falseposition.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_solver1d_falseposition_h
#define quantlib_solver1d_falseposition_h
 
#include <ql/math/solver1d.hpp>
 
namespace QuantLib {
 
 
    class FalsePosition : public Solver1D<FalsePosition> {
      public:
        template <class F>
        Real solveImpl(const F& f,
                       Real xAccuracy) const {
 
            /* The implementation of the algorithm was inspired by
               Press, Teukolsky, Vetterling, and Flannery,
               "Numerical Recipes in C", 2nd edition,
               Cambridge University Press
            */
 
            Real fl, fh, xl, xh;
            // Identify the limits so that xl corresponds to the low side
            if (fxMin_ < 0.0) {
                xl = xMin_;
                fl = fxMin_;
                xh = xMax_;
                fh = fxMax_;
            } else {
                xl = xMax_;
                fl = fxMax_;
                xh = xMin_;
                fh = fxMin_;
            }
 
            Real del, froot;
            while (evaluationNumber_<=maxEvaluations_) {
                // Increment with respect to latest value
                root_ = xl+(xh-xl)*fl/(fl-fh);
                froot = f(root_);
                ++evaluationNumber_;
                if (froot < 0.0) {       // Replace appropriate limit
                    del = xl-root_;
                    xl = root_;
                    fl = froot;
                } else {
                    del = xh-root_;
                    xh = root_;
                    fh = froot;
                }
                // Convergence criterion
                if (std::fabs(del) < xAccuracy || (close(froot, 0.0)))
                    return root_;
            }
 
            QL_FAIL("maximum number of function evaluations ("
                    << maxEvaluations_ << ") exceeded");
        }
    };
 
}
 
#endif