QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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/*
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Copyright (C) 2000-2003 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \defgroup math Math tools
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@{
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*/
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/*! \defgroup interpolations 1-D Interpolations and corresponding traits */
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/*! \defgroup solvers One-dimensional solvers
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The abstract class QuantLib::Solver1D provides the interface for
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one-dimensional solvers which can find the zeroes of a given function.
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A number of such solvers is contained in the ql/Solvers1D
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directory.
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The implementation of the algorithms was inspired by
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"Numerical Recipes in C", 2nd edition,
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Press, Teukolsky, Vetterling, Flannery - Chapter 9
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Some work is needed to resolve the ambiguity of the root finding accuracy
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definition: for some algorithms it is the x-accuracy, for others it is
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f(x)-accuracy.
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*/
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/*! \defgroup optimizers Optimizers
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The optimization framework (corresponding to the ql/Optimization
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directory) implements some multi-dimensional minimizing
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methods. The function to be minimized is to be derived from the
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QuantLib::CostFunction base class (if the gradient is not
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analytically implemented, it will be computed numerically).
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*/
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/*! @} */
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