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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 secant.cpp
\brief secant 1-D solver
\fullpath
ql/Solvers1D/%secant.cpp
*/
// $Id: secant.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/secant.hpp>
namespace QuantLib {
namespace Solvers1D {
double Secant::solve_(const ObjectiveFunction& f,
double xAccuracy) const {
double fl, froot, dx, xl;
// Pick the bound with the smaller function value
// as the most recent guess
if (QL_FABS(fxMin_) < QL_FABS(fxMax_)) {
root_=xMin_;
froot=fxMin_;
xl=xMax_;
fl=fxMax_;
} else {
root_=xMax_;
froot=fxMax_;
xl=xMin_;
fl=fxMin_;
}
while (evaluationNumber_<=maxEvaluations_) {
dx=(xl-root_)*froot/(froot-fl);
xl=root_;
fl=froot;
root_ += dx;
froot=f(root_);
evaluationNumber_++;
if (QL_FABS(dx) < xAccuracy || froot == 0.0) return root_;
}
throw Error("Secant: maximum number of function evaluations (" +
IntegerFormatter::toString(maxEvaluations_) +
") exceeded");
QL_DUMMY_RETURN(0.0);
}
}
}
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