Package com.polytechnik.trading
Class QVMDataP
java.lang.Object
com.polytechnik.trading.QVMDataP
Moments data in shifted to [0:1] Legendre basis, use
QVMDataPDirectAccess
to extract.- See Also:
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Field Summary
FieldsModifier and TypeFieldDescription(package private) final double[]
(package private) final double[]
(package private) final long
(package private) final double[]
(package private) final double[]
(package private) final com.polytechnik.realtimebook.Trade
(package private) final double[]
(package private) final double[]
(package private) static final double[][]
(package private) final double[]
(package private) final int
(package private) final int
(package private) final double
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) final long
(package private) final long
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) final com.polytechnik.realtimebook.Trade
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) final long
(package private) final double[]
(package private) final double[]
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Constructor Summary
ConstructorsModifierConstructorDescriptionprivate
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 Summary
Modifier and TypeMethodDescriptionstatic QVMDataP
calculateQVMDataP
(int ntm, int npm, long currenttime, long tau, com.polytechnik.realtimebook.Trade[] tb, int tsize, QVMDataP ref) private static void
checkCalculations
(int tsize, Random r, int ntm, int npm, int n_price_quants, double eps) private static void
checkMatching
(QVMDataP r, QVMDataP ref, double eps, double epssum) private static void
checkMatchingQVMData
(QVMDataP r, QVMData[] rt, double eps) private static void
checkMomQVMData
(String txt, QVMDataP r, double[] r_mom, QVMData[] rt, int QVMData_MOM, boolean flag_tscale, double eps) static void
private static void
matchWithTest
(String description, QVMDataP r, com.polytechnik.realtimebook.Trade[] tb, int tsize, double eps) (package private) static void
test_Self
(long initrandom)
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Field Details
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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
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Constructor Details
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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)
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Method Details
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calculateQVMDataP
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checkMatching
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matchWithTest
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checkMomQVMData
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checkMatchingQVMData
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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
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