org.drip.function.r1tor1solver

Class InitializationHeuristics

java.lang.Object

org.drip.function.r1tor1solver.InitializationHeuristics

public class InitializationHeuristics
extends java.lang.Object

InitializationHeuristics implements several heuristics used to kick off the fixed point bracketing/search process. The following custom heuristics are implemented as part of the heuristics based kick-off: - Custom Bracketing Control Parameters: Any of the standard bracketing control parameters can be customized to kick-off the bracketing search. - Soft Left/Right Bracketing Hints: The left/right starting bracket edges are used as soft bracketing initialization hints. - Soft Mid Bracketing Hint: A mid bracketing level is specified to indicate the soft bracketing kick-off. - Hard Bracketing Floor/Ceiling: A pair of hard floor and ceiling limits are specified as a constraint to the bracketing. - Hard Search Boundaries: A pair of hard left and right boundaries are specified to kick-off the final fixed point search. These heuristics are further interpreted and developed inside the ExecutionInitializer and the ExecutionControl implementations.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	BRACKETING_CUSTOM_BCP Start search from Custom Bracketing Control Parameters
static int	BRACKETING_EDGE_HINTS Start bracket initialization from Pre-specified left/right edge hints
static int	BRACKETING_FLOOR_CEILING Restrict the bracket initialization to within the specified Floor and Ceiling
static int	BRACKETING_GENERIC_BCP Start bracket initialization from the Generic Bracket Initializer
static int	BRACKETING_MID_HINT Start bracket initialization from Pre-specified Starting Mid Bracketing Variate
static int	SEARCH_HARD_BRACKETS Start search from Pre-specified Hard Search Brackets

Constructor Summary

Constructors

Constructor and Description
InitializationHeuristics(int iDeterminant, double dblSearchStartLeft, double dblSearchStartRight, double dblStartingBracketLeft, double dblStartingBracketRight, double dblStartingBracketMid, double dblBracketFloor, double dblBracketCeiling, BracketingControlParams bcpCustom) Construct an Initialization Heuristics Instance from the set of Heuristics Parameters

Method Summary

Modifier and Type	Method and Description
static InitializationHeuristics	FromBracketingCustomBCP(BracketingControlParams bcpCustom) Construct an Initialization Heuristics Instance from Custom Bracketing Control Parameters
static InitializationHeuristics	FromBracketingEdgeHints(double dblStartingBracketLeft, double dblStartingBracketRight) Construct an Initialization Heuristics Instance from the bracketing edge soft hints
static InitializationHeuristics	FromBracketingFloorCeiling(double dblBracketFloor, double dblBracketCeiling) Construct an Initialization Heuristics Instance from the bracketing hard floor/ceiling
static InitializationHeuristics	FromBracketingMidHint(double dblStartingBracketMid) Construct an Initialization Heuristics Instance from the bracketing mid hint
static InitializationHeuristics	FromHardSearchEdges(double dblSearchStartLeft, double dblSearchStartRight) Construct an Initialization Heuristics Instance from the hard search edges
double	getBracketCeiling() Retrieve the Hard Bracket Ceiling
double	getBracketFloor() Retrieve the Hard Bracket Floor
BracketingControlParams	getCustomBCP() Retrieve the Custom BCP
int	getDeterminant() Retrieve the Determinant
double	getSearchStartLeft() Retrieve the Hard Left Search Start
double	getSearchStartRight() Retrieve the Hard Right Search Start
double	getStartingBracketLeft() Retrieve the Soft Bracket Start Left
double	getStartingBracketMid() Retrieve the Soft Bracket Start Mid
double	getStartingBracketRight() Retrieve the Soft Bracket Start Right

Methods inherited from class java.lang.Object

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

Field Detail

BRACKETING_GENERIC_BCP

public static final int BRACKETING_GENERIC_BCP

Start bracket initialization from the Generic Bracket Initializer

See Also:

Constant Field Values

BRACKETING_EDGE_HINTS

public static final int BRACKETING_EDGE_HINTS

Start bracket initialization from Pre-specified left/right edge hints

See Also:

Constant Field Values

BRACKETING_MID_HINT

public static final int BRACKETING_MID_HINT

Start bracket initialization from Pre-specified Starting Mid Bracketing Variate

See Also:

Constant Field Values

BRACKETING_FLOOR_CEILING

public static final int BRACKETING_FLOOR_CEILING

Restrict the bracket initialization to within the specified Floor and Ceiling

See Also:

Constant Field Values

SEARCH_HARD_BRACKETS

public static final int SEARCH_HARD_BRACKETS

Start search from Pre-specified Hard Search Brackets

See Also:

Constant Field Values

BRACKETING_CUSTOM_BCP

public static final int BRACKETING_CUSTOM_BCP

Start search from Custom Bracketing Control Parameters

See Also:

Constant Field Values

Constructor Detail

InitializationHeuristics

public InitializationHeuristics(int iDeterminant,
                                double dblSearchStartLeft,
                                double dblSearchStartRight,
                                double dblStartingBracketLeft,
                                double dblStartingBracketRight,
                                double dblStartingBracketMid,
                                double dblBracketFloor,
                                double dblBracketCeiling,
                                BracketingControlParams bcpCustom)
                         throws java.lang.Exception

Construct an Initialization Heuristics Instance from the set of Heuristics Parameters

Parameters:

iDeterminant - Initialization Heuristics Instance Type

dblSearchStartLeft - Hard Search Start Left Edge

dblSearchStartRight - Hard Search Start Right Edge

dblStartingBracketLeft - Starting Soft Left Bracketing Edge Hint

dblStartingBracketRight - Starting Soft Right Bracketing Edge Hint

dblStartingBracketMid - Starting Soft Right Bracketing Mid Hint

dblBracketFloor - Starting Hard Left Bracketing Floor

dblBracketCeiling - Starting Hard Right Bracketing Ceiling

bcpCustom - Custom Bracketing Control Parameters

Throws:

java.lang.Exception - Thrown if the Input Determinant/parameters are unknown/invalid

Method Detail

FromHardSearchEdges

public static final InitializationHeuristics FromHardSearchEdges(double dblSearchStartLeft,
                                                                 double dblSearchStartRight)

Construct an Initialization Heuristics Instance from the hard search edges

Parameters:

dblSearchStartLeft - Search Start Left Edge

dblSearchStartRight - Search Start Right Edge

Returns:

InitializationHeuristics instance

FromBracketingEdgeHints

public static final InitializationHeuristics FromBracketingEdgeHints(double dblStartingBracketLeft,
                                                                     double dblStartingBracketRight)

Construct an Initialization Heuristics Instance from the bracketing edge soft hints

Parameters:

dblStartingBracketLeft - Starting Soft Left Bracketing Edge Hint

dblStartingBracketRight - Starting Soft Right Bracketing Edge Hint

Returns:

InitializationHeuristics instance

FromBracketingMidHint

public static final InitializationHeuristics FromBracketingMidHint(double dblStartingBracketMid)

Construct an Initialization Heuristics Instance from the bracketing mid hint

Parameters:

dblStartingBracketMid - Starting Soft Right Bracketing Mid Hint

Returns:

InitializationHeuristics instance

FromBracketingFloorCeiling

public static final InitializationHeuristics FromBracketingFloorCeiling(double dblBracketFloor,
                                                                        double dblBracketCeiling)

Construct an Initialization Heuristics Instance from the bracketing hard floor/ceiling

Parameters:

dblBracketFloor - Starting Hard Left Bracketing Floor

dblBracketCeiling - Starting Hard Right Bracketing Ceiling

Returns:

InitializationHeuristics instance

FromBracketingCustomBCP

public static final InitializationHeuristics FromBracketingCustomBCP(BracketingControlParams bcpCustom)

Construct an Initialization Heuristics Instance from Custom Bracketing Control Parameters

Parameters:

bcpCustom - Custom Bracketing Control Parameters

Returns:

InitializationHeuristics instance

getDeterminant

public int getDeterminant()

Retrieve the Determinant

Returns:

The Determinant

getSearchStartLeft

public double getSearchStartLeft()

Retrieve the Hard Left Search Start

Returns:

The Hard Left Search Start

getSearchStartRight

public double getSearchStartRight()

Retrieve the Hard Right Search Start

Returns:

The Hard Right Search Start

getStartingBracketMid

public double getStartingBracketMid()

Retrieve the Soft Bracket Start Mid

Returns:

The Soft Bracket Start Mid

getStartingBracketLeft

public double getStartingBracketLeft()

Retrieve the Soft Bracket Start Left

Returns:

The Soft Bracket Start Left

getBracketFloor

public double getBracketFloor()

Retrieve the Hard Bracket Floor

Returns:

The Hard Bracket Floor

getStartingBracketRight

public double getStartingBracketRight()

Retrieve the Soft Bracket Start Right

Returns:

The Soft Bracket Start Right

getBracketCeiling

public double getBracketCeiling()

Retrieve the Hard Bracket Ceiling

Returns:

The Hard Bracket Ceiling

getCustomBCP

public BracketingControlParams getCustomBCP()

Retrieve the Custom BCP

Returns:

The Custom BCP