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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Joseph Wang
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/models/volatility/constantestimator.hpp>
namespace QuantLib {
TimeSeries<Volatility>
ConstantEstimator::calculate(const TimeSeries<Volatility>& volatilitySeries) {
TimeSeries<Volatility> retval;
const std::vector<Volatility> u = volatilitySeries.values();
TimeSeries<Volatility>::const_iterator prev, next, cur, start;
cur = volatilitySeries.begin();
std::advance(cur, size_);
// ICK. This could probably be made a lot more efficient
for (Size i=size_; i < volatilitySeries.size(); i++) {
Size j;
Real sumu2=0.0, sumu=0.0;
for (j=i-size_; j <i; j++) {
sumu += u[j];
sumu2 += u[j]*u[j];
}
Real s = std::sqrt(sumu2/(Real)size_ - sumu*sumu / (Real) size_ /
(Real) (size_+1));
retval[cur->first] = s;
++cur;
}
return retval;
}
}
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