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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email quantlib-dev@lists.sf.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_statistics_i
#define quantlib_statistics_i
%include types.i
%include linearalgebra.i
%include vectors.i
%include stl.i
%{
using QuantLib::Statistics;
using QuantLib::RiskStatistics;
using QuantLib::SequenceStatistics;
%}
class Statistics {
#if defined(SWIGRUBY)
%rename("reset!") reset;
#elif defined(SWIGMZSCHEME) || defined(SWIGGUILE)
%rename("weight-sum") weightSum;
%rename("standard-deviation") standardDeviation;
%rename("error-estimate") errorEstimate;
%rename("reset!") reset;
#endif
public:
Size samples() const;
Real weightSum() const;
Real mean() const;
Real variance() const;
Real standardDeviation() const;
Real errorEstimate() const;
Real skewness() const;
Real kurtosis() const;
Real min() const;
Real max() const;
// Modifiers
void reset();
void add(Real value, Real weight = 1.0);
%extend {
void add(const std::vector<Real>& values) {
self->addSequence(values.begin(), values.end());
}
void add(const std::vector<Real>& values,
const std::vector<Real>& weights) {
self->addSequence(values.begin(), values.end(), weights.begin());
}
}
};
class RiskStatistics : public Statistics {
#if defined(SWIGMZSCHEME) || defined(SWIGGUILE)
%rename("semi-variance") semiVariance;
%rename("semi-deviation") semiDeviation;
%rename("downside-variance") downsideVariance;
%rename("downside-deviation") downsideDeviation;
%rename("potential-upside") potentialUpside;
%rename("value-at-risk") valueAtRisk;
%rename("expected-shortfall") expectedShortfall;
%rename("average-shortfall") averageShortfall;
#endif
public:
Real semiVariance() const;
Real semiDeviation() const;
Real downsideVariance() const;
Real downsideDeviation() const;
Real regret(Real target) const;
Real potentialUpside(Real percentile) const;
Real valueAtRisk(Real percentile) const;
Real expectedShortfall(Real percentile) const;
Real shortfall(Real target) const;
Real averageShortfall(Real target) const;
};
template <class S>
class SequenceStatistics {
#if defined(SWIGRUBY)
%rename("reset!") reset;
#elif defined(SWIGMZSCHEME) || defined(SWIGGUILE)
%rename("weight-sum") weightSum;
%rename("standard-deviation") standardDeviation;
%rename("error-estimate") errorEstimate;
%rename("reset!") reset;
#endif
public:
SequenceStatistics(Size dimension);
Size size() const;
Size samples() const;
Real weightSum() const;
std::vector<Real> mean() const;
std::vector<Real> variance() const;
std::vector<Real> standardDeviation() const;
std::vector<Real> errorEstimate() const;
std::vector<Real> skewness() const;
std::vector<Real> kurtosis() const;
std::vector<Real> min() const;
std::vector<Real> max() const;
Matrix covariance() const;
Matrix correlation() const;
// Modifiers
void reset();
void add(const std::vector<Real>& value, Real weight = 1.0);
void add(const Array& value, Real weight = 1.0);
};
%template(MultipleStatistics) SequenceStatistics<Statistics>;
#endif
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