Package org.jquantlib.math.matrixutilities

Examples of org.jquantlib.math.matrixutilities.Matrix.mul()

54
55
56
57
58
59
60
61
62
63
64
        return diffusion(t, new Array());
    }

    public Matrix covariance(/* @Time */final double t, final Array x) {
        final Matrix sigma = this.diffusion(t, x);
        return sigma.mul(sigma.transpose());
    }

    public Matrix covariance(/* @Time */final double t) {
        return diffusion(t, new Array());
    }
View Full Code Here
121
122
123
124
125
126
127
128
129
130
131
    }

    @Override
    public Matrix covariance(final /*@Time*/ double t0, final Array x0, final /*@Time*/ double dt)  {
        final Matrix tmp = stdDeviation(t0, x0, dt);
        return tmp.mul(tmp.transpose());
    }

    @Override
    public Array evolve(final /*@Time*/ double t0, final Array x0, final /*@Time*/double dt, final Array dw)  {

View Full Code Here
54
55
56
57
58
59
60
61
62
63
64
        return diffusion(t, new Array(0)); //ZH:QL097 using Null<Array>
    }

    public Matrix covariance(/* @Time */final double t, final Array x) {
        final Matrix sigma = this.diffusion(t, x);
        return sigma.mul(sigma.transpose());
    }

    public Matrix covariance(/* @Time */final double t) {
        return diffusion(t, new Array(0)); //ZH:QL097 using Null<Array> which is new Array(), see Null.hpp
    }
View Full Code Here
94
95
96
97
98
99
100
101
102
103
104
    @Override
    public Matrix covarianceDiscretization(
                final StochasticProcess sp,
                /* @Time */final double t0, /* @Real */ final Array x0, /* @Time */final double dt) {
        final Matrix sigma = sp.diffusion(t0, x0);
        return sigma.mul(sigma.transpose()).mulAssign(dt);
    }


    //
    // Implements Discretization1D
View Full Code Here
633
634
635
636
637
638
639
640
641
642
643
                { 1.0, 2.0, 3.0, 4.0 },
        }, flagsA);

        final Array aD = new Array(new double[] { 1.0, 1.0, 1.0, 1.0 }, flagsB);

        final Array a = mA.mul(aD);
        if (a.size() != mA.rows()) {
            fail("'mul' failed");
        }

        final int offset = a.flags().contains(Address.Flags.FORTRAN) ? 1 : 0;
View Full Code Here
116
117
118
119
120
121
122
123
124
125
126
    }

    @Override
    public Matrix covariance(final /*@Time*/ double t0, final Array x0, final /*@Time*/ double dt)  {
        final Matrix tmp = stdDeviation(t0, x0, dt);
        return tmp.mul(tmp.transpose());
    }

    @Override
    public Array evolve(final /*@Time*/ double t0, final Array x0, final /*@Time*/double dt, final Array dw)  {

View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.