QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes
One-dimensional solvers

Classes

class  Bisection
 Bisection 1-D solver More...
 
class  Brent
 Brent 1-D solver More...
 
class  FalsePosition
 False position 1-D solver. More...
 
class  FiniteDifferenceNewtonSafe
 safe Newton 1-D solver with finite difference derivatives More...
 
class  Newton
 Newton 1-D solver More...
 
class  NewtonSafe
 safe Newton 1-D solver More...
 
class  Ridder
 Ridder 1-D solver More...
 
class  Secant
 Secant 1-D solver More...
 

Detailed Description

The abstract class QuantLib::Solver1D provides the interface for one-dimensional solvers which can find the zeroes of a given function.

A number of such solvers is contained in the ql/Solvers1D directory.

The implementation of the algorithms was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery - Chapter 9

Some work is needed to resolve the ambiguity of the root finding accuracy definition: for some algorithms it is the x-accuracy, for others it is f(x)-accuracy.