ExecutionControlParams.java

  1. package org.drip.function.r1tor1solver;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>ExecutionControlParams</i> holds the parameters needed for controlling the execution of the fixed point
  86.  * finder.
  87.  * <br><br>
  88.  * ExecutionControlParams fields control the fixed point search in one of the following ways:
  89.  * <br>
  90.  * <ul>
  91.  *  <li>
  92.  *      Number of iterations after which the search is deemed to have failed
  93.  *  </li>
  94.  *  <li>
  95.  *      Relative Objective Function Tolerance Factor which, when reached by the objective function, will
  96.  *          indicate that the fixed point has been reached
  97.  *  </li>
  98.  *  <li>
  99.  *      Variate Convergence Factor, factor applied to the initial variate to determine the absolute
  100.  *          convergence
  101.  *  </li>
  102.  *  <li>
  103.  *      Absolute Tolerance fall-back, which is used to determine that the fixed point has been reached when
  104.  *          the relative tolerance factor becomes zero
  105.  *  </li>
  106.  *  <li>
  107.  *      Absolute Variate Convergence Fall-back, fall-back used to determine if the variate has converged.
  108.  *  </li>
  109.  * </ul>
  110.  *
  111.  *  <br><br>
  112.  *  <ul>
  113.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  114.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  115.  *      <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>
  116.  *      <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>
  117.  *  </ul>
  118.  *
  119.  * @author Lakshmi Krishnamurthy
  120.  */

  122. public class ExecutionControlParams {
  123.     private int _iNumIterations = 0;
  124.     private boolean _bIsVariateConvergenceCheckEnabled = false;
  125.     private double _dblOFGoalToleranceFactor = java.lang.Double.NaN;
  126.     private double _dblVariateConvergenceFactor = java.lang.Double.NaN;
  127.     private double _dblAbsoluteOFToleranceFallback = java.lang.Double.NaN;
  128.     private double _dblAbsoluteVariateConvergenceFallback = java.lang.Double.NaN;

  130.     /**
  131.      * Default Execution Control Parameters constructor
  132.      */

  134.     public ExecutionControlParams()
  135.     {
  136.         _iNumIterations = 200;
  137.         _dblOFGoalToleranceFactor = 1.0e-07;
  138.         _dblVariateConvergenceFactor = 1.0e-07;
  139.         _dblAbsoluteOFToleranceFallback = 1.0e-08;
  140.         _dblAbsoluteVariateConvergenceFallback = 1.0e-08;
  141.     }

  143.     /**
  144.      * Execution Control Parameters constructor
  145.      * 
  146.      * @param iNumIterations Number of Iterations
  147.      * @param bIsVariateConvergenceCheckEnabled Flag indicating if the variate convergence check is on
  148.      * @param dblOFGoalToleranceFactor Tolerance factor for the OF Goal
  149.      * @param dblVariateConvergenceFactor Variate Convergence Factor
  150.      * @param dblAbsoluteOFToleranceFallback Absolute Tolerance Fall-back
  151.      * @param dblAbsoluteVariateConvergenceFallback Absolute Variate Convergence fall-back
  152.      * 
  153.      * @throws java.lang.Exception Thrown if the inputs are invalid
  154.      */

  156.     public ExecutionControlParams (
  157.         final int iNumIterations,
  158.         final boolean bIsVariateConvergenceCheckEnabled,
  159.         final double dblOFGoalToleranceFactor,
  160.         final double dblVariateConvergenceFactor,
  161.         final double dblAbsoluteOFToleranceFallback,
  162.         final double dblAbsoluteVariateConvergenceFallback)
  163.         throws java.lang.Exception
  164.     {
  165.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblOFGoalToleranceFactor = dblOFGoalToleranceFactor)
  166.             || !org.drip.numerical.common.NumberUtil.IsValid (_dblVariateConvergenceFactor =
  167.                 dblVariateConvergenceFactor) || !org.drip.numerical.common.NumberUtil.IsValid
  168.                     (_dblAbsoluteOFToleranceFallback = dblAbsoluteOFToleranceFallback) ||
  169.                         !org.drip.numerical.common.NumberUtil.IsValid (_dblAbsoluteVariateConvergenceFallback =
  170.                             dblAbsoluteVariateConvergenceFallback) || 0 >= (_iNumIterations =
  171.                                 iNumIterations))
  172.             throw new java.lang.Exception ("ExecutionControlParams constructor: Invalid inputs");

  174.         _bIsVariateConvergenceCheckEnabled = bIsVariateConvergenceCheckEnabled;
  175.     }

  177.     /**
  178.      * Return the number of iterations allowed
  179.      * 
  180.      * @return Number of iterations
  181.      */

  183.     public int getNumIterations()
  184.     {
  185.         return _iNumIterations;
  186.     }

  188.     /**
  189.      * Return the tolerance factor for the OF Goal
  190.      * 
  191.      * @return Tolerance factor for the OF Goal
  192.      */

  194.     public double getOFGoalToleranceFactor()
  195.     {
  196.         return _dblOFGoalToleranceFactor;
  197.     }

  199.     /**
  200.      * Return the Variate Convergence Factor
  201.      * 
  202.      * @return Variate Convergence Factor
  203.      */

  205.     public double getVariateConvergenceFactor()
  206.     {
  207.         return _dblVariateConvergenceFactor;
  208.     }

  210.     /**
  211.      * Return the Fall-back absolute tolerance for the OF
  212.      * 
  213.      * @return Fall-back absolute tolerance for the OF
  214.      */

  216.     public double getAbsoluteOFToleranceFallback()
  217.     {
  218.         return _dblAbsoluteOFToleranceFallback;
  219.     }

  221.     /**
  222.      * Return the fall-back absolute variate convergence
  223.      * 
  224.      * @return Fall-back absolute variate convergence
  225.      */

  227.     public double getAbsoluteVariateConvergenceFallback()
  228.     {
  229.         return _dblAbsoluteVariateConvergenceFallback;
  230.     }

  232.     /**
  233.      * Indicate if the variate convergence check has been turned on
  234.      * 
  235.      * @return TRUE - Variate convergence check has been turned on
  236.      */

  238.     public boolean isVariateConvergenceCheckEnabled()
  239.     {
  240.         return _bIsVariateConvergenceCheckEnabled;
  241.     }
  242. }
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