QuantLib_RichardsonExtrapolation man page

RichardsonExtrapolation — Richardson Extrapolation.

Synopsis

#include <ql/math/richardsonextrapolation.hpp>

Public Member Functions

RichardsonExtrapolation (const boost::function< Real(Real)> &f, Real delta_h, Real n=Null< Real >())

Real operator() (Real t=2.0) const

Real operator() (Real t, Real s) const

Detailed Description

Richardson Extrapolation.

Richardson Extrapolation is a sequence acceleration technique for [ f(Delta h) = f_0 + alphacdot (Delta h)^n + O((Delta h)^{n+1}) ]

References: http://en.wikipedia.org/wiki/Richardson…

Constructor & Destructor Documentation

RichardsonExtrapolation (const boost::function< Real(Real)> & f, Real delta_h, Real n = Null< Real >())

Richardon Extrapolation

Parameters:

f function to be extrapolated to delta_h -> 0
delta_h step size
n if known, n is the order of convergence

Member Function Documentation

Real operator() (Real t = 2.0) const

Extrapolation for known order of convergence

Parameters:

t scaling factor for the step size

Real operator() (Real t, Real s) const

Extrapolation for unknown order of convergence

Parameters:

t first scaling factor for the step size
s second scaling factor for the step size

Author

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Referenced By

RichardsonExtrapolation(3) is an alias of QuantLib_RichardsonExtrapolation(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib