Solver1D< Impl > Class Template Reference

Base class for 1-D solvers. More...

#include <solver1d.hpp>

Inheritance diagram for Solver1D< Impl >:

Collaboration diagram for Solver1D< Impl >:

Public Member Functions
	Solver1D ()=default

Modifiers
Real	root_
Real	xMin_
Real	xMax_
Real	fxMin_
Real	fxMax_
Size	maxEvaluations_ = 100
Size	evaluationNumber_
Real	lowerBound_ {}
Real	upperBound_ {}
bool	lowerBoundEnforced_ = false
bool	upperBoundEnforced_ = false
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 More...
void	setUpperBound (Real upperBound)
	sets the upper bound for the function domain More...
Real	enforceBounds_ (Real x) const

Additional Inherited Members
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
	CuriouslyRecurringTemplate ()=default
	~CuriouslyRecurringTemplate ()=default
Impl &	impl ()
const Impl &	impl () const

Detailed Description

template<class Impl>
class QuantLib::Solver1D< Impl >

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.

Definition at line 67 of file solver1d.hpp.

Constructor & Destructor Documentation

Solver1D()

Solver1D ( )

default

Member Function Documentation

solve() [1/2]

Real solve	(	const F &	f,
		Real	accuracy,
		Real	guess,
		Real	step
	)		const

This method returns the zero of the function \( f \), determined with the given accuracy \( \epsilon \); depending on the particular solver, this might mean that the returned \( x \) is such that \( |f(x)| < \epsilon \), or that \( |x-\xi| < \epsilon \) where \( \xi \) 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.

Definition at line 84 of file solver1d.hpp.

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solve() [2/2]

Real solve	(	const F &	f,
		Real	accuracy,
		Real	guess,
		Real	xMin,
		Real	xMax
	)		const

This method returns the zero of the function \( f \), determined with the given accuracy \( \epsilon \); depending on the particular solver, this might mean that the returned \( x \) is such that \( |f(x)| < \epsilon \), or that \( |x-\xi| < \epsilon \) where \( \xi \) is the real zero.

An initial guess must be supplied, as well as two values \( x_\mathrm{min} \) and \( x_\mathrm{max} \) which must bracket the zero (i.e., either \( f(x_\mathrm{min}) \leq 0 \leq f(x_\mathrm{max}) \), or \( f(x_\mathrm{max}) \leq 0 \leq f(x_\mathrm{min}) \) must be true).

Definition at line 163 of file solver1d.hpp.

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setMaxEvaluations()

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.

Definition at line 238 of file solver1d.hpp.

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setLowerBound()

void setLowerBound

(

Real

lowerBound

)

sets the lower bound for the function domain

Definition at line 243 of file solver1d.hpp.

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setUpperBound()

void setUpperBound

(

Real

upperBound

)

sets the upper bound for the function domain

Definition at line 249 of file solver1d.hpp.

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enforceBounds_()

Real enforceBounds_ ( Real  x ) const

private

Definition at line 255 of file solver1d.hpp.

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Member Data Documentation

root_

Real root_

mutableprotected

Definition at line 225 of file solver1d.hpp.

xMin_

Real xMin_

protected

Definition at line 225 of file solver1d.hpp.

xMax_

Real xMax_

protected

Definition at line 225 of file solver1d.hpp.

fxMin_

Real fxMin_

protected

Definition at line 225 of file solver1d.hpp.

fxMax_

Real fxMax_

protected

Definition at line 225 of file solver1d.hpp.

maxEvaluations_

Size maxEvaluations_ = 100

protected

Definition at line 226 of file solver1d.hpp.

evaluationNumber_

Size evaluationNumber_

mutableprotected

Definition at line 227 of file solver1d.hpp.

lowerBound_

Real lowerBound_ {}

private

Definition at line 230 of file solver1d.hpp.

upperBound_

Real upperBound_ {}

private

Definition at line 230 of file solver1d.hpp.

lowerBoundEnforced_

bool lowerBoundEnforced_ = false

private

Definition at line 231 of file solver1d.hpp.

upperBoundEnforced_

bool upperBoundEnforced_ = false

private

Definition at line 231 of file solver1d.hpp.