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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
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/license.shtml>.
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.
*/
#include <ql/math/statistics/discrepancystatistics.hpp>
namespace QuantLib {
Real DiscrepancyStatistics::discrepancy() const {
Size N = samples();
/*
Size i;
Real r_ik, r_jk, cdiscr = adiscr = 0.0, temp = 1.0;
for (i=0; i<N; i++) {
Real temp = 1.0;
for (Size k=0; k<dimension_; k++) {
r_ik = stats_[k].sampleData()[i].first;
temp *= (1.0 - r_ik*r_ik);
}
cdiscr += temp;
}
for (i=0; i<N; i++) {
for (Size j=0; j<N; j++) {
Real temp = 1.0;
for (Size k=0; k<dimension_; k++) {
r_jk = stats_[k].sampleData()[j].first;
r_ik = stats_[k].sampleData()[i].first;
temp *= (1.0 - std::max(r_ik, r_jk));
}
adiscr += temp;
}
}
*/
return std::sqrt(adiscr_/(N*N)-bdiscr_/N*cdiscr_+ddiscr_);
}
}
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