QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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constraint.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 Sadruddin Rejeb
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
21#include <utility>
22
23namespace QuantLib {
24
25 Constraint::Constraint(ext::shared_ptr<Constraint::Impl> impl) : impl_(std::move(impl)) {}
26
27 Real Constraint::update(Array& params, const Array& direction, Real beta) const {
28
29 Real diff=beta;
30 Array newParams = params + diff*direction;
31 bool valid = test(newParams);
32 Integer icount = 0;
33 while (!valid) {
34 if (icount > 200)
35 QL_FAIL("can't update parameter vector");
36 diff *= 0.5;
37 icount ++;
38 newParams = params + diff*direction;
39 valid = test(newParams);
40 }
41 params += diff*direction;
42 return diff;
43 }
44}
1-D array used in linear algebra.
Definition: array.hpp:52
bool test(const Array &p) const
Definition: constraint.hpp:57
Real update(Array &p, const Array &direction, Real beta) const
Definition: constraint.cpp:27
Constraint(ext::shared_ptr< Impl > impl=ext::shared_ptr< Impl >())
Definition: constraint.cpp:25
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
Definition: any.hpp:35
STL namespace.
Real beta
Definition: sabr.cpp:200