function [ pert_coeffs,power_coeffs ] = GetInitial( order,derivs,choose,nyss,nxss,n_x,n_x1 ) %This function transforms a pertrubation solution to an initial guess for Taylor %Projection. Two types of guess are available: pert_coeffs includes %correction for volatility. power_coeffs does not include correction for %volatility. % % © Copyright, Oren Levintal, June 13, 2016. if order==1 [GH0,GH1]=shiftpoly([nxss;1],[nxss;0],1:n_x,[nyss;nxss(1:n_x1,:)],[derivs.gx(choose,:);derivs.hx(1:n_x1,:)]); pert_coeffs=[GH0,GH1]; if nargout==2 [GH0,GH1]=shiftpoly([nxss;0],[nxss;0],1:n_x,[nyss;nxss(1:n_x1,:)],[derivs.gx(choose,:);derivs.hx(1:n_x1,:)]); power_coeffs=[GH0,GH1]; end elseif order==2 [GH0,GH1,GH2]=shiftpoly([nxss;1],[nxss;0],1:n_x,[nyss;nxss(1:n_x1,:)],[derivs.gx(choose,:);derivs.hx(1:n_x1,:)],... [derivs.gxx(choose,:);derivs.hxx(1:n_x1,:)]/2); [U2,~]=create_UW(n_x,2); pert_coeffs=[GH0,GH1,GH2*U2]; if nargout==2 [GH0,GH1,GH2]=shiftpoly([nxss;0],[nxss;0],1:n_x,[nyss;nxss(1:n_x1,:)],[derivs.gx(choose,:);derivs.hx(1:n_x1,:)],... [derivs.gxx(choose,:);derivs.hxx(1:n_x1,:)]/2); power_coeffs=[GH0,GH1,GH2*U2]; end elseif order==3 [GH0,GH1,GH2,GH3]=shiftpoly([nxss;1],[nxss;0],1:n_x,[nyss;nxss(1:n_x1,:)],[derivs.gx(choose,:);derivs.hx(1:n_x1,:)],... [derivs.gxx(choose,:);derivs.hxx(1:n_x1,:)]/2,[derivs.gxxx(choose,:);derivs.hxxx(1:n_x1,:)]/factorial(3)); [U2,~]=create_UW(n_x,2); [U3,~]=create_UW(n_x,3); pert_coeffs=[GH0,GH1,GH2*U2,GH3*U3]; if nargout==2 [GH0,GH1,GH2,GH3]=shiftpoly([nxss;0],[nxss;0],1:n_x,[nyss;nxss(1:n_x1,:)],[derivs.gx(choose,:);derivs.hx(1:n_x1,:)],... [derivs.gxx(choose,:);derivs.hxx(1:n_x1,:)]/2,[derivs.gxxx(choose,:);derivs.hxxx(1:n_x1,:)]/factorial(3)); power_coeffs=[GH0,GH1,GH2*U2,GH3*U3]; end elseif order==4 [GH0,GH1,GH2,GH3,GH4]=shiftpoly([nxss;1],[nxss;0],1:n_x,[nyss;nxss(1:n_x1,:)],[derivs.gx(choose,:);derivs.hx(1:n_x1,:)],... [derivs.gxx(choose,:);derivs.hxx(1:n_x1,:)]/2,[derivs.gxxx(choose,:);derivs.hxxx(1:n_x1,:)]/factorial(3),... [derivs.gxxxx(choose,:);derivs.hxxxx(1:n_x1,:)]/factorial(4)); [U2,~]=create_UW(n_x,2); [U3,~]=create_UW(n_x,3); [U4,~]=create_UW(n_x,4); pert_coeffs=[GH0,GH1,GH2*U2,GH3*U3,GH4*U4]; if nargout==2 [GH0,GH1,GH2,GH3,GH4]=shiftpoly([nxss;0],[nxss;0],1:n_x,[nyss;nxss(1:n_x1,:)],[derivs.gx(choose,:);derivs.hx(1:n_x1,:)],... [derivs.gxx(choose,:);derivs.hxx(1:n_x1,:)]/2,[derivs.gxxx(choose,:);derivs.hxxx(1:n_x1,:)]/factorial(3),... [derivs.gxxxx(choose,:);derivs.hxxxx(1:n_x1,:)]/factorial(4)); power_coeffs=[GH0,GH1,GH2*U2,GH3*U3,GH4*U4]; end elseif order==5 [GH0,GH1,GH2,GH3,GH4,GH5]=shiftpoly([nxss;1],[nxss;0],1:n_x,[nyss;nxss(1:n_x1,:)],[derivs.gx(choose,:);derivs.hx(1:n_x1,:)],... [derivs.gxx(choose,:);derivs.hxx(1:n_x1,:)]/2,[derivs.gxxx(choose,:);derivs.hxxx(1:n_x1,:)]/factorial(3),... [derivs.gxxxx(choose,:);derivs.hxxxx(1:n_x1,:)]/factorial(4),[derivs.gxxxxx(choose,:);derivs.hxxxxx(1:n_x1,:)]/factorial(5)); [U2,~]=create_UW(n_x,2); [U3,~]=create_UW(n_x,3); [U4,~]=create_UW(n_x,4); [U5,~]=create_UW(n_x,5); pert_coeffs=[GH0,GH1,GH2*U2,GH3*U3,GH4*U4,GH5*U5]; if nargout==2 [GH0,GH1,GH2,GH3,GH4,GH5]=shiftpoly([nxss;0],[nxss;0],1:n_x,[nyss;nxss(1:n_x1,:)],[derivs.gx(choose,:);derivs.hx(1:n_x1,:)],... [derivs.gxx(choose,:);derivs.hxx(1:n_x1,:)]/2,[derivs.gxxx(choose,:);derivs.hxxx(1:n_x1,:)]/factorial(3),... [derivs.gxxxx(choose,:);derivs.hxxxx(1:n_x1,:)]/factorial(4),[derivs.gxxxxx(choose,:);derivs.hxxxxx(1:n_x1,:)]/factorial(5)); power_coeffs=[GH0,GH1,GH2*U2,GH3*U3,GH4*U4,GH5*U5]; end end pert_coeffs=pert_coeffs(:); if nargout==2 power_coeffs=power_coeffs(:); end end