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/*
Copyright (C) 2000, 2001, 2002 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 ferdinando@ametrano.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.
*/
/*! \file multivariateaccumulator.hpp
\brief A simple accumulator for vector-type samples
\fullpath
ql/Math/%multivariateaccumulator.hpp
*/
// $Id: multivariateaccumulator.hpp,v 1.11 2002/01/17 12:09:35 aleppo Exp $
#ifndef quantlib_math_multivariate_accumulator_h
#define quantlib_math_multivariate_accumulator_h
#include <ql/null.hpp>
#include <ql/dataformatters.hpp>
#include <ql/Math/matrix.hpp>
#include <vector>
namespace QuantLib {
namespace Math {
//! A sample accumulator for multivariate analysis
/*! MultivariateAccumulator can accumulate vector-type samples and
return the average vector, both in Array form and
std::vector<double> form, and the covariance matrix
*/
class MultivariateAccumulator {
public:
MultivariateAccumulator();
MultivariateAccumulator(Size size);
//! \name Inspectors
//@{
//! size of each sample
Size size() const;
//! number of samples collected
Size samples() const;
//! sum of data weights
double weightSum() const;
//! returns the mean as an Array
Array mean() const;
//! returns the mean as a std::vector<double>
std::vector<double> meanVector() const;
//! returns the covariance Matrix
Matrix covariance() const;
//! returns the correlation Matrix
Matrix correlation() const;
//@}
//! \name Modifiers
//@{
//! adds an Array to the collection, possibly with a weight
void add(const Array &arr, double weight = 1.0);
//! adds a vector<double> to the collection, possibly with a weight
void add(const std::vector<double> &vec, double weight = 1.0);
//! adds a sequence of data to the collection
template <class DataIterator>
void addSequence(DataIterator begin, DataIterator end) {
for (;begin!=end;++begin)
add(*begin);
}
//! adds a sequence of data to the collection, each with its weight
template <class DataIterator, class WeightIterator>
void addSequence(DataIterator begin, DataIterator end,
WeightIterator wbegin) {
for(;begin!=end;++begin,++wbegin)
add(*begin, *wbegin);
}
//! resets the data to a null set
void reset();
//@}
private:
Size size_;
Size sampleNumber_;
double sampleWeight_;
Array sum_;
Matrix quadraticSum_;
};
// inline definitions
inline Size MultivariateAccumulator::size() const {
return size_;
}
inline Size MultivariateAccumulator::samples() const {
return sampleNumber_;
}
inline double MultivariateAccumulator::weightSum() const {
return sampleWeight_;
}
inline Array MultivariateAccumulator::mean() const {
QL_REQUIRE(sampleWeight_ > 0.0,
"Stat::mean() : sampleWeight_=0, unsufficient");
return sum_/sampleWeight_;
}
}
}
#endif
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