org.drip.function.r1tor1solver

Class ExecutionInitializer

java.lang.Object

org.drip.function.r1tor1solver.ExecutionInitializer

public class ExecutionInitializer
extends java.lang.Object

ExecutionInitializer implements the initialization execution and customization functionality. ExecutionInitializer performs two types of variate initialization: - Bracketing initialization: This brackets the fixed point using the bracketing algorithm described in http://www.credit-trader.org. If successful, a pair of variate/OF coordinate nodes that bracket the fixed point are generated. These brackets are eventually used by routines that iteratively determine the fixed point. Bracketing initialization is controlled by the parameters in BracketingControlParams. - Convergence Zone initialization: This generates a variate that lies within the convergence zone for the iterative determination of the fixed point using the Newton's method. Convergence Zone Determination is controlled by the parameters in ConvergenceControlParams. ExecutionInitializer behavior can be customized/optimized through several of the initialization heuristics techniques implemented in the InitializationHeuristics class.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ExecutionInitializer(R1ToR1 of, ConvergenceControlParams ccp, boolean bTrendBracketRight) ExecutionInitializer constructor

Method Summary

Modifier and Type	Method and Description
BracketingOutput	initializeBracket(InitializationHeuristics ih, double dblOFGoal) Set up the bracket to be used for the eventual search kick-off
ConvergenceOutput	initializeVariate(InitializationHeuristics ih, double dblOFGoal) Initialize the starting variate to within the fixed point convergence zone
BracketingOutput	verifyHardSearchEdges(InitializationHeuristics ih, double dblOFGoal) Initialize the starting bracket within the specified boundary

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ExecutionInitializer

public ExecutionInitializer(R1ToR1 of,
                            ConvergenceControlParams ccp,
                            boolean bTrendBracketRight)
                     throws java.lang.Exception

ExecutionInitializer constructor

Parameters:

of - Objective Function

ccp - Convergence Control Parameters

bTrendBracketRight - TRUE - Start Right Trending in search of a Bracket Variate

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Detail

initializeBracket

public BracketingOutput initializeBracket(InitializationHeuristics ih,
                                          double dblOFGoal)

Set up the bracket to be used for the eventual search kick-off

Parameters:

ih - Optional InitializationHeuristics instance

dblOFGoal - The OF Goal

Returns:

The Bracketing Output

initializeVariate

public ConvergenceOutput initializeVariate(InitializationHeuristics ih,
                                           double dblOFGoal)

Initialize the starting variate to within the fixed point convergence zone

Parameters:

ih - Optional InitializationHeuristics instance

dblOFGoal - The OF Goal

Returns:

The Convergence Zone Output

verifyHardSearchEdges

public BracketingOutput verifyHardSearchEdges(InitializationHeuristics ih,
                                              double dblOFGoal)

Initialize the starting bracket within the specified boundary

Parameters:

ih - Initialization Heuristics containing the hard search edges

dblOFGoal - The OF Goal

Returns:

Results of the Verification