/usr/include/ql/math/solvers1d/finitedifferencenewtonsafe.hpp is in libquantlib0-dev 1.4-2.
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) 2011 Ferdinando Ametrano
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 finitedifferencenewtonsafe.hpp
\brief Safe (bracketed) Newton 1-D solver with finite difference derivatives
*/
#ifndef quantlib_solver1d_finitedifferencenewtonsafe_h
#define quantlib_solver1d_finitedifferencenewtonsafe_h
#include <ql/math/solver1d.hpp>
namespace QuantLib {
//! safe %Newton 1-D solver with finite difference derivatives
/*!
\test the correctness of the returned values is tested by
checking them against known good results.
*/
class FiniteDifferenceNewtonSafe : public Solver1D<FiniteDifferenceNewtonSafe> {
public:
template <class F>
Real solveImpl(const F& f,
Real xAccuracy) const {
// Orient the search so that f(xl) < 0
Real xh, xl;
if (fxMin_ < 0.0) {
xl = xMin_;
xh = xMax_;
} else {
xh = xMin_;
xl = xMax_;
}
Real froot = f(root_);
++evaluationNumber_;
// first order finite difference derivative
Real dfroot = xMax_-root_ < root_-xMin_ ?
(fxMax_-froot)/(xMax_-root_) :
(fxMin_-froot)/(xMin_-root_) ;
// xMax_-xMin_>0 is verified in the constructor
Real dx = xMax_-xMin_;
while (evaluationNumber_<=maxEvaluations_) {
Real frootold = froot;
Real rootold = root_;
Real dxold = dx;
// Bisect if (out of range || not decreasing fast enough)
if ((((root_-xh)*dfroot-froot)*
((root_-xl)*dfroot-froot) > 0.0)
|| (std::fabs(2.0*froot) > std::fabs(dxold*dfroot))) {
dx = (xh-xl)/2.0;
root_ = xl+dx;
} else { // Newton
dx = froot/dfroot;
root_ -= dx;
}
// Convergence criterion
if (std::fabs(dx) < xAccuracy)
return root_;
froot = f(root_);
++evaluationNumber_;
dfroot = (frootold-froot)/(rootold-root_);
if (froot < 0.0)
xl=root_;
else
xh=root_;
}
QL_FAIL("maximum number of function evaluations ("
<< maxEvaluations_ << ") exceeded");
}
};
}
#endif
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