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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | |
| class | ConjugateGradient |
| Multi-dimensional Conjugate Gradient class. More... | |
| class | DifferentialEvolution |
| Differential Evolution configuration object. More... | |
| class | LevenbergMarquardt |
| Levenberg-Marquardt optimization method. More... | |
| class | Simplex |
| Multi-dimensional simplex class. More... | |
| class | SimulatedAnnealing< RNG > |
| Simulated Annealing. More... | |
The optimization framework (corresponding to the ql/Optimization directory) implements some multi-dimensional minimizing methods. The function to be minimized is to be derived from the QuantLib::CostFunction base class (if the gradient is not analytically implemented, it will be computed numerically).