FixedPointFinderBracketing.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>FixedPointFinderBracketing</i> customizes the FixedPointFinder for bracketing based fixed point finder
  86.  *  functionality.
  87.  * <br><br>
  88.  * FixedPointFinderBracketing applies the following customization:
  89.  * <br>
  90.  * <ul>
  91.  *  <li>
  92.  *      Initializes the fixed point finder by computing the starting brackets
  93.  *  </li>
  94.  *  <li>
  95.  *      Iterating the next search variate using one of the specified variate iterator primitives.
  96.  *  </li>
  97.  * </ul>
  98.  * <br><br>
  99.  * By default, FixedPointFinderBracketing does not do compound iterations of the variate using any schemes -
  100.  * that is done by classes that extend it.
  101.  *
  102.  *  <br><br>
  103.  *  <ul>
  104.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  105.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  106.  *      <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>
  107.  *      <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>
  108.  *  </ul>
  109.  *
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. public class FixedPointFinderBracketing extends org.drip.function.r1tor1solver.FixedPointFinder {
  114.     protected int _iIteratorPrimitive = -1;
  115.     protected org.drip.function.r1tor1solver.IteratedBracket _ib = null;

  117.     private org.drip.function.r1tor1solver.ExecutionInitializer _ei = null;

  119.     protected final double calcNextVariate (
  120.         final double dblCurrentVariate,
  121.         final double dblContraVariate,
  122.         final double dblCurrentOF,
  123.         final double dblContraPointOF,
  124.         final int iIteratorPrimitive,
  125.         final org.drip.function.r1tor1solver.FixedPointFinderOutput rfop)
  126.         throws java.lang.Exception
  127.     {
  128.         if (org.drip.function.r1tor1solver.VariateIteratorPrimitive.BISECTION == iIteratorPrimitive)
  129.             return org.drip.function.r1tor1solver.VariateIteratorPrimitive.Bisection (dblCurrentVariate,
  130.                 dblContraVariate);

  132.         if (org.drip.function.r1tor1solver.VariateIteratorPrimitive.FALSE_POSITION == iIteratorPrimitive)
  133.             return org.drip.function.r1tor1solver.VariateIteratorPrimitive.FalsePosition (dblCurrentVariate,
  134.                 dblContraVariate, dblCurrentOF, dblContraPointOF);

  136.         double dblIntermediateVariate = org.drip.function.r1tor1solver.VariateIteratorPrimitive.Bisection
  137.             (dblCurrentVariate, dblContraVariate);

  139.         if (!rfop.incrOFCalcs())
  140.             throw new java.lang.Exception
  141.                 ("FixedPointFinderBracketing::calcNextVariate => Cannot increment rfop!");

  143.         if (org.drip.function.r1tor1solver.VariateIteratorPrimitive.QUADRATIC_INTERPOLATION == iIteratorPrimitive)
  144.             return org.drip.function.r1tor1solver.VariateIteratorPrimitive.QuadraticInterpolation (dblCurrentVariate,
  145.                 dblIntermediateVariate, dblContraVariate, dblCurrentOF, _of.evaluate
  146.                     (dblIntermediateVariate), dblContraPointOF);

  148.         if (org.drip.function.r1tor1solver.VariateIteratorPrimitive.INVERSE_QUADRATIC_INTERPOLATION ==
  149.             iIteratorPrimitive)
  150.             return org.drip.function.r1tor1solver.VariateIteratorPrimitive.InverseQuadraticInterpolation
  151.                 (dblCurrentVariate, dblIntermediateVariate, dblContraVariate, dblCurrentOF, _of.evaluate
  152.                     (dblIntermediateVariate), dblContraPointOF);

  154.         if (org.drip.function.r1tor1solver.VariateIteratorPrimitive.RIDDER == iIteratorPrimitive)
  155.             return org.drip.function.r1tor1solver.VariateIteratorPrimitive.Ridder (dblCurrentVariate,
  156.                 dblIntermediateVariate, dblContraVariate, dblCurrentOF, _of.evaluate
  157.                     (dblIntermediateVariate), dblContraPointOF);

  159.         throw new java.lang.Exception
  160.             ("FixedPointFinderBracketing.calcNextVariate => Unknown Iterator Primitive");
  161.     }

  163.     protected double iterateCompoundVariate (
  164.         final double dblCurrentVariate,
  165.         final double dblContraVariate,
  166.         final double dblCurrentOF,
  167.         final double dblContraPointOF,
  168.         final org.drip.function.r1tor1solver.FixedPointFinderOutput rfop)
  169.         throws java.lang.Exception
  170.     {
  171.         return calcNextVariate (dblCurrentVariate, dblContraVariate, dblCurrentOF, dblContraPointOF,
  172.             _iIteratorPrimitive, rfop);
  173.     }

  175.     @Override protected boolean iterateVariate (
  176.         final org.drip.function.r1tor1solver.IteratedVariate iv,
  177.         final org.drip.function.r1tor1solver.FixedPointFinderOutput rfop)
  178.     {
  179.         if (null == iv || null == rfop) return false;

  181.         double dblContraRoot = java.lang.Double.NaN;
  182.         double dblContraRootOF = java.lang.Double.NaN;

  184.         double dblOF = iv.getOF();

  186.         double dblOFLeft = _ib.getOFLeft();

  188.         double dblOFRight = _ib.getOFRight();

  190.         double dblVariate = iv.getVariate();

  192.         double dblVariateLeft = _ib.getVariateLeft();

  194.         double dblVariateRight = _ib.getVariateRight();

  196.         if (((dblOFLeft - _dblOFGoal) * (dblOF - _dblOFGoal)) > 0.) {
  197.             if (!_ib.setOFLeft (dblOF) || !_ib.setVariateLeft (dblVariate)) return false;

  199.             dblContraRootOF = dblOFRight;
  200.             dblContraRoot = dblVariateRight;
  201.         } else if (((dblOFRight - _dblOFGoal) * (dblOF - _dblOFGoal)) > 0.) {
  202.             if (!_ib.setOFRight (dblOF) || !_ib.setVariateRight (dblVariate)) return false;

  204.             dblContraRootOF = dblOFLeft;
  205.             dblContraRoot = dblVariateLeft;
  206.         }

  208.         try {
  209.             dblVariate = iterateCompoundVariate (dblVariate, dblContraRoot, dblOF, dblContraRootOF, rfop);

  211.             return iv.setVariate (dblVariate) && iv.setOF (_of.evaluate (dblVariate)) && rfop.incrOFCalcs();
  212.         } catch (java.lang.Exception e) {
  213.             if (_bWhine) e.printStackTrace();
  214.         }

  216.         return false;
  217.     }

  219.     @Override protected org.drip.function.r1tor1solver.ExecutionInitializationOutput initializeVariateZone (
  220.         final org.drip.function.r1tor1solver.InitializationHeuristics ih)
  221.     {
  222.         org.drip.function.r1tor1solver.BracketingOutput bop = null;

  224.         if (null != ih && org.drip.function.r1tor1solver.InitializationHeuristics.SEARCH_HARD_BRACKETS ==
  225.             ih.getDeterminant())
  226.             bop = _ei.verifyHardSearchEdges (ih, _dblOFGoal);
  227.         else
  228.             bop = _ei.initializeBracket (ih, _dblOFGoal);

  230.         if (null == bop || !bop.isDone()) return null;

  232.         try {
  233.             _ib = new org.drip.function.r1tor1solver.IteratedBracket (bop);

  235.             return bop;
  236.         } catch (java.lang.Exception e) {
  237.             if (_bWhine) e.printStackTrace();
  238.         }

  240.         return null;
  241.     }

  243.     /**
  244.      * FixedPointFinderBracketing constructor
  245.      * 
  246.      * @param dblOFGoal OF Goal
  247.      * @param of Objective Function
  248.      * @param ec Execution Control
  249.      * @param iIteratorPrimitive Iterator Primitive
  250.      * @param bWhine TRUE - Balk on Encountering Exception
  251.      * 
  252.      * @throws java.lang.Exception Thrown if inputs are invalid
  253.      */

  255.     public FixedPointFinderBracketing (
  256.         final double dblOFGoal,
  257.         final org.drip.function.definition.R1ToR1 of,
  258.         final org.drip.function.r1tor1solver.ExecutionControl ec,
  259.         final int iIteratorPrimitive,
  260.         final boolean bWhine)
  261.         throws java.lang.Exception
  262.     {
  263.         super (dblOFGoal, of, ec, bWhine);

  265.         if (org.drip.function.r1tor1solver.VariateIteratorPrimitive.BISECTION != (_iIteratorPrimitive =
  266.             iIteratorPrimitive) && org.drip.function.r1tor1solver.VariateIteratorPrimitive.FALSE_POSITION !=
  267.                 _iIteratorPrimitive &&
  268.                     org.drip.function.r1tor1solver.VariateIteratorPrimitive.QUADRATIC_INTERPOLATION !=
  269.                         _iIteratorPrimitive &&
  270.                             org.drip.function.r1tor1solver.VariateIteratorPrimitive.INVERSE_QUADRATIC_INTERPOLATION
  271.                                 != _iIteratorPrimitive &&
  272.                                     org.drip.function.r1tor1solver.VariateIteratorPrimitive.RIDDER !=
  273.                                         _iIteratorPrimitive)
  274.             throw new java.lang.Exception ("FixedPointFinderBracketing constructor: Invalid inputs!");

  276.         _ei = new org.drip.function.r1tor1solver.ExecutionInitializer (_of, null, true);
  277.     }
  278. }
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