Class QVMDataP

java.lang.Object
com.polytechnik.trading.QVMDataP

public class QVMDataP extends Object
Moments data in shifted to [0:1] Legendre basis, use QVMDataPDirectAccess to extract.
See Also:
  • Field Details

    • currenttime

      final long currenttime
    • tau

      final long tau
    • vol

      final long vol
    • svol

      final long svol
    • p_offset

      final double p_offset
    • ntm

      final int ntm
    • npm

      final int npm
    • tmoments_Ptau_x_p

      final double[] tmoments_Ptau_x_p
    • vmoments_Ptau_x_p

      final double[] vmoments_Ptau_x_p
    • Tvmoments_Ptau_x_p

      final double[] Tvmoments_Ptau_x_p
    • VdPmoments_Ptau_x_p

      final double[] VdPmoments_Ptau_x_p
    • Dp_tmoments_Ptau_x_p

      final double[] Dp_tmoments_Ptau_x_p
    • Dp_vmoments_Ptau_x_p

      final double[] Dp_vmoments_Ptau_x_p
    • Da_tmoments_Ptau_x_p

      final double[] Da_tmoments_Ptau_x_p
    • Da_vmoments_Ptau_x_p

      final double[] Da_vmoments_Ptau_x_p
    • vbuymoments_Ptau_x_p

      final double[] vbuymoments_Ptau_x_p
    • vsellmoments_Ptau_x_p

      final double[] vsellmoments_Ptau_x_p
    • pmoments_Ptau_x_p

      final double[] pmoments_Ptau_x_p
    • Tpmoments_Ptau_x_p

      final double[] Tpmoments_Ptau_x_p
    • pluspmoments_Ptau_x_p

      final double[] pluspmoments_Ptau_x_p
    • minuspmoments_Ptau_x_p

      final double[] minuspmoments_Ptau_x_p
    • amoments_Ptau_x_p

      final double[] amoments_Ptau_x_p
    • admoments_Ptau_x_p

      final double[] admoments_Ptau_x_p
    • tsmoments_Ptau_x_p

      final double[] tsmoments_Ptau_x_p
    • vsmoments_Ptau_x_p

      final double[] vsmoments_Ptau_x_p
    • rtsmoments_Ptau_x_p

      final double[] rtsmoments_Ptau_x_p
    • rvsmoments_Ptau_x_p

      final double[] rvsmoments_Ptau_x_p
    • tauvbuymoments_Ptau_x_p

      final double[] tauvbuymoments_Ptau_x_p
    • tauvsellmoments_Ptau_x_p

      final double[] tauvsellmoments_Ptau_x_p
    • trade_last

      final com.polytechnik.realtimebook.Trade trade_last
    • dp_diff_last

      final com.polytechnik.realtimebook.Trade dp_diff_last
    • LegendreShifted_POLS

      static final double[][] LegendreShifted_POLS
  • Constructor Details

    • QVMDataP

      private QVMDataP(long currenttime, long tau, long vol, long svol, double p_offset, double[] tmoments_Ptau_x_p, double[] vmoments_Ptau_x_p, double[] Tvmoments_Ptau_x_p, double[] VdPmoments_Ptau_x_p, double[] Dp_tmoments_Ptau_x_p, double[] Dp_vmoments_Ptau_x_p, double[] Da_tmoments_Ptau_x_p, double[] Da_vmoments_Ptau_x_p, double[] pmoments_Ptau_x_p, double[] Tpmoments_Ptau_x_p, double[] pluspmoments_Ptau_x_p, double[] minuspmoments_Ptau_x_p, double[] vbuymoments_Ptau_x_p, double[] vsellmoments_Ptau_x_p, double[] amoments_Ptau_x_p, double[] admoments_Ptau_x_p, double[] tsmoments_Ptau_x_p, double[] vsmoments_Ptau_x_p, double[] rtsmoments_Ptau_x_p, double[] rvsmoments_Ptau_x_p, double[] tauvbuymoments_Ptau_x_p, double[] tauvsellmoments_Ptau_x_p, int ntm, int npm, com.polytechnik.realtimebook.Trade trade_last, com.polytechnik.realtimebook.Trade dp_diff_last)
  • Method Details

    • calculateQVMDataP

      public static QVMDataP calculateQVMDataP(int ntm, int npm, long currenttime, long tau, com.polytechnik.realtimebook.Trade[] tb, int tsize, QVMDataP ref)
    • checkMatching

      private static void checkMatching(QVMDataP r, QVMDataP ref, double eps, double epssum)
    • matchWithTest

      private static void matchWithTest(String description, QVMDataP r, com.polytechnik.realtimebook.Trade[] tb, int tsize, double eps)
    • checkMomQVMData

      private static void checkMomQVMData(String txt, QVMDataP r, double[] r_mom, QVMData[] rt, int QVMData_MOM, boolean flag_tscale, double eps)
    • checkMatchingQVMData

      private static void checkMatchingQVMData(QVMDataP r, QVMData[] rt, double eps)
    • checkCalculations

      private static void checkCalculations(int tsize, Random r, int ntm, int npm, int n_price_quants, double eps)
    • test_Self

      static void test_Self(long initrandom)
    • main

      public static void main(String[] args)