Examples of constRangeCol()

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

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        final Array f = new Array(size_);
        final Matrix covariance = lfmParam_.covariance(t, x);
        final int m = 0;//NextA
        for (int k = m; k < size_; ++k) {
            m1.set(k, accrualPeriod_.get(k) * x.get(k) / (1 + accrualPeriod_.get(k) * x.get(k)));
            final double value = m1.innerProduct(covariance.constRangeCol(k), m, k+1-m) - 0.5 * covariance.get(k, k);
            f.set(k, value);
        }
        return f;
    }

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

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        // TODO: review iterators
        for (int k=m; k<size_; ++k) {
            final double y = accrualPeriod_.get(k)*x0.get(k);
            m1.set(k,y/(1+y));

            final double d = (m1.innerProduct(covariance.constRangeCol(k), m, k+1-m)-0.5*covariance.get(k, k)) * dt;
            final double r = diff.rangeRow(k).innerProduct(dw)*sdt;
            final double x = y*Math.exp(d + r);
            m2.set(k, x/(1+x));

            final double ip = m2.innerProduct(covariance.constRangeCol(k), m, k+1-m);
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Examples of org.jquantlib.math.matrixutilities.Matrix.constRangeCol()

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            final double d = (m1.innerProduct(covariance.constRangeCol(k), m, k+1-m)-0.5*covariance.get(k, k)) * dt;
            final double r = diff.rangeRow(k).innerProduct(dw)*sdt;
            final double x = y*Math.exp(d + r);
            m2.set(k, x/(1+x));

            final double ip = m2.innerProduct(covariance.constRangeCol(k), m, k+1-m);
            final double value = x0.get(k) * Math.exp(0.5*(d+ip-0.5*covariance.get(k,k))*dt) + r;
            f.set(k, value);
        }

        return f;
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Examples of org.jquantlib.math.matrixutilities.Matrix.constRangeCol()

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        final Array f = new Array(size_);
        final Matrix covariance = lfmParam_.covariance(t, x);
        final int m = 0;//NextA
        for (int k = m; k < size_; ++k) {
            m1.set(k, accrualPeriod_.get(k) * x.get(k) / (1 + accrualPeriod_.get(k) * x.get(k)));
            final double value = m1.innerProduct(covariance.constRangeCol(k), m, k+1-m) - 0.5 * covariance.get(k, k);
            f.set(k, value);
        }
        return f;
    }

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

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        // TODO: review iterators
        for (int k=m; k<size_; ++k) {
            final double y = accrualPeriod_.get(k)*x0.get(k);
            m1.set(k,y/(1+y));

            final double d = (m1.innerProduct(covariance.constRangeCol(k), m, k+1-m)-0.5*covariance.get(k, k)) * dt;
            final double r = diff.rangeRow(k).innerProduct(dw)*sdt;
            final double x = y*Math.exp(d + r);
            m2.set(k, x/(1+x));

            final double ip = m2.innerProduct(covariance.constRangeCol(k), m, k+1-m);
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Examples of org.jquantlib.math.matrixutilities.Matrix.constRangeCol()

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            final double d = (m1.innerProduct(covariance.constRangeCol(k), m, k+1-m)-0.5*covariance.get(k, k)) * dt;
            final double r = diff.rangeRow(k).innerProduct(dw)*sdt;
            final double x = y*Math.exp(d + r);
            m2.set(k, x/(1+x));

            final double ip = m2.innerProduct(covariance.constRangeCol(k), m, k+1-m);
            final double value = x0.get(k) * Math.exp(0.5*(d+ip-0.5*covariance.get(k,k))*dt) + r;
            f.set(k, value);
        }

        return f;
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