QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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1
2/*
3 Copyright (C) 2000-2003 StatPro Italia srl
4
5 This file is part of QuantLib, a free-software/open-source library
6 for financial quantitative analysts and developers - http://quantlib.org/
7
8 QuantLib is free software: you can redistribute it and/or modify it
9 under the terms of the QuantLib license. You should have received a
10 copy of the license along with this program; if not, please email
11 <quantlib-dev@lists.sf.net>. The license is also available online at
12 <http://quantlib.org/license.shtml>.
13
14 This program is distributed in the hope that it will be useful, but WITHOUT
15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
16 FOR A PARTICULAR PURPOSE. See the license for more details.
17*/
18
19/*! \defgroup math Math tools
20
21 @{
22*/
23
24/*! \defgroup interpolations 1-D Interpolations and corresponding traits */
25
26/*! \defgroup solvers One-dimensional solvers
27
28 The abstract class QuantLib::Solver1D provides the interface for
29 one-dimensional solvers which can find the zeroes of a given function.
30
31 A number of such solvers is contained in the ql/Solvers1D
32 directory.
33
34 The implementation of the algorithms was inspired by
35 "Numerical Recipes in C", 2nd edition,
36 Press, Teukolsky, Vetterling, Flannery - Chapter 9
37
38 Some work is needed to resolve the ambiguity of the root finding accuracy
39 definition: for some algorithms it is the x-accuracy, for others it is
40 f(x)-accuracy.
41*/
42
43/*! \defgroup optimizers Optimizers
44
45 The optimization framework (corresponding to the ql/Optimization
46 directory) implements some multi-dimensional minimizing
47 methods. The function to be minimized is to be derived from the
48 QuantLib::CostFunction base class (if the gradient is not
49 analytically implemented, it will be computed numerically).
50*/
51
52/*! @} */