/usr/include/ql/math/solvers1d/newton.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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 newton.hpp
\brief Newton 1-D solver
*/
#ifndef quantlib_solver1d_newton_h
#define quantlib_solver1d_newton_h
#include <ql/math/solvers1d/newtonsafe.hpp>
namespace QuantLib {
//! %Newton 1-D solver
/*! \note This solver requires that the passed function object
implement a method <tt>Real derivative(Real)</tt>.
\test the correctness of the returned values is tested by
checking them against known good results.
\ingroup solvers
*/
class Newton : public Solver1D<Newton> {
public:
template <class F>
Real solveImpl(const F& f,
Real xAccuracy) const {
/* The implementation of the algorithm was inspired by
Press, Teukolsky, Vetterling, and Flannery,
"Numerical Recipes in C", 2nd edition,
Cambridge University Press
*/
Real froot, dfroot, dx;
froot = f(root_);
dfroot = f.derivative(root_);
QL_REQUIRE(dfroot != Null<Real>(),
"Newton requires function's derivative");
++evaluationNumber_;
while (evaluationNumber_<=maxEvaluations_) {
dx = froot/dfroot;
root_ -= dx;
// jumped out of brackets, switch to NewtonSafe
if ((xMin_-root_)*(root_-xMax_) < 0.0) {
NewtonSafe s;
s.setMaxEvaluations(maxEvaluations_-evaluationNumber_);
return s.solve(f, xAccuracy, root_+dx, xMin_, xMax_);
}
if (std::fabs(dx) < xAccuracy) {
f(root_);
++evaluationNumber_;
return root_;
}
froot = f(root_);
dfroot = f.derivative(root_);
++evaluationNumber_;
}
QL_FAIL("maximum number of function evaluations ("
<< maxEvaluations_ << ") exceeded");
}
};
}
#endif
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