087a2f0d74
Move the pricing engine sources out of src/ into cpp/, add the closed-form engine and pybind wiring, and align tests/build targets with the new project layout. Made-with: Cursor
30 lines
746 B
C++
30 lines
746 B
C++
/**
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* @file NewtonSolver.hpp
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* @brief Generic Newton iteration helper (incomplete / reserved for solvers).
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*/
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#ifndef QUANTENGINE_GAUSSSOLVER_HPP
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#define QUANTENGINE_GAUSSSOLVER_HPP
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#include <functional>
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/**
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* @brief Template Newton step loop with relative/absolute tolerances.
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*/
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class NewtonSolver {
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template<typename F, typename DFinv, typename T>
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bool solve(F&& func, DFinv&& dfinv,T x0 , double rtol, double atol) {
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T x = x0;
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int i = 0;
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T increment;
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do {
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increment = dfinv(x) * func(x);
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x -= increment;
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++i;
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} while (i < 1000 && std::abs(increment)/ std::abs(x) > rtol && std::abs(increment) > atol);
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}
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};
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#endif //QUANTENGINE_GAUSSSOLVER_HPP
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