1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: ConvergenceStatistics Class Template Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_convergence_statistics.html">ConvergenceStatistics</a></div>
<h1>ConvergenceStatistics Class Template Reference</h1><!-- doxytag: class="QuantLib::ConvergenceStatistics" --><!-- doxytag: inherits="QuantLib::T" --><code>#include <ql/math/statistics/convergencestatistics.hpp></code>
<p>
Inherits T.
<p>
<p>
<a href="class_quant_lib_1_1_convergence_statistics-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class T, class U = DoublingConvergenceSteps><br>
class QuantLib::ConvergenceStatistics< T, U ></h3>
statistics class with convergence table
<p>
This class decorates another statistics class adding a convergence table calculation. The table tracks the convergence of the mean.<p>
It is possible to specify the number of samples at which the mean should be stored by mean of the second template parameter; the default is to store <img class="formulaInl" alt="$ 2^{n-1} $" src="form_178.png"> samples at the <img class="formulaInl" alt="$ n $" src="form_113.png">-th step. Any passed class must implement the following interface: <div class="fragment"><pre class="fragment"> <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> initialSamples() <span class="keyword">const</span>;
<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> nextSamples(<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> currentSamples) <span class="keyword">const</span>;
</pre></div> as well as a copy constructor.<p>
<dl compact><dt><b><a class="el" href="test.html#_test000059">Tests:</a></b></dt><dd>results are tested against known good values. </dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a8160fae99860b361fb09336cb2478e7"></a><!-- doxytag: member="QuantLib::ConvergenceStatistics::value_type" ref="a8160fae99860b361fb09336cb2478e7" args="" -->
typedef T::value_type </td><td class="memItemRight" valign="bottom"><b>value_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1c8168a0d88468e6516d4641ef378a60"></a><!-- doxytag: member="QuantLib::ConvergenceStatistics::table_type" ref="1c8168a0d88468e6516d4641ef378a60" args="" -->
typedef std::vector< std::pair<br>
< <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a>, value_type > > </td><td class="memItemRight" valign="bottom"><b>table_type</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="abab33bdd825123d705d469b60362455"></a><!-- doxytag: member="QuantLib::ConvergenceStatistics::ConvergenceStatistics" ref="abab33bdd825123d705d469b60362455" args="(const T &stats, const U &rule=U())" -->
</td><td class="memItemRight" valign="bottom"><b>ConvergenceStatistics</b> (const T &stats, const U &rule=U())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fc2f09312916217fea1ec35a927a3edc"></a><!-- doxytag: member="QuantLib::ConvergenceStatistics::ConvergenceStatistics" ref="fc2f09312916217fea1ec35a927a3edc" args="(const U &rule=U())" -->
</td><td class="memItemRight" valign="bottom"><b>ConvergenceStatistics</b> (const U &rule=U())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0fd2224497ce267aa05d4fe5915aa11d"></a><!-- doxytag: member="QuantLib::ConvergenceStatistics::add" ref="0fd2224497ce267aa05d4fe5915aa11d" args="(const value_type &value, Real weight=1.0)" -->
void </td><td class="memItemRight" valign="bottom"><b>add</b> (const value_type &value, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> weight=1.0)</td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="3198ad07b15eca00872ebb3f6582ab98"></a><!-- doxytag: member="QuantLib::ConvergenceStatistics::addSequence" ref="3198ad07b15eca00872ebb3f6582ab98" args="(DataIterator begin, DataIterator end)" -->
template<class DataIterator> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>addSequence</b> (DataIterator begin, DataIterator end)</td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="a738e0347128708ce547e4df6eb3d1cc"></a><!-- doxytag: member="QuantLib::ConvergenceStatistics::addSequence" ref="a738e0347128708ce547e4df6eb3d1cc" args="(DataIterator begin, DataIterator end, WeightIterator wbegin)" -->
template<class DataIterator, class WeightIterator> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>addSequence</b> (DataIterator begin, DataIterator end, WeightIterator wbegin)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d20897c5c8bd47f5d4005989bead0e55"></a><!-- doxytag: member="QuantLib::ConvergenceStatistics::reset" ref="d20897c5c8bd47f5d4005989bead0e55" args="()" -->
void </td><td class="memItemRight" valign="bottom"><b>reset</b> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2c9c98dfbddea40f5d6add9c239632e7"></a><!-- doxytag: member="QuantLib::ConvergenceStatistics::convergenceTable" ref="2c9c98dfbddea40f5d6add9c239632e7" args="() const " -->
const std::vector< std::pair<br>
< <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a>, value_type > > & </td><td class="memItemRight" valign="bottom"><b>convergenceTable</b> () const </td></tr>
</table>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
