Class SplitdIHdt

java.lang.Object
com.polytechnik.trading.SplitdIHdt

public class SplitdIHdt extends Object
A class to split dI/dt like operator on positive and negative subspaces.
See Also:
  • Field Details

    • PdIHdt_spurM

      public final double PdIHdt_spurM
    • dIHdt_posdIH_spurM

      public final double dIHdt_posdIH_spurM
    • dIHdt_negdIH_spurM

      public final double dIHdt_negdIH_spurM
    • pF_posdIH_spurM

      public final double pF_posdIH_spurM
    • pF_negdIH_spurM

      public final double pF_negdIH_spurM
    • dpdt_spurM

      public final double dpdt_spurM
    • dpdt_posdIH_spurM

      public final double dpdt_posdIH_spurM
    • dpdt_negdIH_spurM

      public final double dpdt_negdIH_spurM
    • dIHdt_spurM

      public final double dIHdt_spurM
    • T_M

      public final double T_M
      Time to "now" (in tau units) in selected state.
    • Tv_M

      public final double Tv_M
      Time to "now" (in tau units) in selected state.
    • pv_M

      public final double pv_M
    • I_M

      public final double I_M
    • IH

      public final EVXData IH
    • psiM

      final double[] psiM
      The state of the spike.
  • Constructor Details

  • Method Details

    • getFromdIHdt

      public static SplitdIHdt getFromdIHdt(int n, double[] dIHdtmom, double[] pdIHdtmom, double[] dpmom, CommonlyUsedMoments sst, double eps)
      Obtain the result from moments (possibly of secondary sampling). The "execution flow" is extracted internally from its derivative's dIHdtmom moments using integration by parts. This allows the moments of secondary sampling to be used for modelling execution flow. For regular execution flow I=dV/dt use sst.getDFMomentsFromF(TMatr.sumaAbB(0*Ifuture,tmom,-1,imom)); the Ifuture may be set to 0, as it is properly set inside constructor anyway.
      Parameters:
      n - Problem dimension.
      dIHdtmom - Input moments of dI/dt -"style".
      pdIHdtmom - Input moments of p*dI/dt -"style". One may use the moments of \(p\frac{dI}{dt}\) and \(\frac{dpI}{dt}\) types.
      dpmom - Some moments to test other ideas. Propagates to dpdt_spurM, dpdt_posdIH_spurM, and dpdt_negdIH_spurM.
      sst - Basis operations.
      eps - If positive -- run unit test with this eps.
    • match

      public static void match(SplitdIHdt a, SplitdIHdt b, double eps)
      For unit test.