org.drip.quant.fourier

Class PhaseAdjuster

java.lang.Object

org.drip.quant.fourier.PhaseAdjuster

public class PhaseAdjuster
extends java.lang.Object

PhaseAdjuster implements the functionality specifically meant for enhancing stability of the Fourier numerical Routines.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	MULTI_VALUE_BRANCH_PHASE_TRACKER_NONE No Multi-Valued Principal Branch Tracking
static int	MULTI_VALUE_BRANCH_PHASE_TRACKER_ROTATION_COUNT Multi-Valued Logarithm Principal Branch Tracking Using Rotating Counting
static int	MULTI_VALUE_BRANCH_POWER_PHASE_TRACKER_KAHL_JACKEL Multi-Valued Logarithm PLUS Power Principal Branch Tracking Using the Kahl-Jackel Algorithm

Constructor Summary

Constructors

Constructor and Description
PhaseAdjuster()

Method Summary

Modifier and Type	Method and Description
static ComplexNumber	PowerLogPhaseTracker(ComplexNumber cnGNumerator, ComplexNumber cnGDenominator, int iN, int iM) Handling the Branch Switching of the Complex Power Function according Kahl-Jackel algorithm: - http://www.pjaeckel.webspace.virginmedia.com/NotSoComplexLogarithmsInTheHestonModel.pdf

Methods inherited from class java.lang.Object

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

Field Detail

MULTI_VALUE_BRANCH_PHASE_TRACKER_NONE

public static final int MULTI_VALUE_BRANCH_PHASE_TRACKER_NONE

No Multi-Valued Principal Branch Tracking

See Also:

Constant Field Values

MULTI_VALUE_BRANCH_PHASE_TRACKER_ROTATION_COUNT

public static final int MULTI_VALUE_BRANCH_PHASE_TRACKER_ROTATION_COUNT

Multi-Valued Logarithm Principal Branch Tracking Using Rotating Counting

See Also:

Constant Field Values

MULTI_VALUE_BRANCH_POWER_PHASE_TRACKER_KAHL_JACKEL

public static final int MULTI_VALUE_BRANCH_POWER_PHASE_TRACKER_KAHL_JACKEL

Multi-Valued Logarithm PLUS Power Principal Branch Tracking Using the Kahl-Jackel Algorithm

See Also:

Constant Field Values

Constructor Detail

PhaseAdjuster

public PhaseAdjuster()

Method Detail

PowerLogPhaseTracker

public static final ComplexNumber PowerLogPhaseTracker(ComplexNumber cnGNumerator,
                                                       ComplexNumber cnGDenominator,
                                                       int iN,
                                                       int iM)

Handling the Branch Switching of the Complex Power Function according Kahl-Jackel algorithm: - http://www.pjaeckel.webspace.virginmedia.com/NotSoComplexLogarithmsInTheHestonModel.pdf

Parameters:

cnGNumerator - The Log G Numerator

cnGDenominator - The Log G Denominator

iN - Number of Numerator Counted rotations

iM - Number of Numerator Counted rotations

Returns:

The Branch Switching Log Adjustment