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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* Created on 19.02.2004
*
* (c) Copyright Christian P. Fries, Germany.
* Contact: [email protected].
*/
package net.finmath.rootfinder;
/**
* This class implements a root finder as question-and-answer algorithm using
* the secant method.
*
* @author Christian Fries
* @version 1.3
* @date 2008-04-06
*/
public class SecantMethod extends NewtonsMethod implements RootFinder {
// We need a second guess for the initial secant
private final double secondGuess;
// State of the solver
private double currentPoint; // Actually the same as NewtonsMethod.nextPoint
private double lastPoint;
private double lastValue;
/**
* @param firstGuess
* The first guess for the solver to use.
* @param secondGuess
* A second guess for the solver to use (different from first guess).
*/
public SecantMethod(final double firstGuess, final double secondGuess) {
super(firstGuess);
this.secondGuess = secondGuess;
}
@Override
public double getNextPoint() {
// Ask NewtonsMethods for next point and rember it as current point
currentPoint = super.getNextPoint();
return currentPoint;
}
/**
* @param value
* The value corresponding to the point returned
* by previous getNextPoint call.
*/
@Override
public void setValue(final double value) {
// Calculate approximation for derivative
double derivative;
if (getNumberOfIterations() == 0) {
/* Trick: This derivative will let Newton's method
* propose the second guess as next point
*/
derivative = value / (secondGuess - currentPoint);
} else {
derivative = (value - lastValue) / (currentPoint - lastPoint);
}
// Remember last point
lastPoint = currentPoint;
lastValue = value;
super.setValueAndDerivative(value, derivative);
}
/**
* @param value
* The value corresponding to the point returned by previous
* getNextPoint call.
* @param derivative
* The derivative corresponding to the point returned by previous
* getNextPoint call.
*/
@Override
public void setValueAndDerivative(final double value, final double derivative) {
// Remember last point
lastPoint = super.getNextPoint();
lastValue = value;
super.setValueAndDerivative(value, derivative);
}
}