QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Richardson Extrapolation. More...
#include <richardsonextrapolation.hpp>
Public Member Functions | |
RichardsonExtrapolation (const ext::function< Real(Real)> &f, Real delta_h, Real n=Null< Real >()) | |
Real | operator() (Real t=2.0) const |
Real | operator() (Real t, Real s) const |
Private Attributes | |
const Real | delta_h_ |
const Real | fdelta_h_ |
const Real | n_ |
const ext::function< Real(Real)> | f_ |
Richardson Extrapolation.
Richardson Extrapolation is a sequence acceleration technique for
\[ f(\Delta h) = f_0 + \alpha\cdot (\Delta h)^n + O((\Delta h)^{n+1}) \]
References: http://en.wikipedia.org/wiki/Richardson_extrapolation
Definition at line 43 of file richardsonextrapolation.hpp.
RichardsonExtrapolation | ( | const ext::function< Real(Real)> & | f, |
Real | delta_h, | ||
Real | n = Null<Real>() |
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Richardon Extrapolation
f | function to be extrapolated to delta_h -> 0 |
delta_h | step size |
n | if known, n is the order of convergence |
Definition at line 46 of file richardsonextrapolation.cpp.
Extrapolation for known order of convergence
t | scaling factor for the step size |
Definition at line 55 of file richardsonextrapolation.cpp.
Extrapolation for unknown order of convergence
t | first scaling factor for the step size |
s | second scaling factor for the step size |
Definition at line 65 of file richardsonextrapolation.cpp.
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private |
Definition at line 66 of file richardsonextrapolation.hpp.
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private |
Definition at line 67 of file richardsonextrapolation.hpp.
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private |
Definition at line 68 of file richardsonextrapolation.hpp.
Definition at line 69 of file richardsonextrapolation.hpp.