/usr/include/ql/math/richardsonextrapolation.hpp is in libquantlib0-dev 1.9.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2012 Klaus Spanderen
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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 richardsonextrapolation.hpp
*/
#ifndef quantlib_richardson_extrapolation_hpp
#define quantlib_richardson_extrapolation_hpp
#include <ql/types.hpp>
#include <ql/utilities/null.hpp>
#include <boost/function.hpp>
namespace QuantLib {
//! Richardson Extrapolation
/*! Richardson Extrapolation is a sequence acceleration technique for
\f[
f(\Delta h) = f_0 + \alpha\cdot (\Delta h)^n + O((\Delta h)^{n+1})
\f]
*/
/*! References:
http://en.wikipedia.org/wiki/Richardson_extrapolation
*/
class RichardsonExtrapolation {
public:
/*! Richardon Extrapolation
\param f function to be extrapolated to delta_h -> 0
\param delta_h step size
\param n if known, n is the order of convergence
*/
RichardsonExtrapolation(const boost::function<Real (Real)>& f,
Real delta_h, Real n = Null<Real>());
/*! Extrapolation for known order of convergence
\param t scaling factor for the step size
*/
Real operator()(Real t=2.0) const;
/*! Extrapolation for unknown order of convergence
\param t first scaling factor for the step size
\param s second scaling factor for the step size
*/
Real operator()(Real t, Real s) const;
private:
const Real delta_h_;
const Real fdelta_h_;
const Real n_;
const boost::function<Real (Real)> f_;
};
}
#endif
|