QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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linesearch.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
23
24namespace QuantLib {
25
27 const Array& direction,
28 Real beta,
29 const Constraint& constraint) {
30
31 Real diff=beta;
32 Array newParams = params + diff*direction;
33 bool valid = constraint.test(newParams);
34 Integer icount = 0;
35 while (!valid) {
36 if (icount > 200)
37 QL_FAIL("can't update linesearch");
38 diff *= 0.5;
39 icount ++;
40 newParams = params + diff*direction;
41 valid = constraint.test(newParams);
42 }
43 params += diff*direction;
44 return diff;
45 }
46
47}
1-D array used in linear algebra.
Definition: array.hpp:52
Base constraint class.
Definition: constraint.hpp:35
bool test(const Array &p) const
Definition: constraint.hpp:57
Real update(Array &params, const Array &direction, Real beta, const Constraint &constraint)
Definition: linesearch.cpp:26
Abstract constraint class.
#define QL_FAIL(message)
throw an error (possibly with file and line information)
Definition: errors.hpp:92
QL_REAL Real
real number
Definition: types.hpp:50
QL_INTEGER Integer
integer number
Definition: types.hpp:35
Line search abstract class.
Definition: any.hpp:35
Abstract optimization problem class.
Real beta
Definition: sabr.cpp:200