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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file bisection.cpp
\brief bisection 1-D solver
\fullpath
ql/Solvers1D/%bisection.cpp
*/
// $Id: bisection.cpp,v 1.5 2002/01/16 14:41:16 nando Exp $
/* The implementation of the algorithm was inspired by
* "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery
* Chapter 9
*/
#include <ql/Solvers1D/bisection.hpp>
namespace QuantLib {
namespace Solvers1D {
double Bisection::solve_(const ObjectiveFunction& f,
double xAccuracy) const {
double dx, xMid, fMid;
// Orient the search so that f>0 lies at root_+dx
if (fxMin_ < 0.0) {
dx = xMax_-xMin_;
root_ = xMin_;
} else {
dx = xMin_-xMax_;
root_ = xMax_;
}
while (evaluationNumber_<=maxEvaluations_) {
dx /= 2.0;
xMid=root_+dx;
fMid=f(xMid);
evaluationNumber_++;
if (fMid <= 0.0)
root_=xMid;
if (QL_FABS(dx) < xAccuracy || fMid == 0.0) {
return root_;
}
}
throw Error("Bisection: maximum number of function evaluations (" +
IntegerFormatter::toString(maxEvaluations_) +
") exceeded");
QL_DUMMY_RETURN(0.0);
}
}
}
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