Class MaximizeStandardDeviation.EVSelection

java.lang.Object
com.polytechnik.utils.MaximizeStandardDeviation.EVSelection
Enclosing class:
MaximizeStandardDeviation

private static class MaximizeStandardDeviation.EVSelection extends Object
As the state corresponding to maximal \( P\&L \) is not necessary the maximal eigenvalue state due to average price offset -- check all the eigenstates. A helper class.
  • Field Details

    • ev_bQQPnLmatrix

      final double[] ev_bQQPnLmatrix
    • pnlMax

      final double pnlMax
    • lambda_pnlMax

      final double lambda_pnlMax
    • pa

      final double pa
    • I_pnlMax

      final double I_pnlMax
    • ind_lambda_pnlMax

      final int ind_lambda_pnlMax
    • psi_pnlMax

      final double[] psi_pnlMax
  • Constructor Details