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
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
|
<!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>GenericSequenceStatistics< StatisticsType > 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="185" height="50" 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 1.2</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="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="todo.html">Todo List</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 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_generic_sequence_statistics.html">GenericSequenceStatistics</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-types">Public Types</a> |
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> </div>
<div class="headertitle">
<div class="title">GenericSequenceStatistics< StatisticsType > Class Template Reference</div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::GenericSequenceStatistics" -->
<p>Statistics analysis of N-dimensional (sequence) data.
<a href="class_quant_lib_1_1_generic_sequence_statistics.html#details">More...</a></p>
<p><code>#include <ql/math/statistics/sequencestatistics.hpp></code></p>
<div class="dynheader">
Inheritance diagram for GenericSequenceStatistics< StatisticsType >:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_generic_sequence_statistics__inherit__graph.png" border="0" usemap="#_generic_sequence_statistics_3_01_statistics_type_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_generic_sequence_statistics_3_01_statistics_type_01_4_inherit__map" id="_generic_sequence_statistics_3_01_statistics_type_01_4_inherit__map">
<area shape="rect" id="node3" href="class_quant_lib_1_1_discrepancy_statistics.html" title="Statistic tool for sequences with discrepancy calculation." alt="" coords="36,86,263,117"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_generic_sequence_statistics-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a432b0207d0c29af4568812e45096b424"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::statistics_type" ref="a432b0207d0c29af4568812e45096b424" args="" -->
typedef StatisticsType </td><td class="memItemRight" valign="bottom"><b>statistics_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8dd99e1d97911568752102c50ddcef34"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::value_type" ref="a8dd99e1d97911568752102c50ddcef34" args="" -->
typedef std::vector< typename <br class="typebreak"/>
StatisticsType::value_type > </td><td class="memItemRight" valign="bottom"><b>value_type</b></td></tr>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afbcdf522cb04d3aa199db19be945285d"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::GenericSequenceStatistics" ref="afbcdf522cb04d3aa199db19be945285d" args="(Size dimension=0)" -->
 </td><td class="memItemRight" valign="bottom"><b>GenericSequenceStatistics</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> dimension=0)</td></tr>
<tr><td colspan="2"><div class="groupHeader">inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9d78a687cf2a391198bb3cbc08bc06cb"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::size" ref="a9d78a687cf2a391198bb3cbc08bc06cb" args="() const " -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">covariance and correlation</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2419a649deea843b01804a626b3009f4"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::covariance" ref="a2419a649deea843b01804a626b3009f4" args="() const " -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_generic_sequence_statistics.html#a2419a649deea843b01804a626b3009f4">covariance</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the covariance <a class="el" href="class_quant_lib_1_1_matrix.html" title="Matrix used in linear algebra.">Matrix</a> <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af0006e861bd46e8e780a705ed17fd4c6"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::correlation" ref="af0006e861bd46e8e780a705ed17fd4c6" args="() const " -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_generic_sequence_statistics.html#af0006e861bd46e8e780a705ed17fd4c6">correlation</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the correlation <a class="el" href="class_quant_lib_1_1_matrix.html" title="Matrix used in linear algebra.">Matrix</a> <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">1-D inspectors lifted from underlying statistics class</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afb02dc74860bcd8ad0982324d50c82e4"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::samples" ref="afb02dc74860bcd8ad0982324d50c82e4" args="() const " -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>samples</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adadbb304259580be7add0941c9540bd9"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::weightSum" ref="adadbb304259580be7add0941c9540bd9" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>weightSum</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">N-D inspectors lifted from underlying statistics class</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="acccc2e99a25f8b4e2688e840dab3326d"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::mean" ref="acccc2e99a25f8b4e2688e840dab3326d" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>mean</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7410d338da8f3c635cc37f03da72cd76"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::variance" ref="a7410d338da8f3c635cc37f03da72cd76" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>variance</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8a5eb61b9b2db4239e03d575d1d18153"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::standardDeviation" ref="a8a5eb61b9b2db4239e03d575d1d18153" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>standardDeviation</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afe95f5456e7f097c20d273ed0c7368a3"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::downsideVariance" ref="afe95f5456e7f097c20d273ed0c7368a3" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>downsideVariance</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa407c16fa7f7b5e1dce0239a1e1f9b11"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::downsideDeviation" ref="aa407c16fa7f7b5e1dce0239a1e1f9b11" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>downsideDeviation</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adacf8b47e63f62a3f8644f4085399950"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::semiVariance" ref="adacf8b47e63f62a3f8644f4085399950" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>semiVariance</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8f778a87e1f684b7028968a2229ef6d0"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::semiDeviation" ref="a8f778a87e1f684b7028968a2229ef6d0" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>semiDeviation</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac0dfceea0de7224a591a1734f860bb40"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::errorEstimate" ref="ac0dfceea0de7224a591a1734f860bb40" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>errorEstimate</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad23542ce302e21b2ea5d6d5e05ecf201"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::skewness" ref="ad23542ce302e21b2ea5d6d5e05ecf201" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>skewness</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a767667eaea3cbc3b35666db167f209b6"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::kurtosis" ref="a767667eaea3cbc3b35666db167f209b6" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>kurtosis</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac67e03faa849950e469165311c357c73"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::min" ref="ac67e03faa849950e469165311c357c73" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>min</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3ecd48053793363b4b7032c1a1a61222"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::max" ref="a3ecd48053793363b4b7032c1a1a61222" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>max</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a531454d8413732a05e685bcf1cdc5974"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianPercentile" ref="a531454d8413732a05e685bcf1cdc5974" args="(Real y) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianPercentile</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad4aae5fd842cd76dcc21ac60ca81e495"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::percentile" ref="ad4aae5fd842cd76dcc21ac60ca81e495" args="(Real y) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>percentile</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa8d4eb1ce1319ce83f7b4b4ce8fc58e3"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianPotentialUpside" ref="aa8d4eb1ce1319ce83f7b4b4ce8fc58e3" args="(Real percentile) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianPotentialUpside</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab74510815db3c9b3f5895ab883cc13d8"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::potentialUpside" ref="ab74510815db3c9b3f5895ab883cc13d8" args="(Real percentile) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>potentialUpside</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae5df0de2660027432d85a0f6d65ddc39"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianValueAtRisk" ref="ae5df0de2660027432d85a0f6d65ddc39" args="(Real percentile) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianValueAtRisk</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad5aea367f2b20182be171a30cd7aaf3b"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::valueAtRisk" ref="ad5aea367f2b20182be171a30cd7aaf3b" args="(Real percentile) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>valueAtRisk</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a281f204c440d50cfdd499562b05e0e7f"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianExpectedShortfall" ref="a281f204c440d50cfdd499562b05e0e7f" args="(Real percentile) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianExpectedShortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9dce88984fe2418e9f2d47fc50996194"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::expectedShortfall" ref="a9dce88984fe2418e9f2d47fc50996194" args="(Real percentile) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>expectedShortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a17d2abbab64d9514dba9a21d71c914d7"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::regret" ref="a17d2abbab64d9514dba9a21d71c914d7" args="(Real target) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>regret</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> target) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9359b0d4904d74a521b73927679ac98c"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianShortfall" ref="a9359b0d4904d74a521b73927679ac98c" args="(Real target) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianShortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> target) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9e5daee08ad4ef07a3cfc69efda097f0"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::shortfall" ref="a9e5daee08ad4ef07a3cfc69efda097f0" args="(Real target) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>shortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> target) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac82b1d32c521abdcdf2df5ca2e31fa52"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianAverageShortfall" ref="ac82b1d32c521abdcdf2df5ca2e31fa52" args="(Real target) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianAverageShortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> target) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abfe0667817541e44f9f42f8479d0f89d"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::averageShortfall" ref="abfe0667817541e44f9f42f8479d0f89d" args="(Real target) const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>averageShortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> target) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Modifiers</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a58bd77d1d091d636b8d5400814152bc5"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::reset" ref="a58bd77d1d091d636b8d5400814152bc5" args="(Size dimension=0)" -->
void </td><td class="memItemRight" valign="bottom"><b>reset</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> dimension=0)</td></tr>
<tr><td class="memTemplParams" colspan="2"><a class="anchor" id="a1f278171ca690f5a6c24ca31583fdad6"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::add" ref="a1f278171ca690f5a6c24ca31583fdad6" args="(const Sequence &sample, Real weight=1.0)" -->
template<class Sequence > </td></tr>
<tr><td class="memTemplItemLeft" align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>add</b> (const Sequence &sample, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> weight=1.0)</td></tr>
<tr><td class="memTemplParams" colspan="2"><a class="anchor" id="aec007c1f57d0a048f8cc541dc3614137"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::add" ref="aec007c1f57d0a048f8cc541dc3614137" args="(Iterator begin, Iterator end, Real weight=1.0)" -->
template<class Iterator > </td></tr>
<tr><td class="memTemplItemLeft" align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>add</b> (Iterator begin, Iterator end, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> weight=1.0)</td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a101ac2fd4059964925dda5d18055f99c"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::dimension_" ref="a101ac2fd4059964925dda5d18055f99c" args="" -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>dimension_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7be4ef03e92a452316a435427a8c048e"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::stats_" ref="a7be4ef03e92a452316a435427a8c048e" args="" -->
std::vector< statistics_type > </td><td class="memItemRight" valign="bottom"><b>stats_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7efaf9c624aded4fa10a3917f523642e"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::results_" ref="a7efaf9c624aded4fa10a3917f523642e" args="" -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>results_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac7bc1d4bf5808900f134e92c1ad1760a"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::quadraticSum_" ref="ac7bc1d4bf5808900f134e92c1ad1760a" args="" -->
<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> </td><td class="memItemRight" valign="bottom"><b>quadraticSum_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<class StatisticsType><br/>
class QuantLib::GenericSequenceStatistics< StatisticsType ></h3>
<p>Statistics analysis of N-dimensional (sequence) data. </p>
<p>It provides 1-dimensional statistics as discrepancy plus N-dimensional (sequence) statistics (e.g. mean, variance, skewness, kurtosis, etc.) with one component for each dimension of the sample space.</p>
<p>For most of the statistics this class relies on the StatisticsType underlying class to provide 1-D methods that will be iterated for all the components of the N-D data. These lifted methods are the union of all the methods that might be requested to the 1-D underlying StatisticsType class, with the usual compile-time checks provided by the template approach.</p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000071">Tests:</a></b></dt><dd>the correctness of the returned values is tested by checking them against numerical calculations. </dd></dl>
</div></div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
