org.drip.quant.calculus

Class WengertJacobian

java.lang.Object

org.drip.quant.calculus.WengertJacobian

public class WengertJacobian
extends java.lang.Object

WengertJacobian contains the Jacobian of the given set of Wengert variables to the set of parameters. It exposes the following functionality: - Set/Retrieve the Wengert variables - Accumulate the Partials - Scale the partial entries - Merge the Jacobian with another - Retrieve the WengertJacobian elements - Display the contents of the WengertJacobian

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
WengertJacobian(int iNumWengerts, int iNumParameters) WengertJacobian constructor

Method Summary

Modifier and Type	Method and Description
boolean	accumulatePartialFirstDerivative(int iWengertIndex, int iParameterIndex, double dblDWengertDParameter) Accumulate {D(Wengert)}/{D(Parameter)}
boolean	cumulativeMerge(WengertJacobian wjOther) Accumulate and merge partial entries from the other CurveWengertJacobian
boolean	cumulativeMerge(WengertJacobian wjOther, double dblWeight) Accumulate and merge the weighted partial entries from the other CurveWengertJacobian
java.lang.String	displayString() Stringifies the contents of WengertJacobian
double	firstDerivative(int iWengertIndex, int iParameterIndex) Retrieve {D(Wengert)}/{D(Parameter)} for the Wengert and the parameter identified by their indices
int	numParameters() Retrieve the number of Parameters
int	numWengerts() Retrieve the number of Wengert Variables
boolean	scale(double dblScale) Scale the partial entries
boolean	setWengert(int iWengertIndex, double dblWengert) Set the Value for the Wengert variable
double	wengert(int iIndex) Get the Value for the Wengert Variable

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

WengertJacobian

public WengertJacobian(int iNumWengerts,
                       int iNumParameters)
                throws java.lang.Exception

WengertJacobian constructor

Parameters:

iNumWengerts - Number of Wengert variables

iNumParameters - Number of Parameters

Throws:

java.lang.Exception - Thrown if the inputs are invalid

Method Detail

numWengerts

public int numWengerts()

Retrieve the number of Wengert Variables

Returns:

Number of Wengert Variables

numParameters

public int numParameters()

Retrieve the number of Parameters

Returns:

Number of Parameters

setWengert

public boolean setWengert(int iWengertIndex,
                          double dblWengert)

Set the Value for the Wengert variable

Parameters:

iWengertIndex - Wengert Variable Index

dblWengert - The Value for the Wengert Variable

Returns:

TRUE - Successfully set

wengert

public double wengert(int iIndex)
               throws java.lang.Exception

Get the Value for the Wengert Variable

Parameters:

iIndex - Wengert Variable Index

Returns:

The Value for the Wengert variable

Throws:

java.lang.Exception - Thrown if the inputs are invalid

accumulatePartialFirstDerivative

public boolean accumulatePartialFirstDerivative(int iWengertIndex,
                                                int iParameterIndex,
                                                double dblDWengertDParameter)

Accumulate {D(Wengert)}/{D(Parameter)}

Parameters:

iWengertIndex - Wengert Variable Index

iParameterIndex - Parameter Index

dblDWengertDParameter - The incremental {D(Wengert)}/{D(Parameter)}

Returns:

TRUE - Successfully set

firstDerivative

public double firstDerivative(int iWengertIndex,
                              int iParameterIndex)

Retrieve {D(Wengert)}/{D(Parameter)} for the Wengert and the parameter identified by their indices

Parameters:

iWengertIndex - Wengert Variable Index

iParameterIndex - Parameter Index

Returns:

{D(Wengert)}/{D(Parameter)}

cumulativeMerge

public boolean cumulativeMerge(WengertJacobian wjOther)

Accumulate and merge partial entries from the other CurveWengertJacobian

Parameters:

wjOther - CurveWengertJacobian to be accumulated and merged

Returns:

TRUE - Successfully accumulated and merged

cumulativeMerge

public boolean cumulativeMerge(WengertJacobian wjOther,
                               double dblWeight)

Accumulate and merge the weighted partial entries from the other CurveWengertJacobian

Parameters:

wjOther - CurveWengertJacobian to be accumulated and merged

dblWeight - The Weight

Returns:

TRUE - Successfully accumulated and merged

scale

public boolean scale(double dblScale)

Scale the partial entries

Parameters:

dblScale - Factor by which the partials are to be scaled by

Returns:

TRUE - Scaling down successful

displayString

public java.lang.String displayString()

Stringifies the contents of WengertJacobian

Returns:

Stringified WengertJacobian