On page 12 of the following document:http://www.finmod.co.za/Hagan_West_curves_AMF.pdf
It shows a banded matrix it also says that the first line sets c = 0 and the last line is
I've looked up what I can on banded matrices and I understand how such matrices can be expressed in a more compact reduced form. But I am still not clear how the matrices shown on page 12 should be multiplied out to give the results stated above?
It can't be straightforward matrix multiplication as the number of columns in matrix A are not equal to the number of rows in x?
straightforward matrix multiplication, as long as you remember what actually your more compact form represents. Remember
denotes the "wasted" space, and you read each column of the compact form as (sub/./super) diagonal (according to where and how many
appears in the column) of a banded matrix. Convert it back to banded matrix and multiply.