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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2015 Peter Caspers
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/incrementalstatistics.hpp>
#include <iomanip>
namespace QuantLib {
IncrementalStatistics::IncrementalStatistics() {
reset();
}
Size IncrementalStatistics::samples() const {
return boost::accumulators::extract_result<
boost::accumulators::tag::count>(acc_);
}
Real IncrementalStatistics::weightSum() const {
return boost::accumulators::extract_result<
boost::accumulators::tag::sum_of_weights>(acc_);
}
Real IncrementalStatistics::mean() const {
QL_REQUIRE(weightSum() > 0.0, "sampleWeight_= 0, unsufficient");
return boost::accumulators::extract_result<
boost::accumulators::tag::weighted_mean>(acc_);
}
Real IncrementalStatistics::variance() const {
QL_REQUIRE(weightSum() > 0.0, "sampleWeight_= 0, unsufficient");
QL_REQUIRE(samples() > 1, "sample number <= 1, unsufficient");
Real n = static_cast<Real>(samples());
return n / (n - 1.0) *
boost::accumulators::extract_result<
boost::accumulators::tag::weighted_variance>(acc_);
}
Real IncrementalStatistics::standardDeviation() const {
return std::sqrt(variance());
}
Real IncrementalStatistics::errorEstimate() const {
return std::sqrt(variance() / (samples()));
}
Real IncrementalStatistics::skewness() const {
QL_REQUIRE(samples() > 2, "sample number <= 2, unsufficient");
Real n = static_cast<Real>(samples());
Real r1 = n / (n - 2.0);
Real r2 = (n - 1.0) / (n - 2.0);
return std::sqrt(r1 * r2) *
boost::accumulators::extract_result<
boost::accumulators::tag::weighted_skewness>(acc_);
}
Real IncrementalStatistics::kurtosis() const {
QL_REQUIRE(samples() > 3,
"sample number <= 3, unsufficient");
boost::accumulators::extract_result<
boost::accumulators::tag::weighted_kurtosis>(acc_);
Real n = static_cast<Real>(samples());
Real r1 = (n - 1.0) / (n - 2.0);
Real r2 = (n + 1.0) / (n - 3.0);
Real r3 = (n - 1.0) / (n - 3.0);
return ((3.0 + boost::accumulators::extract_result<
boost::accumulators::tag::weighted_kurtosis>(acc_)) *
r2 -
3.0 * r3) *
r1;
}
Real IncrementalStatistics::min() const {
QL_REQUIRE(samples() > 0, "empty sample set");
return boost::accumulators::extract_result<
boost::accumulators::tag::min>(acc_);
}
Real IncrementalStatistics::max() const {
QL_REQUIRE(samples() > 0, "empty sample set");
return boost::accumulators::extract_result<
boost::accumulators::tag::max>(acc_);
}
Size IncrementalStatistics::downsideSamples() const {
return boost::accumulators::extract_result<
boost::accumulators::tag::count>(downsideAcc_);
}
Real IncrementalStatistics::downsideWeightSum() const {
return boost::accumulators::extract_result<
boost::accumulators::tag::sum_of_weights>(downsideAcc_);
}
Real IncrementalStatistics::downsideVariance() const {
QL_REQUIRE(downsideWeightSum() > 0.0, "sampleWeight_= 0, unsufficient");
QL_REQUIRE(downsideSamples() > 1, "sample number <= 1, unsufficient");
Real n = static_cast<Real>(downsideSamples());
Real r1 = n / (n - 1.0);
return r1 *
boost::accumulators::extract_result<
boost::accumulators::tag::moment<2> >(downsideAcc_);
}
Real IncrementalStatistics::downsideDeviation() const {
return std::sqrt(downsideVariance());
}
void IncrementalStatistics::add(Real value, Real valueWeight) {
QL_REQUIRE(valueWeight >= 0.0, "negative weight (" << valueWeight
<< ") not allowed");
acc_(value, boost::accumulators::weight = valueWeight);
if(value < 0.0)
downsideAcc_(value, boost::accumulators::weight = valueWeight);
}
void IncrementalStatistics::reset() {
acc_ = accumulator_set();
downsideAcc_ = downside_accumulator_set();
}
}
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