VariateIterationSelectorParams.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>VariateIterationSelectorParams</i> implements the control parameters for the compound variate selector
* scheme used in Brent's method.
* <br><br>
* Brent's method uses the following fields in VariateIterationSelectorParams to generate the next variate:
* <br>
* <ul>
* <li>
* The Variate Primitive that is regarded as the "fast" method
* </li>
* <li>
* The Variate Primitive that is regarded as the "robust" method
* </li>
* <li>
* The relative variate shift that determines when the "robust" method is to be invoked over the "fast"
* </li>
* <li>
* The lower bound on the variate shift between iterations that serves as the fall-back to the "robust"
* </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 VariateIterationSelectorParams {
private int _iFastIteratorPrimitive = -1;
private int _iRobustIteratorPrimitive = -1;
private double _dblRelativeVariateShift = java.lang.Double.NaN;
private double _dblVariateShiftLowerBound = java.lang.Double.NaN;
/**
* Default VariateIterationSelectorParams constructor
*/
public VariateIterationSelectorParams()
{
_dblRelativeVariateShift = 0.5;
_dblVariateShiftLowerBound = 0.01;
_iRobustIteratorPrimitive = org.drip.function.r1tor1solver.VariateIteratorPrimitive.BISECTION;
_iFastIteratorPrimitive =
org.drip.function.r1tor1solver.VariateIteratorPrimitive.INVERSE_QUADRATIC_INTERPOLATION;
}
/**
* VariateIterationSelectorParams constructor
*
* @param dblRelativeVariateShift Relative Variate Shift
* @param dblVariateShiftLowerBound Variant Shift Lower Bound
* @param iFastIteratorPrimitive Fast Iterator Primitive
* @param iRobustIteratorPrimitive Robust Iterator Primitive
*
* @throws java.lang.Exception Thrown if inputs are invalid
*/
public VariateIterationSelectorParams (
final double dblRelativeVariateShift,
final double dblVariateShiftLowerBound,
final int iFastIteratorPrimitive,
final int iRobustIteratorPrimitive)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblRelativeVariateShift = dblRelativeVariateShift) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblVariateShiftLowerBound =
dblVariateShiftLowerBound))
throw new java.lang.Exception ("VariateIterationSelectorParams constructor: Invalid inputs!");
}
/**
* Retrieve the relative variate Shift
*
* @return Relative variate Shift
*/
public double getRelativeVariateShift()
{
return _dblRelativeVariateShift;
}
/**
* Retrieve the Variate Shift lower bound
*
* @return Variate Shift lower bound
*/
public double getVariateShiftLowerBound()
{
return _dblVariateShiftLowerBound;
}
/**
* Retrieve the variate iterator primitive meant for speed
*
* @return variate iterator primitive meant for speed
*/
public int getFastVariateIteratorPrimitive()
{
return _iFastIteratorPrimitive;
}
/**
* Retrieve the variate iterator primitive meant for robustness
*
* @return variate iterator primitive meant for robustness
*/
public int getRobustVariateIteratorPrimitive()
{
return _iRobustIteratorPrimitive;
}
}