![]() QuantLib 0.3.3User manualIntroduction to QuantLibQuantLib componentsReference manual |
Math toolsDocumentation for this part of the library is in progress.Math facilities of the library include: Random number and low discrepancy sequence generatorsDocumentation for this part of the library is in progress.Implementations of random number and low discrepancy sequence generators. They share the QuantLib::RandomNumbers namespace. One-dimensional solversDocumentation for this part of the library is in progress.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 QuantLib::Solvers1D namespace. 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 Optimization namespace) implements some multi-dimensional minimizing methods. The function to be minimized is to be derived from the QuantLib::Optimization::CostFunction base class (if the gradient is not analytically implemented, it will be computed numerically).
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