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QuantLib_CostFunction
Langue: en
Version: 373494 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::CostFunction -Cost function abstract class for optimization problem.
SYNOPSIS
#include <ql/math/optimization/costfunction.hpp>
Inherited by AbcdCalibration::AbcdError, SABRInterpolationImpl< I1, I2 >::SABRError, FrobeniusCostFunction, LeastSquareFunction, PenaltyFunction< Curve >, and ProjectedCostFunction.
Public Member Functions
virtual Real value (const Array &x) const =0
method to overload to compute the cost function value in x
virtual Disposable< Array > values (const Array &x) const =0
method to overload to compute the cost function values in x
virtual void gradient (Array &grad, const Array &x) const
method to overload to compute grad_f, the first derivative of
virtual Real valueAndGradient (Array &grad, const Array &x) const
method to overload to compute grad_f, the first derivative of
virtual Real finiteDifferenceEpsilon () const
Default epsilon for finite difference method :
Detailed Description
Cost function abstract class for optimization problem.
Author
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