1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 François du Vignaud
5 Copyright (C) 2007 Giorgio Facchinetti
6 Copyright (C) 2013 Peter Caspers
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file projectedcostfunction.hpp
23 \brief Cost function utility
24*/
25
26#ifndef quantlib_math_projectedcostfunction_h
27#define quantlib_math_projectedcostfunction_h
28
29#include <ql/math/optimization/costfunction.hpp>
30#include <ql/math/optimization/projection.hpp>
31
32namespace QuantLib {
33
34 //! Parameterized cost function
35 /*! This class creates a proxy cost function which can depend
36 on any arbitrary subset of parameters (the other being fixed)
37 */
38
39 class ProjectedCostFunction : public CostFunction, public Projection {
40 public:
41 ProjectedCostFunction(const CostFunction& costFunction,
42 const Array& parameterValues,
43 const std::vector<bool>& fixParameters);
44
45 ProjectedCostFunction(const CostFunction& costFunction,
46 const Projection& projection);
47
48 //! \name CostFunction interface
49 //@{
50 Real value(const Array& freeParameters) const override;
51 Array values(const Array& freeParameters) const override;
52 //@}
53
54 private:
55 const CostFunction& costFunction_;
56 };
57
58}
59
60
61#endif
62

source code of quantlib/ql/math/optimization/projectedcostfunction.hpp