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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 falseposition.cpp
\brief false-position 1-D solver
\fullpath
ql/Solvers1D/%falseposition.cpp
*/
// $Id: falseposition.cpp,v 1.5 2002/01/16 14:41:17 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/falseposition.hpp>
namespace QuantLib {
namespace Solvers1D {
double FalsePosition::solve_(const ObjectiveFunction& f,
double xAccuracy) const {
double fl, fh, xl, xh, dx, del, froot;
// Identify the limits so that xl corresponds to the low side
if (fxMin_ < 0.0) {
xl=xMin_;
fl = fxMin_;
xh=xMax_;
fh = fxMax_;
} else {
xl=xMax_;
fl = fxMax_;
xh=xMin_;
fh = fxMin_;
}
dx=xh-xl;
while (evaluationNumber_<=maxEvaluations_) { // False position loop
// Increment with respect to latest value
root_=xl+dx*fl/(fl-fh);
froot=f(root_);
evaluationNumber_++;
if (froot < 0.0) { // Replace appropriate limit
del=xl-root_;
xl=root_;
fl=froot;
} else {
del=xh-root_;
xh=root_;
fh=froot;
}
dx=xh-xl;
// Convergence criterion
if (QL_FABS(del) < xAccuracy || froot == 0.0) {
return root_;
}
}
throw Error("FalsePosition: maximum number of "
"function evaluations (" +
IntegerFormatter::toString(maxEvaluations_) +
") exceeded");
QL_DUMMY_RETURN(0.0);
}
}
}
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