ExecutionControlParams.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>ExecutionControlParams</i> holds the parameters needed for controlling the execution of the fixed point
* finder.
* <br><br>
* ExecutionControlParams fields control the fixed point search in one of the following ways:
* <br>
* <ul>
* <li>
* Number of iterations after which the search is deemed to have failed
* </li>
* <li>
* Relative Objective Function Tolerance Factor which, when reached by the objective function, will
* indicate that the fixed point has been reached
* </li>
* <li>
* Variate Convergence Factor, factor applied to the initial variate to determine the absolute
* convergence
* </li>
* <li>
* Absolute Tolerance fall-back, which is used to determine that the fixed point has been reached when
* the relative tolerance factor becomes zero
* </li>
* <li>
* Absolute Variate Convergence Fall-back, fall-back used to determine if the variate has converged.
* </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 ExecutionControlParams {
private int _iNumIterations = 0;
private boolean _bIsVariateConvergenceCheckEnabled = false;
private double _dblOFGoalToleranceFactor = java.lang.Double.NaN;
private double _dblVariateConvergenceFactor = java.lang.Double.NaN;
private double _dblAbsoluteOFToleranceFallback = java.lang.Double.NaN;
private double _dblAbsoluteVariateConvergenceFallback = java.lang.Double.NaN;
/**
* Default Execution Control Parameters constructor
*/
public ExecutionControlParams()
{
_iNumIterations = 200;
_dblOFGoalToleranceFactor = 1.0e-07;
_dblVariateConvergenceFactor = 1.0e-07;
_dblAbsoluteOFToleranceFallback = 1.0e-08;
_dblAbsoluteVariateConvergenceFallback = 1.0e-08;
}
/**
* Execution Control Parameters constructor
*
* @param iNumIterations Number of Iterations
* @param bIsVariateConvergenceCheckEnabled Flag indicating if the variate convergence check is on
* @param dblOFGoalToleranceFactor Tolerance factor for the OF Goal
* @param dblVariateConvergenceFactor Variate Convergence Factor
* @param dblAbsoluteOFToleranceFallback Absolute Tolerance Fall-back
* @param dblAbsoluteVariateConvergenceFallback Absolute Variate Convergence fall-back
*
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public ExecutionControlParams (
final int iNumIterations,
final boolean bIsVariateConvergenceCheckEnabled,
final double dblOFGoalToleranceFactor,
final double dblVariateConvergenceFactor,
final double dblAbsoluteOFToleranceFallback,
final double dblAbsoluteVariateConvergenceFallback)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblOFGoalToleranceFactor = dblOFGoalToleranceFactor)
|| !org.drip.numerical.common.NumberUtil.IsValid (_dblVariateConvergenceFactor =
dblVariateConvergenceFactor) || !org.drip.numerical.common.NumberUtil.IsValid
(_dblAbsoluteOFToleranceFallback = dblAbsoluteOFToleranceFallback) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblAbsoluteVariateConvergenceFallback =
dblAbsoluteVariateConvergenceFallback) || 0 >= (_iNumIterations =
iNumIterations))
throw new java.lang.Exception ("ExecutionControlParams constructor: Invalid inputs");
_bIsVariateConvergenceCheckEnabled = bIsVariateConvergenceCheckEnabled;
}
/**
* Return the number of iterations allowed
*
* @return Number of iterations
*/
public int getNumIterations()
{
return _iNumIterations;
}
/**
* Return the tolerance factor for the OF Goal
*
* @return Tolerance factor for the OF Goal
*/
public double getOFGoalToleranceFactor()
{
return _dblOFGoalToleranceFactor;
}
/**
* Return the Variate Convergence Factor
*
* @return Variate Convergence Factor
*/
public double getVariateConvergenceFactor()
{
return _dblVariateConvergenceFactor;
}
/**
* Return the Fall-back absolute tolerance for the OF
*
* @return Fall-back absolute tolerance for the OF
*/
public double getAbsoluteOFToleranceFallback()
{
return _dblAbsoluteOFToleranceFallback;
}
/**
* Return the fall-back absolute variate convergence
*
* @return Fall-back absolute variate convergence
*/
public double getAbsoluteVariateConvergenceFallback()
{
return _dblAbsoluteVariateConvergenceFallback;
}
/**
* Indicate if the variate convergence check has been turned on
*
* @return TRUE - Variate convergence check has been turned on
*/
public boolean isVariateConvergenceCheckEnabled()
{
return _bIsVariateConvergenceCheckEnabled;
}
}