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QuantLib_CostFunction

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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