org.drip.function.r1tor1solver

Class FixedPointFinderBrent

java.lang.Object

org.drip.function.r1tor1solver.FixedPointFinder

org.drip.function.r1tor1solver.FixedPointFinderBracketing

org.drip.function.r1tor1solver.FixedPointFinderBrent

public class FixedPointFinderBrent
extends FixedPointFinderBracketing

FixedPointFinderBrent customizes FixedPointFinderBracketing by applying the Brent's scheme of compound variate selector. Brent's scheme, as implemented here, is described in http://www.credit-trader.org. This implementation retains absolute shifts that have happened to the variate for the past 2 iterations as the discriminant that determines the next variate to be generated. FixedPointFinderBrent uses the following parameters specified in VariateIterationSelectorParams: - The Variate Primitive that is regarded as the "fast" method - The Variate Primitive that is regarded as the "robust" method - The relative variate shift that determines when the "robust" method is to be invoked over the "fast" - The lower bound on the variate shift between iterations that serves as the fall-back to the "robust"

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FixedPointFinderBrent(double dblOFGoal, R1ToR1 of, boolean bWhine) FixedPointFinderBrent constructor

Method Summary

Methods inherited from class org.drip.function.r1tor1solver.FixedPointFinder

findRoot, findRoot

Methods inherited from class java.lang.Object

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

Constructor Detail

FixedPointFinderBrent

public FixedPointFinderBrent(double dblOFGoal,
                             R1ToR1 of,
                             boolean bWhine)
                      throws java.lang.Exception

FixedPointFinderBrent constructor

Parameters:

dblOFGoal - OF Goal

of - Objective Function

bWhine - TRUE - Balk on Encountering Exception

Throws:

java.lang.Exception - Propogated from below