Package org.drip.numerical.differentiation

Class WengertJacobian

java.lang.Object
org.drip.numerical.differentiation.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 Description
    WengertJacobian​(int iNumWengerts, int iNumParameters)
    WengertJacobian constructor

  • Method Summary

    Modifier and Type Method 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 Details

    • 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 Details

    • 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