optimization.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
 Copyright (C) 2006, 2007 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.
*/
 
 
#ifndef qla_optimization_hpp
#define qla_optimization_hpp
 
#include <oh/libraryobject.hpp>
 
#include <ql/types.hpp>
 
namespace QuantLib {
    class EndCriteria;
    class OptimizationMethod;
    class LineSearch;
    class Constraint;
}
 
namespace QuantLibAddin {
 
    inline std::string qlSecondsToString(QuantLib::Real elapsed) {
        QuantLib::Integer seconds = static_cast<QuantLib::Integer>(elapsed);
        QuantLib::Integer hours = seconds/3600;
        seconds -= hours * 3600;
        QuantLib::Integer minutes = seconds/60;
        seconds -= minutes * 60;
        std::ostringstream out;
        out << hours << ":" << minutes << ":" << seconds;
        return out.str();
    }
 
    class EndCriteria :
        public ObjectHandler::LibraryObject<QuantLib::EndCriteria> {
      public:
        EndCriteria(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                    QuantLib::Size maxIterations,
                    QuantLib::Size maxStationaryStateIterations,
                    QuantLib::Real rootEpsilon,
                    QuantLib::Real functionEpsilon,
                    QuantLib::Real gradientNormEpsilon,
                    bool permanent);
    };
 
    OH_LIB_CLASS(Constraint, QuantLib::Constraint);
    
    class NoConstraint : public Constraint {
      public:
        NoConstraint(
                const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                bool permanent);
            
    };
 
    OH_LIB_CLASS(OptimizationMethod, QuantLib::OptimizationMethod);
 
    class Simplex : public OptimizationMethod {
      public:
        Simplex(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            QuantLib::Real lambda,
            bool permanent);
    };
 
    class LevenbergMarquardt : public OptimizationMethod {
      public:
        LevenbergMarquardt(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                           QuantLib::Real epsfcn,
                           QuantLib::Real xtol,
                           QuantLib::Real gtol,
                           bool permanent);
    };
   
    OH_LIB_CLASS(LineSearch, QuantLib::LineSearch);
 
    class ArmijoLineSearch : public LineSearch {
      public:
        ArmijoLineSearch(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                         QuantLib::Real eps,
                         QuantLib::Real alpha,
                         QuantLib::Real beta,
                         bool permanent);
    };
 
    OH_OBJ_CLASS(LineSearchBasedMethod, OptimizationMethod);
 
    class ConjugateGradient : public LineSearchBasedMethod {
      public:
        ConjugateGradient(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const boost::shared_ptr<QuantLib::LineSearch>&,
            bool permanent);
    };
 
    class SteepestDescent : public LineSearchBasedMethod {
      public:
        SteepestDescent(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const boost::shared_ptr<QuantLib::LineSearch>&,
            bool permanent);
    };
 
}
 
#endif