PenaltyFunction< Curve > Class Template Reference

#include <localbootstrap.hpp>

Inheritance diagram for PenaltyFunction< Curve >:

Collaboration diagram for PenaltyFunction< Curve >:

Public Member Functions
	PenaltyFunction (Curve *curve, Size initialIndex, helper_iterator rateHelpersStart, helper_iterator rateHelpersEnd)
Real	value (const Array &x) const override
	method to overload to compute the cost function value in x More...
Array	values (const Array &x) const override
	method to overload to compute the cost function values in x More...
Public Member Functions inherited from CostFunction
virtual	~CostFunction ()=default
virtual Real	value (const Array &x) const
	method to overload to compute the cost function value in x More...
virtual Array	values (const Array &x) const =0
	method to overload to compute the cost function values in x More...
virtual void	gradient (Array &grad, const Array &x) const
	method to overload to compute grad_f, the first derivative of More...
virtual Real	valueAndGradient (Array &grad, const Array &x) const
	method to overload to compute grad_f, the first derivative of More...
virtual void	jacobian (Matrix &jac, const Array &x) const
	method to overload to compute J_f, the jacobian of More...
virtual Array	valuesAndJacobian (Matrix &jac, const Array &x) const
	method to overload to compute J_f, the jacobian of More...
virtual Real	finiteDifferenceEpsilon () const
	Default epsilon for finite difference method : More...

Private Types
typedef Curve::traits_type	Traits
typedef Traits::helper	helper
typedef std::vector< ext::shared_ptr< helper > >::const_iterator	helper_iterator

Private Attributes
Curve *	curve_
Size	initialIndex_
Size	localisation_
helper_iterator	rateHelpersStart_
helper_iterator	rateHelpersEnd_

Detailed Description

template<class Curve>
class QuantLib::PenaltyFunction< Curve >

Definition at line 40 of file localbootstrap.hpp.

Member Typedef Documentation

Traits

typedef Curve::traits_type Traits

private

Definition at line 41 of file localbootstrap.hpp.

helper

typedef Traits::helper helper

private

Definition at line 42 of file localbootstrap.hpp.

helper_iterator

typedef std::vector<ext::shared_ptr<helper>>::const_iterator helper_iterator

private

Definition at line 45 of file localbootstrap.hpp.

Constructor & Destructor Documentation

PenaltyFunction()

PenaltyFunction	(	Curve *	curve,
		Size	initialIndex,
		helper_iterator	rateHelpersStart,
		helper_iterator	rateHelpersEnd
	)

Definition at line 47 of file localbootstrap.hpp.

Member Function Documentation

value()

Real value ( const Array &  x ) const

overridevirtual

method to overload to compute the cost function value in x

Reimplemented from CostFunction.

Definition at line 252 of file localbootstrap.hpp.

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values()

Array values ( const Array &  x ) const

overridevirtual

method to overload to compute the cost function values in x

Implements CostFunction.

Definition at line 274 of file localbootstrap.hpp.

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Member Data Documentation

curve_

Curve* curve_

private

Definition at line 59 of file localbootstrap.hpp.

initialIndex_

Size initialIndex_

private

Definition at line 60 of file localbootstrap.hpp.

localisation_

Size localisation_

private

Definition at line 61 of file localbootstrap.hpp.

rateHelpersStart_

helper_iterator rateHelpersStart_

private

Definition at line 62 of file localbootstrap.hpp.

rateHelpersEnd_

helper_iterator rateHelpersEnd_

private

Definition at line 63 of file localbootstrap.hpp.