[QuantLibAddin-cvs] QuantLibAddin/qlo optimization.cpp, NONE, 1.1 optimization.hpp, NONE, 1.1 .cvsignore, 1.13, 1.14

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24857/qlo

Modified Files:
	.cvsignore 
Added Files:
	optimization.cpp optimization.hpp 
Log Message:
exported OptimizationMethod

Index: .cvsignore
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** .cvsignore	5 Jul 2006 19:30:10 -0000	1.13
--- .cvsignore	14 Jul 2006 17:35:30 -0000	1.14
***************
*** 21,24 ****
--- 21,25 ----
  vo_mathf.*pp
  vo_marketmodels.*pp
+ vo_optimization.*pp
  vo_options.*pp
  vo_payoffs.*pp

--- NEW FILE: optimization.hpp ---
/*
 Copyright (C) 2006 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 qua...@li...
 The license is also available online at http://quantlib.org/html/license.html

 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/objhandler.hpp>
#include <ql/Optimization/method.hpp>

namespace QuantLibAddin {

    class EndCriteria : public ObjHandler::LibraryObject<
        QuantLib::EndCriteria>
    {
      public:
        EndCriteria(QuantLib::Size maxIteration,
                    double epsilon);
    };

    class OptimizationMethod : public ObjHandler::LibraryObject<
        QuantLib::OptimizationMethod> {};

    class ConjugateGradient : public OptimizationMethod
    {
      public:
        ConjugateGradient();
    };

    class LevenbergMarquardt : public OptimizationMethod
    {
      public:
        LevenbergMarquardt();
    };

    class Simplex : public OptimizationMethod
    {
      public:
        Simplex(double lambda,
                double tol);
    };

    class SteepestDescent : public OptimizationMethod
    {
      public:
        SteepestDescent();
    };
}

#endif

--- NEW FILE: optimization.cpp ---

/*
 Copyright (C) 2006 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 qua...@li...
 The license is also available online at http://quantlib.org/html/license.html

 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.
*/

#if defined(HAVE_CONFIG_H)
    #include <qlo/config.hpp>
#endif
#include <qlo/optimization.hpp>
#include <ql/Optimization/conjugategradient.hpp>
#include <ql/Optimization/levenbergmarquardt.hpp>
#include <ql/Optimization/simplex.hpp>
#include <ql/Optimization/steepestdescent.hpp>

namespace QuantLibAddin {

    EndCriteria::EndCriteria(QuantLib::Size maxIteration,
                             double epsilon)
    {
        libraryObject_ = boost::shared_ptr<QuantLib::EndCriteria>(
                                new QuantLib::EndCriteria(maxIteration,
                                                          epsilon));
    }


    ConjugateGradient::ConjugateGradient()
    {
        libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(
                                new QuantLib::ConjugateGradient());
    }

    LevenbergMarquardt::LevenbergMarquardt()
    {
        libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(
                                new QuantLib::LevenbergMarquardt());
    }

    Simplex::Simplex(double lambda, double tol)
    {
        libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(
                                new QuantLib::Simplex(lambda, tol));
    }

    SteepestDescent::SteepestDescent()
    {
        libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(
                                new QuantLib::SteepestDescent());
    }
}