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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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/*
 * Created on 02.12.2004
 *
 * (c) Copyright Christian P. Fries, Germany.
 * Contact: [email protected].
 */
package net.finmath.rootfinder;

import java.text.DecimalFormat;

/**
 * @author Christian Fries
 * @version 1.1
 * @date 2008-04-06
 */
public class TestRootFinders {
	public static void main(String[] args) {
		System.out.println("Applying root finders to x^3 + 2*y^2 + x + 1 = 0\n");

		System.out.println("Root finders without derivative:");
		System.out.println("--------------------------------");

		RootFinder rootFinder;

		rootFinder = new BisectionSearch(-10.0,10.0);
		testRootFinder(rootFinder);	    

		rootFinder = new RiddersMethod(-10.0,10.0);
		testRootFinder(rootFinder);	    

		rootFinder = new SecantMethod(2.0,10.0);
		testRootFinder(rootFinder);

		System.out.println("");

		System.out.println("Root finders with    derivative:");
		System.out.println("--------------------------------");

		RootFinderWithDerivative rootFinderWithDerivative;

		rootFinderWithDerivative = new NewtonsMethod(2.0);
		testRootFinderWithDerivative(rootFinderWithDerivative);	    	    

		rootFinderWithDerivative = new SecantMethod(2.0,10.0);
		testRootFinderWithDerivative(rootFinderWithDerivative);	    	    
	}

	public static void testRootFinder(RootFinder rootFinder) {
		System.out.println("Testing " + rootFinder.getClass().getName() + ":");

		// Find a solution to x^3 + x^2 + x + 1 = 0
		while(rootFinder.getAccuracy() > 1E-11 && !rootFinder.isDone()) {
			double x = rootFinder.getNextPoint();

			// Our test function. Analytic solution is -1.0.
			double y = x*x*x + x*x + x + 1;

			rootFinder.setValue(y);
		}

		// Print result:
		DecimalFormat formatter = new DecimalFormat("0.00E00");
		System.out.print("Root......: "+formatter.format(rootFinder.getBestPoint())+"\t");
		System.out.print("Accuracy..: "+formatter.format(rootFinder.getAccuracy() )+"\t");
		System.out.print("Iterations: "+rootFinder.getNumberOfIterations() +"\n");
	}

	public static void testRootFinderWithDerivative(
            RootFinderWithDerivative rootFinder) {
		System.out.println("Testing " + rootFinder.getClass().getName() + ":");

		// Find a solution to x^3 + x^2 + x + 1 = 0
		while(rootFinder.getAccuracy() > 1E-11 && !rootFinder.isDone()) {
			double x = rootFinder.getNextPoint();

			double y = x*x*x + x*x + x + 1;
			double p = 3*x*x + 2*x + 1;

			rootFinder.setValueAndDerivative(y,p);
		}	    

		// Print result:
		DecimalFormat formatter = new DecimalFormat("0.00E00");
		System.out.print("Root......: "+formatter.format(rootFinder.getBestPoint())+"\t");
		System.out.print("Accuracy..: "+formatter.format(rootFinder.getAccuracy() )+"\t");
		System.out.print("Iterations: "+rootFinder.getNumberOfIterations() +"\n");
	}
}