Classes | |
| class | Bisection |
| Bisection 1-D solver More... | |
| class | Brent |
| Brent 1-D solver More... | |
| class | FalsePosition |
| False position 1-D solver. More... | |
| class | FiniteDifferenceNewtonSafe |
| safe Newton 1-D solver with finite difference derivatives More... | |
| class | Newton |
| Newton 1-D solver More... | |
| class | NewtonSafe |
| safe Newton 1-D solver More... | |
| class | Ridder |
| Ridder 1-D solver More... | |
| class | Secant |
| Secant 1-D solver More... | |
The abstract class QuantLib::Solver1D provides the interface for one-dimensional solvers which can find the zeroes of a given function.
A number of such solvers is contained in the ql/Solvers1D directory.
The implementation of the algorithms was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery - Chapter 9
Some work is needed to resolve the ambiguity of the root finding accuracy defition: for some algorithms it is the x-accuracy, for others it is f(x)-accuracy.