QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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projectedcostfunction.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 François du Vignaud
5 Copyright (C) 2007 Giorgio Facchinetti
6 Copyright (C) 2013 Peter Caspers
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
23
24namespace QuantLib {
25
27 const CostFunction& costFunction,
28 const Array& parameterValues,
29 const std::vector<bool>& fixParameters)
30 : Projection(parameterValues, fixParameters), costFunction_(costFunction) {}
31
33 const CostFunction& costFunction,
34 const Projection& projection)
35 : Projection(projection), costFunction_(costFunction) {}
36
37 Real ProjectedCostFunction::value(const Array& freeParameters) const {
38 mapFreeParameters(freeParameters);
40 }
41
42 Array ProjectedCostFunction::values(const Array& freeParameters) const{
43 mapFreeParameters(freeParameters);
45 }
46
47}
1-D array used in linear algebra.
Definition: array.hpp:52
Cost function abstract class for optimization problem.
virtual Array values(const Array &x) const =0
method to overload to compute the cost function values in x
virtual Real value(const Array &x) const
method to overload to compute the cost function value in x
Real value(const Array &freeParameters) const override
method to overload to compute the cost function value in x
ProjectedCostFunction(const CostFunction &costFunction, const Array &parameterValues, const std::vector< bool > &fixParameters)
Array values(const Array &freeParameters) const override
method to overload to compute the cost function values in x
void mapFreeParameters(const Array &parameterValues) const
Definition: projection.cpp:43
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
Cost function utility.