QuantLib_Solver1D man page

Solver1D< Impl > — Base class for 1-D solvers.

Synopsis

#include <ql/math/solver1d.hpp>

Inherits CuriouslyRecurringTemplate< Impl >.

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_

Additional Inherited 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:

·
xMin_ and xMax_ form a valid bracket;
·
fxMin_ and fxMax_ contain the values of the function in xMin_ and xMax_;
·
root_ is a valid initial guess. The implementation of solveImpl can safely assume all of the above.

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 $ \psilon $; depending on the particular solver, this might mean that the returned $ x $ is such that $ |f(x)| < \psilon $, or that $ |x-xi| < \psilon $ where $ xi $ is the real zero.

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 $ \psilon $; depending on the particular solver, this might mean that the returned $ x $ is such that $ |f(x)| < \psilon $, or that $ |x-xi| < \psilon $ where $ xi $ is the real zero.

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

evaluationNumber_(3), fxMax_(3), fxMin_(3), maxEvaluations_(3), root_(3), setLowerBound(3), setMaxEvaluations(3), setUpperBound(3), solve(3), xMax_(3) and xMin_(3) are aliases of QuantLib_Solver1D(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib