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project: Parameterized cost function.

NAME

QuantLib::ProjectedCostFunction - Parameterized cost function.

SYNOPSIS


#include <ql/math/optimization/projectedcostfunction.hpp>

Inherits QuantLib::CostFunction.

Public Member Functions


ProjectedCostFunction (const CostFunction &costFunction, const Array &parametersValues, const std::vector< bool > &parametersFreedoms)

virtual Disposable< Array > project (const Array &parameters) const
returns the subset of free parameters corresponding
virtual Disposable< Array > include (const Array &projectedParameters) const
returns whole set of parameters corresponding to the set

CostFunction interface


virtual Real value (const Array &freeParameters) const
method to overload to compute the cost function value in x
virtual Disposable< Array > values (const Array &freeParameters) const
method to overload to compute the cost function values in x

Detailed Description

Parameterized cost function.

This class creates a proxy cost function which can depend on any arbitrary subset of parameters (the other being fixed)

Author

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