![]() QuantLib 0.3.7Getting startedReference manual |
Math toolsMath facilities of the library include:Pseudo-random number and low-discrepancy sequence generatorsImplementations of pseudo-random number and low-discrepancy sequence generators. They share the ql/RandomNumbers directory.One-dimensional solversThe 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. OptimizersThe optimization framework (corresponding to the ql/Optimization directory) implements some multi-dimensional minimizing methods. The function to be minimized is to be derived from the QuantLib::CostFunction base class (if the gradient is not analytically implemented, it will be computed numerically).
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