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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* Created on 19.02.2004
*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*/
package net.finmath.rootfinder;
/**
* This class implements a root finder as question-and-answer algorithm
* using Newton's method.
*
* @author Christian Fries
* @version 1.3
* @date 2008-04-06
*/
public class NewtonsMethod implements RootFinderWithDerivative {
private double nextPoint; // Stores the next point to be returned by getPoint()
private int numberOfIterations = 0; // Number of numberOfIterations
private double bestPoint; // Best point so far
private double accuracy = Double.MAX_VALUE; // Current accuracy of solution
private final boolean isDone = false; // Will be true if machine accuracy has been reached
/**
* @param guess initial guess where the solver will start
*/
public NewtonsMethod(final double guess) {
nextPoint = guess;
bestPoint = guess;
}
/**
* @return Returns the best point optained so far
*/
@Override
public double getBestPoint() {
return bestPoint;
}
/**
* @return Next point for which a value should be set using setValue.
*/
@Override
public double getNextPoint() {
return nextPoint;
}
/**
* @param value
* The value corresponding to the point returned by previous
* getNextPoint call.
* @param derivative
* The derivative corresponding to the point returned by previous
* getNextPoint call.
*/
@Override
public void setValueAndDerivative(final double value, final double derivative) {
if(Math.abs(value) < accuracy)
{
accuracy = Math.abs(value);
bestPoint = nextPoint;
}
// Calculate next point
nextPoint -= value / derivative;
numberOfIterations++;
}
/**
* @return Returns the number of iterations.
*/
@Override
public int getNumberOfIterations() {
return numberOfIterations;
}
/**
* @return Returns the accuracy.
*/
@Override
public double getAccuracy() {
return accuracy;
}
/**
* @return Returns true if the solver is done (accuracy achieved or unable to improve)
*/
@Override
public boolean isDone() {
return isDone;
}
}