pricing/cpp/NewtonSolver.hpp

/**
 * @file NewtonSolver.hpp
 * @brief Generic Newton iteration helper (incomplete / reserved for solvers).
 */

#ifndef QUANTENGINE_GAUSSSOLVER_HPP
#define QUANTENGINE_GAUSSSOLVER_HPP

#include <functional>

/**
 * @brief Template Newton step loop with relative/absolute tolerances.
 */
class NewtonSolver {
    template<typename F, typename DFinv, typename T>
    bool solve(F&& func, DFinv&& dfinv,T x0 , double rtol, double atol) {
        T x = x0;
        int i = 0;
        T increment;
        do {
            increment = dfinv(x) * func(x);
            x -= increment;
            ++i;
        } while (i < 1000 && std::abs(increment)/ std::abs(x) > rtol && std::abs(increment) > atol);

    }
};


#endif //QUANTENGINE_GAUSSSOLVER_HPP