Examples of ComplexNumber

com.barrybecker4.common.math.ComplexNumber
A Complex number is comprised of real and imaginary parts of the form a + bi. Immutable @author Barry Becker
com.opengamma.analytics.math.number.ComplexNumber
Class defining a complex number. Note that it extends {@link java.lang.Number}.
org.encog.mathutil.ComplexNumber
ath.ksu.edu/~bennett/jomacg/c.html
stallone.complex.ComplexNumber
ComplexScalar class operating on double primitives. Warning: Can be very * inefficient and/or memory consuming, if improperly used. Especially try to avoid to put ComplexScalar into arrays and collections, due to the memory overhead, when creating large collection. @author Martin Senne

Examples of com.opengamma.analytics.math.number.ComplexNumber

      return res;
    }


    //non-stochastic vol limit
    if (_omega == 0.0 || mod(multiply(_omega / _kappa, u, add(I, u))) < 1e-6) {
      final ComplexNumber z = multiply(u, add(I, u));


      //      //TODO calculate the omega -> 0 sensitivity without resorting to this hack
      //      HestonCharacteristicExponent ceTemp = this.withOmega(1.1e-6 * _kappa / mod(z));
      //      ComplexNumber[] temp = ceTemp.getCharacteristicExponentAdjoint(u, t);


      final double var;
      if (_kappa * t < 1e-6) {
        var = _vol0 * t + (_vol0 - _theta) * _kappa * t * t / 2;
        res[1] = multiply(-0.5 * (_vol0 - _theta) * t * t / 2, z);
        res[2] = multiply(_kappa * t * t / 4, z);
        res[3] = multiply(-0.5 * (t + _kappa * t * t / 2), z);
        res[4] = ZERO; //TODO this is wrong
        res[5] = ZERO;
      } else {
        final double expKappaT = Math.exp(-_kappa * t);
        var = _theta * t + (_vol0 - _theta) * (1 - expKappaT) / _kappa;
        res[1] = multiply(-0.5 * (_vol0 - _theta) * (expKappaT * (1 + t * _kappa) - 1) / _kappa / _kappa, z);
        res[2] = multiply(-0.5 * (t - (1 - expKappaT) / _kappa), z);
        res[3] = multiply(-0.5 * (1 - expKappaT) / _kappa, z);
        res[4] = ZERO; //TODO this is wrong
        res[5] = ZERO;
      }
      res[0] = multiply(-var / 2, z);
      return res;
    }


    final double oneOverOmega2 = 1 / _omega / _omega;
    final double w0 = _kappa * _theta * oneOverOmega2;


    final ComplexNumber w1 = multiply(u, new ComplexNumber(0, _rho * _omega)); //w1
    final ComplexNumber w2 = subtract(w1, _kappa); //w2
    final ComplexNumber w3 = square(w2); //w3
    final ComplexNumber w4 = multiply(u, new ComplexNumber(0, _omega * _omega));
    final ComplexNumber w5 = square(multiply(u, _omega));
    final ComplexNumber w6 = add(w3, w4, w5);
    final ComplexNumber w7 = sqrt(w6);


    final ComplexNumber w8 = subtract(w7, w2);
    final ComplexNumber w9 = multiply(-1.0, add(w7, w2));
    final ComplexNumber w10 = divide(w8, w9);


    final ComplexNumber w11 = multiply(t, w9);
    final ComplexNumber w12 = exp(multiply(w7, -t));
    final ComplexNumber w13 = divide(subtract(w10, w12), subtract(w10, 1));


    final ComplexNumber w14 = log(w13);
    final ComplexNumber w15 = divide(subtract(1, w12), subtract(w10, w12));


    final ComplexNumber w16 = multiply(w0, subtract(w11, multiply(2, w14)));
    final ComplexNumber w17 = multiply(oneOverOmega2, w8, w15);
    final ComplexNumber w18 = add(w16, multiply(_vol0, w17));


    res[0] = w18; //value of CE


    //backwards sweep
    final ComplexNumber wBar16 = new ComplexNumber(1.0);
    final ComplexNumber wBar17 = new ComplexNumber(_vol0);
    final ComplexNumber wBar15 = multiply(oneOverOmega2, wBar17, w8);
    final ComplexNumber wBar14 = multiply(-2 * w0, wBar16);
    final ComplexNumber wBar13 = divide(wBar14, w13);
    final ComplexNumber wBar12a = multiply(wBar15, divide(subtract(1, w10), square(subtract(w10, w12))));
    final ComplexNumber wBar12b = multiply(wBar13, divide(1.0, subtract(1.0, w10)));
    final ComplexNumber wBar12 = add(wBar12a, wBar12b);
    final ComplexNumber wBar11 = multiply(w0, wBar16);
    final ComplexNumber wBar10a = multiply(wBar15, divide(w15, subtract(w12, w10)));
    final ComplexNumber wBar10b = multiply(wBar13, divide(subtract(w12, 1.0), square(subtract(w10, 1.0))));
    final ComplexNumber wBar10 = add(wBar10a, wBar10b);
    final ComplexNumber wBar9a = multiply(t, wBar11);
    final ComplexNumber wBar9b = multiply(-1.0, wBar10, divide(w10, w9));
    final ComplexNumber wBar9 = add(wBar9a, wBar9b);
    final ComplexNumber wBar8a = multiply(oneOverOmega2, wBar17, w15);
    final ComplexNumber wBar8b = divide(wBar10, w9);
    final ComplexNumber wBar8 = add(wBar8a, wBar8b);
    final ComplexNumber wBar7 = subtract(add(multiply(wBar12, multiply(-t, w12)), wBar8), wBar9);
    final ComplexNumber wBar6 = multiply(wBar7, divide(0.5, w7));
    final ComplexNumber wBar5 = wBar6;
    final ComplexNumber wBar4 = wBar6;
    final ComplexNumber wBar3 = wBar6;
    final ComplexNumber wBar2 = subtract(multiply(wBar3, multiply(2.0, w2)), add(wBar8, wBar9));
    final ComplexNumber wBar1 = wBar2;
    final ComplexNumber wBar0 = multiply(wBar16, subtract(w11, multiply(2, w14)));


    res[1] = subtract(multiply(wBar0, _theta / _omega / _omega), wBar2); //kappaBar
    res[2] = multiply(wBar0, _kappa / _omega / _omega); //thetaBar
    res[3] = w17; //vol0


    final ComplexNumber omegaBar1 = multiply(-2 / _omega, w17, wBar17);
    final ComplexNumber omegaBar2 = multiply(-2.0 * w0 / _omega, wBar0);
    final ComplexNumber omegaBar3 = multiply(1 / _omega, w1, wBar1);
    final ComplexNumber omegaBar4 = multiply(2 / _omega, w4, wBar4);
    final ComplexNumber omegaBar5 = multiply(2 / _omega, w5, wBar5);
    res[4] = add(omegaBar1, omegaBar2, omegaBar3, omegaBar4, omegaBar5);


    res[5] = multiply(_omega, u, I, wBar1);


    return res;

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Examples of com.opengamma.analytics.math.number.ComplexNumber


    return res;
  }


  private ComplexNumber getC(final ComplexNumber u, final double t) {
    final ComplexNumber c1 = multiply(u, new ComplexNumber(0, _rho * _omega));
    final ComplexNumber c = c(u);
    final ComplexNumber d = d(u);
    final ComplexNumber c3 = multiply(t, subtract(_kappa, add(d, c1)));
    final ComplexNumber e = exp(multiply(d, -t));
    ComplexNumber c4 = divide(subtract(c, e), subtract(c, 1));
    c4 = log(c4);
    return multiply(_kappa * _theta / _omega / _omega, subtract(c3, multiply(2, c4)));
  }

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Examples of com.opengamma.analytics.math.number.ComplexNumber

    c4 = log(c4);
    return multiply(_kappa * _theta / _omega / _omega, subtract(c3, multiply(2, c4)));
  }


  private ComplexNumber getD(final ComplexNumber u, final double t) {
    final ComplexNumber c1 = multiply(u, new ComplexNumber(0, _rho * _omega));
    final ComplexNumber c = c(u);
    final ComplexNumber d = d(u);
    final ComplexNumber c3 = add(_kappa, subtract(d, c1));
    final ComplexNumber e = exp(multiply(d, -t));
    final ComplexNumber c4 = divide(subtract(1, e), subtract(c, e));
    return divide(multiply(c3, c4), _omega * _omega);
  }

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Examples of com.opengamma.analytics.math.number.ComplexNumber

    final ComplexNumber c4 = divide(subtract(1, e), subtract(c, e));
    return divide(multiply(c3, c4), _omega * _omega);
  }


  private ComplexNumber c(final ComplexNumber u) {
    final ComplexNumber c1 = multiply(u, new ComplexNumber(0, _rho * _omega));
    final ComplexNumber c2 = d(u);
    final ComplexNumber num = add(_kappa, subtract(c2, c1));
    final ComplexNumber denom = subtract(_kappa, add(c2, c1));
    return divide(num, denom);
  }

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Examples of com.opengamma.analytics.math.number.ComplexNumber

    final ComplexNumber denom = subtract(_kappa, add(c2, c1));
    return divide(num, denom);
  }


  private ComplexNumber d(final ComplexNumber u) {
    ComplexNumber c1 = subtract(multiply(u, new ComplexNumber(0, _rho * _omega)), _kappa);
    c1 = multiply(c1, c1);
    final ComplexNumber c2 = multiply(u, new ComplexNumber(0, _omega * _omega));
    ComplexNumber c3 = multiply(u, _omega);
    c3 = multiply(c3, c3);
    final ComplexNumber c4 = add(add(c1, c2), c3);
    return multiply(1, sqrt(c4));
  }

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Examples of com.opengamma.analytics.math.number.ComplexNumber

    final Function1D<ComplexNumber, ComplexNumber> function = _ce.getFunction(t);
    return new Function1D<ComplexNumber, ComplexNumber>() {


      @Override
      public ComplexNumber evaluate(final ComplexNumber z) {
        final ComplexNumber num = exp(function.evaluate(z));
        final ComplexNumber denom = multiply(z, add(z, ComplexNumber.I));
        final ComplexNumber res = multiply(-1.0, divide(num, denom));
        return res;
      }
    };
  }

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Examples of com.opengamma.analytics.math.number.ComplexNumber

    final Function1D<ComplexNumber, ComplexNumber> timeChangeFunction = _timeChange.getFunction(t);


    return new Function1D<ComplexNumber, ComplexNumber>() {
      @Override
      public ComplexNumber evaluate(final ComplexNumber u) {
        final ComplexNumber z = ComplexMathUtils.multiply(MINUS_I, baseFunction.evaluate(u));
        return timeChangeFunction.evaluate(z);
      }
    };
  }

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Examples of org.encog.mathutil.ComplexNumber

    this(d.size());
    
    if( d instanceof MLComplexData ) {
      MLComplexData c = (MLComplexData)d;
      for (int i = 0; i < d.size(); i++) {
        this.data[i] = new ComplexNumber(c.getComplexData(i));
      }      
    } else {
      for (int i = 0; i < d.size(); i++) {
        this.data[i] = new ComplexNumber(d.getData(i), 0);
      }  
    }
    
    
  }

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Examples of org.encog.mathutil.ComplexNumber

  /**
   * {@inheritDoc}
   */
  @Override
  public final void add(final int index, final double value) {
    this.data[index].plus(new ComplexNumber(value, 0));
  }

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Examples of org.encog.mathutil.ComplexNumber

   * {@inheritDoc}
   */
  @Override
  public final void clear() {
    for (int i = 0; i < this.data.length; i++) {
      this.data[i] = new ComplexNumber(0, 0);
    }
  }

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