QuantLib: a free/open-source library for quantitative finance
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falseposition.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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
20/*! \file falseposition.hpp
21 \brief false-position 1-D solver
22*/
23
24#ifndef quantlib_solver1d_falseposition_h
25#define quantlib_solver1d_falseposition_h
26
27#include <ql/math/solver1d.hpp>
28
29namespace QuantLib {
30
31 //! False position 1-D solver
32 /*! \test the correctness of the returned values is tested by
33 checking them against known good results.
34
35 \ingroup solvers
36 */
37 class FalsePosition : public Solver1D<FalsePosition> {
38 public:
39 template <class F>
40 Real solveImpl(const F& f,
41 Real xAccuracy) const {
42
43 /* The implementation of the algorithm was inspired by
44 Press, Teukolsky, Vetterling, and Flannery,
45 "Numerical Recipes in C", 2nd edition,
46 Cambridge University Press
47 */
48
49 Real fl, fh, xl, xh;
50 // Identify the limits so that xl corresponds to the low side
51 if (fxMin_ < 0.0) {
52 xl = xMin_;
53 fl = fxMin_;
54 xh = xMax_;
55 fh = fxMax_;
56 } else {
57 xl = xMax_;
58 fl = fxMax_;
59 xh = xMin_;
60 fh = fxMin_;
61 }
62
63 Real del, froot;
65 // Increment with respect to latest value
66 root_ = xl+(xh-xl)*fl/(fl-fh);
67 froot = f(root_);
69 if (froot < 0.0) { // Replace appropriate limit
70 del = xl-root_;
71 xl = root_;
72 fl = froot;
73 } else {
74 del = xh-root_;
75 xh = root_;
76 fh = froot;
77 }
78 // Convergence criterion
79 if (std::fabs(del) < xAccuracy || (close(froot, 0.0)))
80 return root_;
81 }
82
83 QL_FAIL("maximum number of function evaluations ("
84 << maxEvaluations_ << ") exceeded");
85 }
86 };
87
88}
89
90#endif
False position 1-D solver.
Real solveImpl(const F &f, Real xAccuracy) const
Base class for 1-D solvers.
Definition: solver1d.hpp:67
#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
Definition: any.hpp:35
bool close(const Quantity &m1, const Quantity &m2, Size n)
Definition: quantity.cpp:163
Real F
Definition: sabr.cpp:200
Abstract 1-D solver class.