Package com.polytechnik.trading
Class QVMDataL
java.lang.Object
com.polytechnik.trading.QVMDataL
Moments data in Laguerre basis, use
QVMDataLDirectAccess
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
QVMDataL
(long currenttime, long tau, long vol, long svol, double p_offset, double[] tmoments_Ltau_x_p, double[] vmoments_Ltau_x_p, double[] Tvmoments_Ltau_x_p, double[] VdPmoments_Ltau_x_p, double[] Dp_tmoments_Ltau_x_p, double[] Dp_vmoments_Ltau_x_p, double[] Da_tmoments_Ltau_x_p, double[] Da_vmoments_Ltau_x_p, double[] pmoments_Ltau_x_p, double[] Tpmoments_Ltau_x_p, double[] pluspmoments_Ltau_x_p, double[] minuspmoments_Ltau_x_p, double[] vbuymoments_Ltau_x_p, double[] vsellmoments_Ltau_x_p, double[] amoments_Ltau_x_p, double[] admoments_Ltau_x_p, double[] tsmoments_Ltau_x_p, double[] vsmoments_Ltau_x_p, double[] rtsmoments_Ltau_x_p, double[] rvsmoments_Ltau_x_p, double[] tauvbuymoments_Ltau_x_p, double[] tauvsellmoments_Ltau_x_p, int ntm, int npm, com.polytechnik.realtimebook.Trade trade_last, com.polytechnik.realtimebook.Trade dp_diff_last) -
Method Summary
Modifier and TypeMethodDescriptionstatic QVMDataL
calculateQVMDataL
(int ntm, int npm, long currenttime, long tau, com.polytechnik.realtimebook.Trade[] tb, int tsize, QVMDataL ref) private static void
checkCalculations
(int tsize, Random r, int ntm, int npm, int n_price_quants, double eps) private static void
checkMatching
(QVMDataL r, QVMDataL ref, double eps, double epssum) private static void
checkMatchingQVMData
(QVMDataL r, QVMData ref, double eps) private static void
checkMomQVMData
(String txt, QVMDataL r, double[] r_mom, QVMData ref, int QVMData_MOM, double eps) static void
private static void
matchWithTest
(String description, QVMDataL 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_Ltau_x_p
final double[] tmoments_Ltau_x_p -
vmoments_Ltau_x_p
final double[] vmoments_Ltau_x_p -
Tvmoments_Ltau_x_p
final double[] Tvmoments_Ltau_x_p -
VdPmoments_Ltau_x_p
final double[] VdPmoments_Ltau_x_p -
Dp_tmoments_Ltau_x_p
final double[] Dp_tmoments_Ltau_x_p -
Dp_vmoments_Ltau_x_p
final double[] Dp_vmoments_Ltau_x_p -
Da_tmoments_Ltau_x_p
final double[] Da_tmoments_Ltau_x_p -
Da_vmoments_Ltau_x_p
final double[] Da_vmoments_Ltau_x_p -
vbuymoments_Ltau_x_p
final double[] vbuymoments_Ltau_x_p -
vsellmoments_Ltau_x_p
final double[] vsellmoments_Ltau_x_p -
pmoments_Ltau_x_p
final double[] pmoments_Ltau_x_p -
Tpmoments_Ltau_x_p
final double[] Tpmoments_Ltau_x_p -
pluspmoments_Ltau_x_p
final double[] pluspmoments_Ltau_x_p -
minuspmoments_Ltau_x_p
final double[] minuspmoments_Ltau_x_p -
amoments_Ltau_x_p
final double[] amoments_Ltau_x_p -
admoments_Ltau_x_p
final double[] admoments_Ltau_x_p -
tsmoments_Ltau_x_p
final double[] tsmoments_Ltau_x_p -
vsmoments_Ltau_x_p
final double[] vsmoments_Ltau_x_p -
rtsmoments_Ltau_x_p
final double[] rtsmoments_Ltau_x_p -
rvsmoments_Ltau_x_p
final double[] rvsmoments_Ltau_x_p -
tauvbuymoments_Ltau_x_p
final double[] tauvbuymoments_Ltau_x_p -
tauvsellmoments_Ltau_x_p
final double[] tauvsellmoments_Ltau_x_p -
trade_last
final com.polytechnik.realtimebook.Trade trade_last -
dp_diff_last
final com.polytechnik.realtimebook.Trade dp_diff_last -
Laguerre_POLS
static final double[][] Laguerre_POLS
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Constructor Details
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QVMDataL
private QVMDataL(long currenttime, long tau, long vol, long svol, double p_offset, double[] tmoments_Ltau_x_p, double[] vmoments_Ltau_x_p, double[] Tvmoments_Ltau_x_p, double[] VdPmoments_Ltau_x_p, double[] Dp_tmoments_Ltau_x_p, double[] Dp_vmoments_Ltau_x_p, double[] Da_tmoments_Ltau_x_p, double[] Da_vmoments_Ltau_x_p, double[] pmoments_Ltau_x_p, double[] Tpmoments_Ltau_x_p, double[] pluspmoments_Ltau_x_p, double[] minuspmoments_Ltau_x_p, double[] vbuymoments_Ltau_x_p, double[] vsellmoments_Ltau_x_p, double[] amoments_Ltau_x_p, double[] admoments_Ltau_x_p, double[] tsmoments_Ltau_x_p, double[] vsmoments_Ltau_x_p, double[] rtsmoments_Ltau_x_p, double[] rvsmoments_Ltau_x_p, double[] tauvbuymoments_Ltau_x_p, double[] tauvsellmoments_Ltau_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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calculateQVMDataL
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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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