ConvergenceControlParams.java
package org.drip.function.r1tor1solver;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>ConvergenceControlParams</i> holds the fields needed for the controlling the execution of Newton's
* method.
* <br>
* ConvergenceControlParams does that using the following parameters:
* <ul>
* <li>
* The determinant limit below which the convergence zone is deemed to have been reached.
* </li>
* <li>
* Starting variate from where the convergence search is kicked off.
* </li>
* <li>
* The factor by which the variate expands across each iterative search.
* </li>
* <li>
* The number of search iterations.
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/function/README.md">R<sup>d</sup> To R<sup>d</sup> Function Analysis</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/function/r1tor1solver/README.md">Built-in R<sup>1</sup> To R<sup>1</sup> Solvers</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ConvergenceControlParams {
/*
* Convergence Zone Locator Determination
*/
private int _iFixedPointConvergenceIterations = 0;
private double _dblConvergenceZoneEdgeLimit = java.lang.Double.NaN;
private double _dblConvergenceZoneVariateBegin = java.lang.Double.NaN;
private double _dblConvergenceZoneVariateBumpFactor = java.lang.Double.NaN;
/**
* Default Convergence Control Parameters constructor
*/
public ConvergenceControlParams()
{
/*
* Convergence Zone Locator Determination Initialization
*/
_iFixedPointConvergenceIterations = 100;
_dblConvergenceZoneEdgeLimit = 0.01;
_dblConvergenceZoneVariateBegin = 1.0e-30;
_dblConvergenceZoneVariateBumpFactor = 3.;
}
/**
* ConvergenceControlParams constructor
*
* @param iFixedPointConvergenceIterations Iterations to locate a variate inside the convergence zone
* @param dblConvergenceZoneVariateBegin Starting variate for convergence zone determination
* @param dblConvergenceZoneEdgeLimit Convergence zone edge limit
* @param dblConvergenceZoneVariateBumpFactor Convergence Zone Variate Bump Factor
*
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public ConvergenceControlParams (
final int iFixedPointConvergenceIterations,
final double dblConvergenceZoneVariateBegin,
final double dblConvergenceZoneEdgeLimit,
final double dblConvergenceZoneVariateBumpFactor)
throws java.lang.Exception
{
if (0 >= (_iFixedPointConvergenceIterations = iFixedPointConvergenceIterations) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblConvergenceZoneVariateBegin =
dblConvergenceZoneVariateBegin) || !org.drip.numerical.common.NumberUtil.IsValid
(_dblConvergenceZoneEdgeLimit = dblConvergenceZoneEdgeLimit) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblConvergenceZoneVariateBumpFactor =
dblConvergenceZoneVariateBumpFactor))
throw new java.lang.Exception ("ConvergenceControlParams constructor: Invalid inputs");
}
/**
* Return the number of fixed point convergence iterations
*
* @return Number of fixed point convergence iterations
*/
public int getFixedPointConvergenceIterations()
{
return _iFixedPointConvergenceIterations;
}
/**
* Return the limit of the fixed point convergence zone edge
*
* @return Limit of fixed point convergence zone edge
*/
public double getConvergenceZoneEdgeLimit()
{
return _dblConvergenceZoneEdgeLimit;
}
/**
* Return the start of the fixed point convergence variate
*
* @return Start of the fixed point convergence variate
*/
public double getConvergenceZoneVariateBegin()
{
return _dblConvergenceZoneVariateBegin;
}
/**
* Return the bump factor for the fixed point convergence variate iteration
*
* @return Bump factor for the fixed point convergence variate iteration
*/
public double getConvergenceZoneVariateBumpFactor()
{
return _dblConvergenceZoneVariateBumpFactor;
}
}