public void Initialise()
{
_iterationCount = 0;
Finished = false;
_evaluateGradient = false;
_mc = new MyCounter();
_hFactor = 1.0 / (_param.NumberOfExpiries * (_param.NumberOfTenors - 1));
_vFactor = 1.0 / ((_param.NumberOfExpiries - 1) * _param.NumberOfTenors);
_sFactor = 1.0 / _param.NumberOfSwaptions;
_cFactor = 1.0 / _param.NumberOfCaplets;
}
public Vector <double> ObjGrad(Vector <double> x)//, Vector f
{
_mc = new MyCounter();
_gradient = new DenseVector(x.Count);
_xGradient = new DenseVector(x.Count);
//if (f == null)
var f = new DenseVector(x.Count);
x.CopyTo(_xGradient);
_evaluateGradient = true;
EvaluateGrad();
_gradient.CopyTo(f);
return(f);
}
