@bmancini55/finance/dist/math-newton-raphson.js

Finance utilities for JavaScript

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.calcNewtonRaphson = void 0;
/**
 * Performs the Newton-Raphson iteration to find an approximate root of a real-valued
 * function.
 *
 * @param fx function f(x)
 * @param gx derivative of f(x)
 * @param x0 initial guess
 * @param n optional number of iterations, default is 10
 * @param e optional tolerable error, default is 1e-8
 */
function calcNewtonRaphson(fx, gx, x0, n = 10, e = 1e-8) {
    for (let i = 0; i < n; i++) {
        const gx0 = gx(x0);
        // console.log('x0', x0);
        // console.log('fx0', Math.abs(fx(x0)));
        // console.log('gx0', gx0);
        // check if g(x0) === 0 and error if it is
        if (Math.abs(gx0) < 1e-30) {
            return 0;
        }
        // calculate x1
        const x1 = x0 - fx(x0) / gx0;
        // check if f(x1) is inside error requirement
        const fx1 = fx(x1);
        if (Math.abs(fx1) <= e) {
            return x1;
        }
        // if not try to iterate again
        x0 = x1;
    }
    return 0;
}
exports.calcNewtonRaphson = calcNewtonRaphson;
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