- QuantLib
- Solver1D
Base class for 1-D solvers. More...
#include <ql/math/solver1d.hpp>
Public Member Functions | |
Modifiers | |
template<class F > | |
Real | solve (const F &f, Real accuracy, Real guess, Real step) const |
template<class F > | |
Real | solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const |
void | setMaxEvaluations (Size evaluations) |
void | setLowerBound (Real lowerBound) |
sets the lower bound for the function domain | |
void | setUpperBound (Real upperBound) |
sets the upper bound for the function domain | |
Protected Attributes | |
Real | root_ |
Real | xMin_ |
Real | xMax_ |
Real | fxMin_ |
Real | fxMax_ |
Size | maxEvaluations_ |
Size | evaluationNumber_ |
Base class for 1-D solvers.
The implementation of this class uses the so-called "Barton-Nackman trick", also known as "the curiously recurring template pattern". Concrete solvers will be declared as:
class Foo : public Solver1D<Foo> { public: ... template <class F> Real solveImpl(const F& f, Real accuracy) const { ... } };
Before calling solveImpl
, the base class will set its protected data members so that:
xMin_
and xMax_
form a valid bracket;fxMin_
and fxMax_
contain the values of the function in xMin_
and xMax_
;root_
is a valid initial guess. The implementation of solveImpl
can safely assume all of the above.This method returns the zero of the function , determined with the given accuracy
; depending on the particular solver, this might mean that the returned
is such that
, or that
where
is the real zero.
This method contains a bracketing routine to which an initial guess must be supplied as well as a step used to scan the range of the possible bracketing values.
This method returns the zero of the function , determined with the given accuracy
; depending on the particular solver, this might mean that the returned
is such that
, or that
where
is the real zero.
An initial guess must be supplied, as well as two values and
which must bracket the zero (i.e., either
, or
must be true).
void setMaxEvaluations | ( | Size | evaluations | ) |
This method sets the maximum number of function evaluations for the bracketing routine. An error is thrown if a bracket is not found after this number of evaluations.