/usr/include/ql/math/optimization/projectedcostfunction.hpp is in libquantlib0-dev 1.1-2build1.
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) 2007 François du Vignaud
Copyright (C) 2007 Giorgio Facchinetti
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 projectedcostfunction.hpp
\brief Cost function utility
*/
#ifndef quantlib_math_projectedcostfunction_h
#define quantlib_math_projectedcostfunction_h
#include <ql/math/optimization/costfunction.hpp>
namespace QuantLib {
//! Parameterized cost function
/*! This class creates a proxy cost function which can depend
on any arbitrary subset of parameters (the other being fixed)
*/
class ProjectedCostFunction : public CostFunction {
public:
ProjectedCostFunction(const CostFunction& costFunction,
const Array& parametersValues,
const std::vector<bool>& parametersFreedoms);
//! \name CostFunction interface
//@{
virtual Real value(const Array& freeParameters) const;
virtual Disposable<Array>
values(const Array& freeParameters) const;
//@}
//! returns the subset of free parameters corresponding
// to set of parameters
virtual Disposable<Array> project(const Array& parameters) const;
//! returns whole set of parameters corresponding to the set
// of projected parameters
virtual Disposable<Array>
include(const Array& projectedParameters) const;
private:
void mapFreeParameters(const Array& parametersValues) const;
Size numberOfFreeParameters_;
const Array fixedParameters_;
mutable Array actualParameters_;
const std::vector<bool>& parametersFreedoms_;
const CostFunction& costFunction_;
};
}
#endif
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