ajdmom.ito_mom.int_e_poly

ajdmom.ito_mom.int_e_poly(c, tp, m, poly)[source]

Integral of \(c \times tp \times \int_{(n-1)h}^t e^{mks} poly ds\)

Parameters:

  • c (int) – coefficient to multiply with

  • tp (int) –

    type of the multiplication,

    tp

    multiply with

    1

    \(e^{k(n-1)h}v_{n-1}\)

    2

    \(-e^{k(n-1)h}\theta\)

    3

    \(\theta\)

    4

    \(\sigma_v\)

  • m (int) – power of \(e^{ks}\) in the integrand

  • poly (Poly) – a Poly object, such as \(\mathbb{E}[I\!E_t^{n_3} I_t^{n_4} I_t^{*n_5}]\), with attribute keyfor = (‘e^{k(n-1)h}’, ‘e^{k[t-(n-1)h]}’, ‘[t-(n-1)h]’, ‘v_{n-1}’,’k^{-}’, ‘theta’, ‘sigma_v’).

Returns:

poly with the same keyfor as that in the input poly

Return type:

Poly