Class QVMDataL

java.lang.Object
com.polytechnik.trading.QVMDataL

public class QVMDataL extends Object
Moments data in Laguerre basis, use QVMDataLDirectAccess 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_Ltau_x_p

      final double[] tmoments_Ltau_x_p
    • vmoments_Ltau_x_p

      final double[] vmoments_Ltau_x_p
    • Tvmoments_Ltau_x_p

      final double[] Tvmoments_Ltau_x_p
    • VdPmoments_Ltau_x_p

      final double[] VdPmoments_Ltau_x_p
    • Dp_tmoments_Ltau_x_p

      final double[] Dp_tmoments_Ltau_x_p
    • Dp_vmoments_Ltau_x_p

      final double[] Dp_vmoments_Ltau_x_p
    • Da_tmoments_Ltau_x_p

      final double[] Da_tmoments_Ltau_x_p
    • Da_vmoments_Ltau_x_p

      final double[] Da_vmoments_Ltau_x_p
    • vbuymoments_Ltau_x_p

      final double[] vbuymoments_Ltau_x_p
    • vsellmoments_Ltau_x_p

      final double[] vsellmoments_Ltau_x_p
    • pmoments_Ltau_x_p

      final double[] pmoments_Ltau_x_p
    • Tpmoments_Ltau_x_p

      final double[] Tpmoments_Ltau_x_p
    • pluspmoments_Ltau_x_p

      final double[] pluspmoments_Ltau_x_p
    • minuspmoments_Ltau_x_p

      final double[] minuspmoments_Ltau_x_p
    • amoments_Ltau_x_p

      final double[] amoments_Ltau_x_p
    • admoments_Ltau_x_p

      final double[] admoments_Ltau_x_p
    • tsmoments_Ltau_x_p

      final double[] tsmoments_Ltau_x_p
    • vsmoments_Ltau_x_p

      final double[] vsmoments_Ltau_x_p
    • rtsmoments_Ltau_x_p

      final double[] rtsmoments_Ltau_x_p
    • rvsmoments_Ltau_x_p

      final double[] rvsmoments_Ltau_x_p
    • tauvbuymoments_Ltau_x_p

      final double[] tauvbuymoments_Ltau_x_p
    • tauvsellmoments_Ltau_x_p

      final double[] tauvsellmoments_Ltau_x_p
    • trade_last

      final com.polytechnik.realtimebook.Trade trade_last
    • dp_diff_last

      final com.polytechnik.realtimebook.Trade dp_diff_last
    • Laguerre_POLS

      static final double[][] Laguerre_POLS
  • Constructor Details

    • QVMDataL

      private QVMDataL(long currenttime, long tau, long vol, long svol, double p_offset, double[] tmoments_Ltau_x_p, double[] vmoments_Ltau_x_p, double[] Tvmoments_Ltau_x_p, double[] VdPmoments_Ltau_x_p, double[] Dp_tmoments_Ltau_x_p, double[] Dp_vmoments_Ltau_x_p, double[] Da_tmoments_Ltau_x_p, double[] Da_vmoments_Ltau_x_p, double[] pmoments_Ltau_x_p, double[] Tpmoments_Ltau_x_p, double[] pluspmoments_Ltau_x_p, double[] minuspmoments_Ltau_x_p, double[] vbuymoments_Ltau_x_p, double[] vsellmoments_Ltau_x_p, double[] amoments_Ltau_x_p, double[] admoments_Ltau_x_p, double[] tsmoments_Ltau_x_p, double[] vsmoments_Ltau_x_p, double[] rtsmoments_Ltau_x_p, double[] rvsmoments_Ltau_x_p, double[] tauvbuymoments_Ltau_x_p, double[] tauvsellmoments_Ltau_x_p, int ntm, int npm, com.polytechnik.realtimebook.Trade trade_last, com.polytechnik.realtimebook.Trade dp_diff_last)
  • Method Details

    • calculateQVMDataL

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

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

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

      private static void checkMomQVMData(String txt, QVMDataL r, double[] r_mom, QVMData ref, int QVMData_MOM, double eps)
    • checkMatchingQVMData

      private static void checkMatchingQVMData(QVMDataL r, QVMData ref, 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)