Research Article
Polynomial Chaos Expansion Approach to Interest Rate Models
Table 21
Evaluation of first six orthonormal Hermite polynomials on the vector
of
equally spaced points from
to
.
| | | | | | | |
| −2.00000 | 1.00000 | −2.82843 | 4.94975 | 4.94975 | 3.87836 | 0.25820 | −1.89744 | 1.00000 | −2.68338 | 4.38443 | 4.38443 | 2.37691 | 1.26342 | −1.79487 | 1.00000 | −2.53833 | 3.84887 | 3.84887 | 1.19518 | 1.83459 | −1.69231 | 1.00000 | −2.39328 | 3.34307 | 3.34307 | 0.29413 | 2.06903 | −1.58974 | 1.00000 | −2.24824 | 2.86701 | 2.86701 | −0.36308 | 2.05174 | −1.48718 | 1.00000 | −2.10319 | 2.42071 | 2.42071 | −0.81117 | 1.85611 | −1.38462 | 1.00000 | −1.95814 | 2.00417 | 2.00417 | −1.08266 | 1.54464 | −1.28205 | 1.00000 | −1.81309 | 1.61737 | 1.61737 | −1.20789 | 1.16962 | −1.17949 | 1.00000 | −1.66805 | 1.26033 | 1.26033 | −1.21508 | 0.77387 | −1.07692 | 1.00000 | −1.52300 | 0.93305 | 0.93305 | −1.13023 | 0.39138 | −0.97436 | 1.00000 | −1.37795 | 0.63551 | 0.63551 | −0.97719 | 0.04808 | −0.87179 | 1.00000 | −1.23290 | 0.36773 | 0.36773 | −0.77766 | −0.23748 | −0.76923 | 1.00000 | −1.08786 | 0.12971 | 0.12971 | −0.55115 | −0.45346 | −0.66667 | 1.00000 | −0.94281 | −0.07857 | −0.07857 | −0.31501 | −0.59396 | −0.56410 | 1.00000 | −0.79776 | −0.25709 | −0.25709 | −0.08441 | −0.65840 | −0.46154 | 1.00000 | −0.65271 | −0.40585 | −0.40585 | 0.12764 | −0.65073 | −0.35897 | 1.00000 | −0.50767 | −0.52487 | −0.52487 | 0.31028 | −0.57879 | −0.25641 | 1.00000 | −0.36262 | −0.61413 | −0.61413 | 0.45486 | −0.45358 | −0.15385 | 1.00000 | −0.21757 | −0.67363 | −0.67363 | 0.55485 | −0.28856 | −0.05128 | 1.00000 | −0.07252 | −0.70339 | −0.70339 | 0.60594 | −0.09896 | 0.05128 | 1.00000 | 0.07252 | −0.70339 | −0.70339 | 0.60594 | 0.09896 | 0.15385 | 1.00000 | 0.21757 | −0.67363 | −0.67363 | 0.55485 | 0.28856 | 0.25641 | 1.00000 | 0.36262 | −0.61413 | −0.61413 | 0.45486 | 0.45358 | 0.35897 | 1.00000 | 0.50767 | −0.52487 | −0.52487 | 0.31028 | 0.57879 | 0.46154 | 1.00000 | 0.65271 | −0.40585 | −0.40585 | 0.12764 | 0.65073 | 0.56410 | 1.00000 | 0.79776 | −0.25709 | −0.25709 | −0.08441 | 0.65840 | 0.66667 | 1.00000 | 0.94281 | −0.07857 | −0.07857 | −0.31501 | 0.59396 | 0.76923 | 1.00000 | 1.08786 | 0.12971 | 0.12971 | −0.55115 | 0.45346 | 0.87179 | 1.00000 | 1.23290 | 0.36773 | 0.36773 | −0.77766 | 0.23748 | 0.97436 | 1.00000 | 1.37795 | 0.63551 | 0.63551 | −0.97719 | −0.04808 | 1.07692 | 1.00000 | 1.52300 | 0.93305 | 0.93305 | −1.13023 | −0.39138 | 1.17949 | 1.00000 | 1.66805 | 1.26033 | 1.26033 | −1.21508 | −0.77387 | 1.28205 | 1.00000 | 1.81309 | 1.61737 | 1.61737 | −1.20789 | −1.16962 | 1.38462 | 1.00000 | 1.95814 | 2.00417 | 2.00417 | −1.08266 | −1.54464 | 1.48718 | 1.00000 | 2.10319 | 2.42071 | 2.42071 | −0.81117 | −1.85611 | 1.58974 | 1.00000 | 2.24824 | 2.86701 | 2.86701 | −0.36308 | −2.05174 | 1.69231 | 1.00000 | 2.39328 | 3.34307 | 3.34307 | 0.29413 | −2.06903 | 1.79487 | 1.00000 | 2.53833 | 3.84887 | 3.84887 | 1.19518 | −1.83459 | 1.89744 | 1.00000 | 2.68338 | 4.38443 | 4.38443 | 2.37691 | −1.26342 | 2.00000 | 1.00000 | 2.82843 | 4.94975 | 4.94975 | 3.87836 | −0.25820 |
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