OneDimSolverConfig Class Reference

#include <ored/configuration/onedimsolverconfig.hpp>

Inheritance diagram for OneDimSolverConfig:

Collaboration diagram for OneDimSolverConfig:

Public Member Functions
	OneDimSolverConfig ()
	Default constructor with everything QuantLib::Null. More...
	OneDimSolverConfig (QuantLib::Size maxEvaluations, QuantLib::Real initialGuess, QuantLib::Real accuracy, const std::pair< QuantLib::Real, QuantLib::Real > &minMax, QuantLib::Real lowerBound=QuantLib::Null< QuantLib::Real >(), QuantLib::Real upperBound=QuantLib::Null< QuantLib::Real >())
	Constructor for max min based solver configuration. More...
	OneDimSolverConfig (QuantLib::Size maxEvaluations, QuantLib::Real initialGuess, QuantLib::Real accuracy, QuantLib::Real step, QuantLib::Real lowerBound=QuantLib::Null< QuantLib::Real >(), QuantLib::Real upperBound=QuantLib::Null< QuantLib::Real >())
	Constructor for step based solver configuration. More...
XMLSerializable interface
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const =0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string. More...
std::string	toXMLString () const
	Parse from XML string. More...

Inspectors
QuantLib::Size	maxEvaluations_
QuantLib::Real	initialGuess_
QuantLib::Real	accuracy_
std::pair< QuantLib::Real, QuantLib::Real >	minMax_
QuantLib::Real	step_
QuantLib::Real	lowerBound_
QuantLib::Real	upperBound_
bool	empty_
QuantLib::Size	maxEvaluations () const
QuantLib::Real	initialGuess () const
QuantLib::Real	accuracy () const
const std::pair< QuantLib::Real, QuantLib::Real > &	minMax () const
QuantLib::Real	step () const
QuantLib::Real	lowerBound () const
QuantLib::Real	upperBound () const
bool	empty () const
	Return true if default constructed and not populated i.e. no useful configuration. More...
	operator QuantExt::Solver1DOptions () const
	Conversion to QuantExt::Solver1DOptions. More...
void	check () const
	Basic checks. More...

Detailed Description

Serializable 1-D solver configuration

Definition at line 36 of file onedimsolverconfig.hpp.

Constructor & Destructor Documentation

OneDimSolverConfig() [1/3]

OneDimSolverConfig

(

)

Default constructor with everything QuantLib::Null.

Definition at line 30 of file onedimsolverconfig.cpp.

    : maxEvaluations_(Null<Size>()),
      initialGuess_(Null<Real>()),
      accuracy_(Null<Real>()),
      minMax_(make_pair(Null<Real>(), Null<Real>())),
      step_(Null<Real>()),
      lowerBound_(Null<Real>()),
      upperBound_(Null<Real>()),
      empty_(true) {}

OneDimSolverConfig() [2/3]

OneDimSolverConfig	(	QuantLib::Size	maxEvaluations,
		QuantLib::Real	initialGuess,
		QuantLib::Real	accuracy,
		const std::pair< QuantLib::Real, QuantLib::Real > &	minMax,
		QuantLib::Real	lowerBound = QuantLib::Null< QuantLib::Real >(),
		QuantLib::Real	upperBound = QuantLib::Null< QuantLib::Real >()
	)

Constructor for max min based solver configuration.

OneDimSolverConfig() [3/3]

OneDimSolverConfig	(	QuantLib::Size	maxEvaluations,
		QuantLib::Real	initialGuess,
		QuantLib::Real	accuracy,
		QuantLib::Real	step,
		QuantLib::Real	lowerBound = QuantLib::Null< QuantLib::Real >(),
		QuantLib::Real	upperBound = QuantLib::Null< QuantLib::Real >()
	)

Constructor for step based solver configuration.

Member Function Documentation

fromXML()

void fromXML ( ore::data::XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 74 of file onedimsolverconfig.cpp.

                                              {
 
    XMLUtils::checkNode(node, "OneDimSolverConfig");
 
    maxEvaluations_ = XMLUtils::getChildValueAsInt(node, "MaxEvaluations", true);
    initialGuess_ = XMLUtils::getChildValueAsDouble(node, "InitialGuess", true);
    accuracy_ = XMLUtils::getChildValueAsDouble(node, "Accuracy", true);
 
    // Choice between (min, max) pair or step
    if (XMLNode* minMaxNode = XMLUtils::getChildNode(node, "MinMax")) {
        Real min = XMLUtils::getChildValueAsDouble(minMaxNode, "Min", true);
        Real max = XMLUtils::getChildValueAsDouble(minMaxNode, "Max", true);
        minMax_ = make_pair(min, max);
    } else if (XMLNode* stepNode = XMLUtils::getChildNode(node, "Step")) {
        step_ = parseReal(XMLUtils::getNodeValue(stepNode));
    } else {
        QL_FAIL("OneDimSolverConfig: expected a MinMax or Step node.");
    }
 
    lowerBound_ = Null<Real>();
    if (XMLNode* n = XMLUtils::getChildNode(node, "LowerBound")) {
        lowerBound_ = parseReal(XMLUtils::getNodeValue(n));
    }
 
    upperBound_ = Null<Real>();
    if (XMLNode* n = XMLUtils::getChildNode(node, "UpperBound")) {
        upperBound_ = parseReal(XMLUtils::getNodeValue(n));
    }
 
    check();
 
    empty_ = false;
}

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toXML()

XMLNode * toXML ( ore::data::XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 108 of file onedimsolverconfig.cpp.

                                                         {
 
    XMLNode* node = doc.allocNode("OneDimSolverConfig");
 
    XMLUtils::addChild(doc, node, "MaxEvaluations", static_cast<int>(maxEvaluations_));
    XMLUtils::addChild(doc, node, "InitialGuess", initialGuess_);
    XMLUtils::addChild(doc, node, "Accuracy", accuracy_);
 
    if (step_ != Null<Real>()) {
        XMLUtils::addChild(doc, node, "Step", accuracy_);
    } else {
        XMLNode* minMaxNode = doc.allocNode("MinMax");
        XMLUtils::addChild(doc, minMaxNode, "Min", minMax_.first);
        XMLUtils::addChild(doc, minMaxNode, "Max", minMax_.second);
        XMLUtils::appendNode(node, minMaxNode);
    }
 
    if (lowerBound_ != Null<Real>())
        XMLUtils::addChild(doc, node, "LowerBound", lowerBound_);
 
    if (upperBound_ != Null<Real>())
        XMLUtils::addChild(doc, node, "UpperBound", upperBound_);
 
    return node;
}

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maxEvaluations()

QuantLib::Size maxEvaluations

(

)

const

Definition at line 65 of file onedimsolverconfig.hpp.

{ return maxEvaluations_; }

initialGuess()

QuantLib::Real initialGuess

(

)

const

Definition at line 66 of file onedimsolverconfig.hpp.

{ return initialGuess_; }

accuracy()

QuantLib::Real accuracy

(

)

const

Definition at line 67 of file onedimsolverconfig.hpp.

{ return accuracy_; }

minMax()

const std::pair< QuantLib::Real, QuantLib::Real > & minMax

(

)

const

Definition at line 68 of file onedimsolverconfig.hpp.

{ return minMax_; }

step()

QuantLib::Real step

(

)

const

Definition at line 69 of file onedimsolverconfig.hpp.

{ return step_; }

lowerBound()

QuantLib::Real lowerBound

(

)

const

Definition at line 70 of file onedimsolverconfig.hpp.

{ return lowerBound_; }

upperBound()

QuantLib::Real upperBound

(

)

const

Definition at line 71 of file onedimsolverconfig.hpp.

{ return upperBound_; }

empty()

bool empty

(

)

const

Return true if default constructed and not populated i.e. no useful configuration.

Definition at line 75 of file onedimsolverconfig.hpp.

{ return empty_; }

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operator QuantExt::Solver1DOptions()

operator QuantExt::Solver1DOptions

(

)

const

Conversion to QuantExt::Solver1DOptions.

Definition at line 136 of file onedimsolverconfig.cpp.

                                                           {
 
    Solver1DOptions solverOptions;
 
    if (!empty_) {
        solverOptions.maxEvaluations = maxEvaluations_;
        solverOptions.accuracy = accuracy_;
        solverOptions.initialGuess = initialGuess_;
        solverOptions.minMax = minMax_;
        solverOptions.step = step_;
        solverOptions.lowerBound = lowerBound_;
        solverOptions.upperBound = upperBound_;
    }
 
    return solverOptions;
}

check()

void check ( ) const

private

Basic checks.

Definition at line 153 of file onedimsolverconfig.cpp.

                                     {
 
    QL_REQUIRE(maxEvaluations_ > 0, "MaxEvaluations (" << maxEvaluations_ << ") should be positive.");
    QL_REQUIRE(accuracy_ > 0, "Accuracy (" << accuracy_ << ") should be positive.");
 
    if (step_ != Null<Real>()) {
        QL_REQUIRE(step_ > 0, "Step (" << step_ << ") should be positive when given.");
    } else {
        const Real& min = minMax_.first;
        const Real& max = minMax_.second;
        QL_REQUIRE(min != Null<Real>() && max != Null<Real>(), "When Step is not given" <<
            " Min and Max should be provided.");
        QL_REQUIRE(min < max, "When given, Min (" << min << ") should be less than Max (" << max <<").");
    }
 
    if (lowerBound_ != Null<Real>() && upperBound_ != Null<Real>()) {
        QL_REQUIRE(lowerBound_ < upperBound_, "When given, LowerBound (" << lowerBound_ <<
            ") should be less than UpperBound (" << upperBound_ << ").");
    }
}

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Member Data Documentation

maxEvaluations_

QuantLib::Size maxEvaluations_

private

Definition at line 81 of file onedimsolverconfig.hpp.

initialGuess_

QuantLib::Real initialGuess_

private

Definition at line 82 of file onedimsolverconfig.hpp.

accuracy_

QuantLib::Real accuracy_

private

Definition at line 83 of file onedimsolverconfig.hpp.

minMax_

std::pair<QuantLib::Real, QuantLib::Real> minMax_

private

Definition at line 84 of file onedimsolverconfig.hpp.

step_

QuantLib::Real step_

private

Definition at line 85 of file onedimsolverconfig.hpp.

lowerBound_

QuantLib::Real lowerBound_

private

Definition at line 86 of file onedimsolverconfig.hpp.

upperBound_

QuantLib::Real upperBound_

private

Definition at line 87 of file onedimsolverconfig.hpp.

empty_

bool empty_

private

Definition at line 90 of file onedimsolverconfig.hpp.