[QuantLibAddin-cvs] QuantLibAddin/qlo optimization.cpp, 1.6, 1.7 optimization.hpp, 1.4, 1.5

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27074/qlo

Modified Files:
	optimization.cpp optimization.hpp 
Log Message:
1) major (even if only partial) refactoring of the Optimization framework (LevenbergMarquardt
 has never been in the framework and it is not yet)
2) SABR refactoring

Index: optimization.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.hpp,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** optimization.hpp	28 Aug 2006 15:56:17 -0000	1.4
--- optimization.hpp	29 Nov 2006 18:06:47 -0000	1.5
***************
*** 25,76 ****
  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(const QuantLib::EndCriteria& endCriteria,
!                           const QuantLib::Array& initialValue,
!                           const boost::shared_ptr<QuantLib::LineSearch>& lineSearch);
      };
  
!     class LevenbergMarquardt : public OptimizationMethod
!     {
        public:
!         LevenbergMarquardt();
      };
  
!     class Simplex : public OptimizationMethod
!     {
        public:
!         Simplex(double lambda,
!                 double tol);
      };
  
!     class SteepestDescent : public OptimizationMethod
!     {
        public:
!         SteepestDescent();
      };
-      
-     class LineSearch : public ObjHandler::LibraryObject<
-         QuantLib::LineSearch> {};
  
!     class ArmijoLineSearch : public LineSearch
!     {
        public:
!         ArmijoLineSearch(double eps,
!                          double alpha,
!                          double beta);
      };
  }
  
--- 25,83 ----
  namespace QuantLibAddin {
  
!     class EndCriteria :
!         public ObjHandler::LibraryObject<QuantLib::EndCriteria> {
        public:
          EndCriteria(QuantLib::Size maxIteration,
!                     QuantLib::Real functionEpsilon,
!                     QuantLib::Real gradientEpsilon);
      };
  
!     class OptimizationMethod :
!         public ObjHandler::LibraryObject<QuantLib::OptimizationMethod> {};
  
!     class Simplex : public OptimizationMethod {
        public:
!         Simplex(QuantLib::Real lambda,
!                 const QuantLib::Array& initialValue,
!                 const QuantLib::EndCriteria& endCriteria);
      };
  
!     class LevenbergMarquardt : public OptimizationMethod {
        public:
!         LevenbergMarquardt(QuantLib::Real epsfcn,
!                            QuantLib::Real ftol,
!                            QuantLib::Real xtol,
!                            QuantLib::Real gtol,
!                            QuantLib::Size maxfev,
!                            const QuantLib::Array& initialValue,
!                            const QuantLib::EndCriteria& endCriteria);
      };
+    
+     class LineSearch :
+         public ObjHandler::LibraryObject<QuantLib::LineSearch> {};
  
!     class ArmijoLineSearch : public LineSearch {
        public:
!         ArmijoLineSearch(QuantLib::Real eps,
!                          QuantLib::Real alpha,
!                          QuantLib::Real beta);
      };
  
!     class LineSearchBasedMethod : public OptimizationMethod {};
! 
!     class ConjugateGradient : public LineSearchBasedMethod {
        public:
!         ConjugateGradient(const QuantLib::Array& initialValue,
!                           const QuantLib::EndCriteria& endCriteria,
!                           const boost::shared_ptr<QuantLib::LineSearch>&);
      };
  
!     class SteepestDescent : public LineSearchBasedMethod {
        public:
!         SteepestDescent(const QuantLib::Array& initialValue,
!                         const QuantLib::EndCriteria& endCriteria,
!                         const boost::shared_ptr<QuantLib::LineSearch>&);
      };
+ 
  }
  

Index: optimization.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.cpp,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** optimization.cpp	28 Aug 2006 15:56:17 -0000	1.6
--- optimization.cpp	29 Nov 2006 18:06:47 -0000	1.7
***************
*** 20,23 ****
--- 20,24 ----
  #endif
  #include <qlo/optimization.hpp>
+ #include <ql/Optimization/armijo.hpp>
  #include <ql/Optimization/conjugategradient.hpp>
  #include <ql/Optimization/levenbergmarquardt.hpp>
***************
*** 28,75 ****
  
      EndCriteria::EndCriteria(QuantLib::Size maxIteration,
!                              double epsilon)
!     {
!         libraryObject_ = boost::shared_ptr<QuantLib::EndCriteria>(
!                                 new QuantLib::EndCriteria(maxIteration,
!                                                           epsilon));
      }
  
  
!     ConjugateGradient::ConjugateGradient(
!         const QuantLib::EndCriteria& endCriteria,
!         const QuantLib::Array& initialValue,
!         const boost::shared_ptr<QuantLib::LineSearch>& lineSearch)
!     {
!         libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(
!                                 new QuantLib::ConjugateGradient(endCriteria,
!                                                                 initialValue,
!                                                                 lineSearch));
      }
  
!     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());
      }
!       
!     ArmijoLineSearch::ArmijoLineSearch(
!             double eps,
!             double alpha,
!             double beta)
      {
!         libraryObject_ = boost::shared_ptr<QuantLib::LineSearch>(
!                             new QuantLib::ArmijoLineSearch(eps, alpha, beta));
      }
  }
--- 29,87 ----
  
      EndCriteria::EndCriteria(QuantLib::Size maxIteration,
!                              QuantLib::Real functionEpsilon,
!                              QuantLib::Real gradientEpsilon) {
!         libraryObject_ = boost::shared_ptr<QuantLib::EndCriteria>(new
!             QuantLib::EndCriteria(maxIteration,
!                                   functionEpsilon,
!                                   gradientEpsilon));
      }
  
  
!     Simplex::Simplex(QuantLib::Real lambda,
!                      const QuantLib::Array& initVal,
!                      const QuantLib::EndCriteria& endC) {
!         libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(new
!             QuantLib::Simplex(lambda, initVal, endC));
      }
  
!     LevenbergMarquardt::LevenbergMarquardt(QuantLib::Real epsfcn,
!                                            QuantLib::Real ftol,
!                                            QuantLib::Real xtol,
!                                            QuantLib::Real gtol,
!                                            QuantLib::Size maxfev,
!                                            const QuantLib::Array& initVal,
!                                            const QuantLib::EndCriteria& endC)
      {
!         libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(new
!             QuantLib::LevenbergMarquardt(epsfcn, ftol, xtol, gtol, maxfev,
!                                          initVal, endC));
      }
  
!     ArmijoLineSearch::ArmijoLineSearch(QuantLib::Real eps,
!                                        QuantLib::Real alpha,
!                                        QuantLib::Real beta) {
!         libraryObject_ = boost::shared_ptr<QuantLib::LineSearch>(new
!             QuantLib::ArmijoLineSearch(eps, alpha, beta));
      }
  
!     ConjugateGradient::ConjugateGradient(
!                    const QuantLib::Array& initVal,
!                    const QuantLib::EndCriteria& endC,
!                    const boost::shared_ptr<QuantLib::LineSearch>& lineSearch)
      {
!         libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(new
!             QuantLib::ConjugateGradient(initVal, endC, lineSearch));
      }
! 
! 
! 
!     SteepestDescent::SteepestDescent(
!                    const QuantLib::Array& initVal,
!                    const QuantLib::EndCriteria& endC,
!                    const boost::shared_ptr<QuantLib::LineSearch>& lineSearch)
      {
!         libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(new
!             QuantLib::SteepestDescent(initVal, endC, lineSearch));
      }
+       
  }