Real  step
)  const
 

This method returns the zero of the function $ f $, determined with the given accuracy (i.e., $ x $ is considered a zero if $ |f(x)| < accuracy $). This method contains a bracketing routine to which an initial guess must be supplied as well as a step used to scan the range of the possible bracketing values.

Real solve (  const F &  f,
Real  accuracy,
Real  guess,
Real  xMin,
Real  xMax
)  const
 

This method returns the zero of the function $ f $, determined with the given accuracy (i.e., $ x $ is considered a zero if $ |f(x)| < accuracy $). An initial guess must be supplied, as well as two values $ x_\mathrm{min} $ and $ x_\mathrm{max} $ which must bracket the zero (i.e., either $ f(x_\mathrm{min}) \leq 0 \leq f(x_\mathrm{max}) $, or $ f(x_\mathrm{max}) \leq 0 \leq f(x_\mathrm{min}) $ must be true).

void setMaxEvaluations (  Size  evaluations  ) 
 

This method sets the maximum number of function evaluations for the bracketing routine. An error is thrown if a bracket is not found after this number of evaluations.

QuantLib.org
QuantLib 		Hosted by
SourceForge.net Logo 		Documentation generated by
doxygen