QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <localbootstrap.hpp>
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_ |
Definition at line 40 of file localbootstrap.hpp.
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private |
Definition at line 41 of file localbootstrap.hpp.
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private |
Definition at line 42 of file localbootstrap.hpp.
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Definition at line 45 of file localbootstrap.hpp.
PenaltyFunction | ( | Curve * | curve, |
Size | initialIndex, | ||
helper_iterator | rateHelpersStart, | ||
helper_iterator | rateHelpersEnd | ||
) |
Definition at line 47 of file localbootstrap.hpp.
method to overload to compute the cost function value in x
Reimplemented from CostFunction.
Definition at line 253 of file localbootstrap.hpp.
method to overload to compute the cost function values in x
Implements CostFunction.
Definition at line 275 of file localbootstrap.hpp.
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Definition at line 59 of file localbootstrap.hpp.
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private |
Definition at line 60 of file localbootstrap.hpp.
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Definition at line 61 of file localbootstrap.hpp.
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Definition at line 62 of file localbootstrap.hpp.
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Definition at line 63 of file localbootstrap.hpp.