Class PnLInPsiHstate<DTYPE>

java.lang.Object
com.polytechnik.trading.PnLInPsiHstate<DTYPE>

public abstract class PnLInPsiHstate<DTYPE> extends Object
Try PnL In psiH state again.
  • Field Details

    • odata

      final DTYPE odata
      "Regular", not scalp--moments. The object has an internal state to recurrently speed up the calculations.
    • M

    • EPS_KLUDGY_WAY_TO_TURN_ON_THE_DEBUGGING

      private static double EPS_KLUDGY_WAY_TO_TURN_ON_THE_DEBUGGING
      Not worth a function or constructor argument.
    • P_last

      public final double P_last
      Actual prices (without an offset).
    • pv_average

      public final double pv_average
      Actual prices (without an offset).
    • pt_average

      public final double pt_average
      Actual prices (without an offset).
    • Tv_average

      public final double Tv_average
      Actual prices (without an offset).
    • p_offset

      private final double p_offset
      Used internally.
    • p_last

      private final double p_last
      Used internally.
    • I

      public final EVXData I
    • VT

      public final EVXData VT
    • TimVT

      public final EVXData TimVT
    • pi_IH

      public final double pi_IH
    • twoI

      public final com.polytechnik.trading.TwoTopI twoI
    • PiTi

      public final com.polytechnik.trading.BasisTransformPiTiPrediction PiTi
    • SM

      public final IntervalSincePsiM SM
    • SM_localized

      public final IntervalSincePsiM SM_localized
    • SMImVT_localized

      public final IntervalSincePsiM SMImVT_localized
    • SMImVT_Istate

      public final IntervalSincePsiM SMImVT_Istate
    • SMVT

      public final IntervalSincePsiM SMVT
    • SMTimVT_L

      public final IntervalSincePsiM SMTimVT_L
    • SMTimVT_H

      public final IntervalSincePsiM SMTimVT_H
    • PSIM

      public final com.polytechnik.trading.PsiMSelection PSIM
    • dadv

      public final com.polytechnik.trading.DaDv dadv
    • dadt

      public final com.polytechnik.trading.DaDv dadt
    • pFV

      public final PFuture pFV
    • voltlty

      private final VolMatrix voltlty
    • MT

      public final PnLInPsiHstate<DTYPE>.MiscTests MT
      Misc tests.
    • BP

      private final com.polytechnik.trading.ATestForBasisUnitaryTransforms BP
      More tests.
    • t0dumpinhours

      private static final double t0dumpinhours
      See Also:
    • PSI_WAS_DUMPED

      private static boolean PSI_WAS_DUMPED
  • Constructor Details

    • PnLInPsiHstate

      PnLInPsiHstate(int n, DTYPE odata)
      Constructor.
      Parameters:
      n - Basis dimension.
      odata - Regular moments internal state.
  • Method Details

    • getSMoments

      abstract com.polytechnik.trading.SMomentsData getSMoments(int nmoms)
      Obtain regular moments.
    • getABasis

      Time-basis of the moments from getSMoments(int).
    • getEDPsi

      abstract double[] getEDPsi(double[] psi)
      Time--variate |psi>, used for comparison with old results.
    • getPolynomialWIntegratedDt

      abstract double[] getPolynomialWIntegratedDt(double[] polynomial)
    • getPositionMoments

      abstract double[] getPositionMoments(int n, double p_eq, double[] psiM)
      Convert postion change dS=(p-p_M)*I*psi^2(t)omega(t)dt to position S and obtain it's moments.
    • getK2Distance

      abstract com.polytechnik.trading.K2Distance getK2Distance()
      A distance between two wavefunctions. Typically joint distibution is better than simple comparison <psi|x|psi>.
    • matchPnLInPsiHstate

      static void matchPnLInPsiHstate(PnLInPsiHstate<?> a, PnLInPsiHstate<?> b, double eps)