SumExponentialsRootSolver Class Reference

#include <singlefactorbsmbasketengine.hpp>

Collaboration diagram for SumExponentialsRootSolver:

Public Types
enum	Strategy { Ridder , Newton , Brent , Halley }

Public Member Functions
	SumExponentialsRootSolver (Array a, Array sig, Real K)
Real	operator() (Real x) const
Real	derivative (Real x) const
Real	secondDerivative (Real x) const
Real	getRoot (Real xTol=1e6 *QL_EPSILON, Strategy strategy=Brent) const
Size	getFCtr () const
Size	getDerivativeCtr () const
Size	getSecondDerivativeCtr () const

Private Attributes
const Array	a_
const Array	sig_
const Real	K_
Size	fCtr_ = 0
Size	fPrimeCtr_ = 0
Size	fDoublePrimeCtr_ = 0

Detailed Description

Definition at line 57 of file singlefactorbsmbasketengine.hpp.

Member Enumeration Documentation

Strategy

enum Strategy

Enumerator
Ridder
Newton
Brent
Halley

Definition at line 59 of file singlefactorbsmbasketengine.hpp.

Constructor & Destructor Documentation

SumExponentialsRootSolver()

SumExponentialsRootSolver	(	Array	a,
		Array	sig,
		Real	K
	)

Definition at line 36 of file singlefactorbsmbasketengine.cpp.

Here is the call graph for this function:

Member Function Documentation

operator()()

Real operator()

(

Real

x

)

const

Definition at line 43 of file singlefactorbsmbasketengine.cpp.

Here is the call graph for this function:

derivative()

Real derivative

(

Real

x

)

const

Definition at line 52 of file singlefactorbsmbasketengine.cpp.

Here is the call graph for this function:

secondDerivative()

Real secondDerivative

(

Real

x

)

const

Definition at line 61 of file singlefactorbsmbasketengine.cpp.

Here is the call graph for this function:

getRoot()

Real getRoot	(	Real	xTol = 1e6*QL_EPSILON,
		Strategy	strategy = Brent
	)		const

Definition at line 82 of file singlefactorbsmbasketengine.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

getFCtr()

Size getFCtr

(

)

const

Definition at line 70 of file singlefactorbsmbasketengine.cpp.

getDerivativeCtr()

Size getDerivativeCtr

(

)

const

Definition at line 74 of file singlefactorbsmbasketengine.cpp.

getSecondDerivativeCtr()

Size getSecondDerivativeCtr

(

)

const

Definition at line 78 of file singlefactorbsmbasketengine.cpp.

Member Data Documentation

a_

const Array a_

private

Definition at line 74 of file singlefactorbsmbasketengine.hpp.

sig_

const Array sig_

private

Definition at line 74 of file singlefactorbsmbasketengine.hpp.

K_

const Real K_

private

Definition at line 75 of file singlefactorbsmbasketengine.hpp.

fCtr_

Size fCtr_ = 0

mutableprivate

Definition at line 76 of file singlefactorbsmbasketengine.hpp.

fPrimeCtr_

Size fPrimeCtr_ = 0

private

Definition at line 76 of file singlefactorbsmbasketengine.hpp.

fDoublePrimeCtr_

Size fDoublePrimeCtr_ = 0

private

Definition at line 76 of file singlefactorbsmbasketengine.hpp.