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Special Relativity in Financial Modeling 1.0.0
Lorentz transforms, spacetime classification, and geodesic price paths for quantitative finance
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RK4 geodesic integrator for an (N+1)-dimensional Lorentzian manifold. More...
#include "christoffel_n.hpp"#include "n_asset_manifold.hpp"#include <optional>#include <vector>#include <Eigen/Dense>Go to the source code of this file.
Classes | |
| struct | srfm::tensor::GeodesicState |
| Position and 4-velocity state on the manifold. More... | |
| class | srfm::tensor::GeodesicSolverN |
| RK4 integrator for geodesics on an NAssetManifold. More... | |
Namespaces | |
| namespace | srfm |
| namespace | srfm::tensor |
RK4 geodesic integrator for an (N+1)-dimensional Lorentzian manifold.
Module: include/srfm/tensor/ Stage: 4 — N-Asset Manifold
Numerically integrate the geodesic equation
d²x^λ/dτ² = -Γ^λ_μν (dx^μ/dτ)(dx^ν/dτ)
as the first-order system
dx^λ/dτ = u^λ du^λ/dτ = -Σ_{μν} Γ^λ_μν u^μ u^ν
using a classic 4th-order Runge–Kutta scheme.
Definition in file geodesic_n.hpp.