QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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... | |
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.