Package 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 Details

    • 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 Details

    • 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 Details

    • 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