QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Base class for 1-D solvers. More...
#include <solver1d.hpp>
Public Member Functions | |
Solver1D ()=default | |
Modifiers | |
Real | root_ |
Real | xMin_ |
Real | xMax_ |
Real | fxMin_ |
Real | fxMax_ |
Size | maxEvaluations_ = 100 |
Size | evaluationNumber_ |
Real | lowerBound_ {} |
Real | upperBound_ {} |
bool | lowerBoundEnforced_ = false |
bool | upperBoundEnforced_ = false |
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 More... | |
void | setUpperBound (Real upperBound) |
sets the upper bound for the function domain More... | |
Real | enforceBounds_ (Real x) const |
Additional Inherited Members | |
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl > | |
CuriouslyRecurringTemplate ()=default | |
~CuriouslyRecurringTemplate ()=default | |
Impl & | impl () |
const Impl & | impl () const |
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:
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.Definition at line 67 of file solver1d.hpp.
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default |
This method returns the zero of the function \( f \), determined with the given accuracy \( \epsilon \); depending on the particular solver, this might mean that the returned \( x \) is such that \( |f(x)| < \epsilon \), or that \( |x-\xi| < \epsilon \) 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.
Definition at line 84 of file solver1d.hpp.
This method returns the zero of the function \( f \), determined with the given accuracy \( \epsilon \); depending on the particular solver, this might mean that the returned \( x \) is such that \( |f(x)| < \epsilon \), or that \( |x-\xi| < \epsilon \) 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).
Definition at line 163 of file solver1d.hpp.
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.
Definition at line 238 of file solver1d.hpp.
void setLowerBound | ( | Real | lowerBound | ) |
sets the lower bound for the function domain
Definition at line 243 of file solver1d.hpp.
void setUpperBound | ( | Real | upperBound | ) |
sets the upper bound for the function domain
Definition at line 249 of file solver1d.hpp.
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mutableprotected |
Definition at line 225 of file solver1d.hpp.
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protected |
Definition at line 225 of file solver1d.hpp.
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protected |
Definition at line 225 of file solver1d.hpp.
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protected |
Definition at line 225 of file solver1d.hpp.
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protected |
Definition at line 225 of file solver1d.hpp.
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protected |
Definition at line 226 of file solver1d.hpp.
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mutableprotected |
Definition at line 227 of file solver1d.hpp.
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private |
Definition at line 230 of file solver1d.hpp.
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private |
Definition at line 230 of file solver1d.hpp.
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private |
Definition at line 231 of file solver1d.hpp.
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private |
Definition at line 231 of file solver1d.hpp.