Package com.polytechnik.utils
Interface VolMatrix
- Functional Interface:
- This is a functional interface and can therefore be used as the assignment target for a lambda expression or method reference.
Volatility calculation.
Unit test is in VkQVM, BkQVM and XkVM.XkQVMTest.test_Matrices()
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Method Summary
Modifier and TypeMethodDescriptiondefault double[]
getDiff2Matrix
(int n, double[] QQ) D2 Differentiated matrix.default double[]
getDiff2PartMatrix
(int n, double[] QQ) A part of D2: QQ DD + DD^T QQ^T.default double[]
getDiffMatrix
(int n, double[] QQ) Differentiated matrix.default double[]
getDMatrix
(int n) D- matrix.double[]
getDPsi
(double[] psi) Calculates D(psi).default double[]
getDRadau2Matrix
(int n, double[] QQ, OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M) Calculates <D(r^2*Q_i Q_j)>.default double[]
getDRadauMatrix
(int n, double[] QQ, OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M) Calculates <D(r*Q_i Q_j)>.static double[]
getHAB
(int n, double[] QQ, double[] D) Hermitian QQ D + D^T QQ^T.static double[]
getRadau2Matrix
(int n, double[] QQ, OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M) Calculates <r^2*Q_i Q_j>.static double[]
getRadauMatrix
(int n, double[] QQ, OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M) Calculates <r*Q_i Q_j>.default double[]
getVolMatrix
(int n, double[] QQ) Volatility matrix.
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Method Details
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getDPsi
double[] getDPsi(double[] psi) Calculates D(psi). -
getVolMatrix
default double[] getVolMatrix(int n, double[] QQ) Volatility matrix. D^T QQ D -
getDiffMatrix
default double[] getDiffMatrix(int n, double[] QQ) Differentiated matrix. QQ D + D^T QQ^T. -
getDiff2Matrix
default double[] getDiff2Matrix(int n, double[] QQ) D2 Differentiated matrix. QQ DD + DD^T QQ^T + D^T QQ D + D^T QQ^T D -
getDiff2PartMatrix
default double[] getDiff2PartMatrix(int n, double[] QQ) A part of D2: QQ DD + DD^T QQ^T. -
getDMatrix
default double[] getDMatrix(int n) D- matrix. If Dpsi=getDPsi(psi), then Dpsi_k=\sum_{l}D_{kl}psi_l. -
getHAB
static double[] getHAB(int n, double[] QQ, double[] D) Hermitian QQ D + D^T QQ^T. -
getRadauMatrix
static double[] getRadauMatrix(int n, double[] QQ, OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M) Calculates <r*Q_i Q_j>.- Parameters:
QQ
- , the matrix n*n- Returns:
- rQQ, the matrix (n-1)*(n-1)
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getDRadauMatrix
default double[] getDRadauMatrix(int n, double[] QQ, OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M) Calculates <D(r*Q_i Q_j)>.- Parameters:
QQ
- , the matrix n*n- Returns:
- D(rQQ), the matrix (n-1)*(n-1)
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getRadau2Matrix
static double[] getRadau2Matrix(int n, double[] QQ, OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M) Calculates <r^2*Q_i Q_j>.- Parameters:
QQ
- , the matrix n*n- Returns:
- r^2*QQ, the matrix (n-1)*(n-1)
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getDRadau2Matrix
default double[] getDRadau2Matrix(int n, double[] QQ, OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M) Calculates <D(r^2*Q_i Q_j)>.- Parameters:
QQ
- , the matrix n*n- Returns:
- D(r^2*QQ), the matrix (n-1)*(n-1)
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