Package com.polytechnik.trading
Class PnLInPsiHstate<DTYPE>
java.lang.Object
com.polytechnik.trading.PnLInPsiHstate<DTYPE>
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Nested Class Summary
Nested ClassesModifier and TypeClassDescriptionclass
Misc test.(package private) class
A class with |D(Ti)+c*i|psi>=lambda|psi> solution.(package private) class
(package private) class
A class with |D(Ti)|psi>=lamnda|i|psi> solution.(package private) static class
A class for unit test. -
Field Summary
FieldsModifier and TypeFieldDescriptionprivate final com.polytechnik.trading.ATestForBasisUnitaryTransforms
More tests.final com.polytechnik.trading.DaDv
final com.polytechnik.trading.DaDv
private static double
Not worth a function or constructor argument.final EVXData
final PnLInPsiHstate<DTYPE>.MiscTests
Misc tests.(package private) final DTYPE
"Regular", not scalp--moments.private final double
Used internally.final double
Actual prices (without an offset).private final double
Used internally.final PFuture
final double
final com.polytechnik.trading.BasisTransformPiTiPrediction
private static boolean
final com.polytechnik.trading.PsiMSelection
final double
Actual prices (without an offset).final double
Actual prices (without an offset).final IntervalSincePsiM
final IntervalSincePsiM
final IntervalSincePsiM
final IntervalSincePsiM
final IntervalSincePsiM
final IntervalSincePsiM
final IntervalSincePsiM
private static final double
final EVXData
final double
Actual prices (without an offset).final com.polytechnik.trading.TwoTopI
private final VolMatrix
final EVXData
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Constructor Summary
Constructors -
Method Summary
Modifier and TypeMethodDescription(package private) abstract OrthogonalPolynomialsBasisFunctionsCalculatable
<? extends BasisFunctionsCalculatable> Time-basis of the moments fromgetSMoments(int)
.(package private) abstract double[]
getEDPsi
(double[] psi) Time--variate |psi>, used for comparison with old results.(package private) abstract com.polytechnik.trading.K2Distance
A distance between two wavefunctions.(package private) abstract double[]
getPolynomialWIntegratedDt
(double[] polynomial) (package private) abstract double[]
getPositionMoments
(int n, double p_eq, double[] psiM) Convert postion change dS=(p-p_M)*I*psi^2(t)omega(t)dt to position S and obtain it's moments.(package private) abstract com.polytechnik.trading.SMomentsData
getSMoments
(int nmoms) Obtain regular moments.(package private) static void
matchPnLInPsiHstate
(PnLInPsiHstate<?> a, PnLInPsiHstate<?> b, double eps)
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Field Details
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odata
"Regular", not scalp--moments. The object has an internal state to recurrently speed up the calculations. -
M
public final OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M -
EPS_KLUDGY_WAY_TO_TURN_ON_THE_DEBUGGING
private static double EPS_KLUDGY_WAY_TO_TURN_ON_THE_DEBUGGINGNot worth a function or constructor argument. -
P_last
public final double P_lastActual prices (without an offset). -
pv_average
public final double pv_averageActual prices (without an offset). -
pt_average
public final double pt_averageActual prices (without an offset). -
Tv_average
public final double Tv_averageActual prices (without an offset). -
p_offset
private final double p_offsetUsed internally. -
p_last
private final double p_lastUsed internally. -
I
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VT
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TimVT
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pi_IH
public final double pi_IH -
twoI
public final com.polytechnik.trading.TwoTopI twoI -
PiTi
public final com.polytechnik.trading.BasisTransformPiTiPrediction PiTi -
SM
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SM_localized
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SMImVT_localized
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SMImVT_Istate
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SMVT
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SMTimVT_L
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SMTimVT_H
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PSIM
public final com.polytechnik.trading.PsiMSelection PSIM -
dadv
public final com.polytechnik.trading.DaDv dadv -
dadt
public final com.polytechnik.trading.DaDv dadt -
pFV
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voltlty
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MT
Misc tests. -
BP
private final com.polytechnik.trading.ATestForBasisUnitaryTransforms BPMore tests. -
t0dumpinhours
private static final double t0dumpinhours- See Also:
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PSI_WAS_DUMPED
private static boolean PSI_WAS_DUMPED
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Constructor Details
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PnLInPsiHstate
PnLInPsiHstate(int n, DTYPE odata) Constructor.- Parameters:
n
- Basis dimension.odata
- Regular moments internal state.
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Method Details
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getSMoments
abstract com.polytechnik.trading.SMomentsData getSMoments(int nmoms) Obtain regular moments. -
getABasis
abstract OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> getABasis()Time-basis of the moments fromgetSMoments(int)
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getEDPsi
abstract double[] getEDPsi(double[] psi) Time--variate |psi>, used for comparison with old results. -
getPolynomialWIntegratedDt
abstract double[] getPolynomialWIntegratedDt(double[] polynomial) -
getPositionMoments
abstract double[] getPositionMoments(int n, double p_eq, double[] psiM) Convert postion change dS=(p-p_M)*I*psi^2(t)omega(t)dt to position S and obtain it's moments. -
getK2Distance
abstract com.polytechnik.trading.K2Distance getK2Distance()A distance between two wavefunctions. Typically joint distibution is better than simple comparison <psi|x|psi>. -
matchPnLInPsiHstate
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