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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Gang Liang
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
<https://www.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.
*/
/*! \file histogram.hpp
\brief statistics tool for generating histogram of given data
*/
#ifndef quantlib_histogram_hpp
#define quantlib_histogram_hpp
#include <ql/utilities/null.hpp>
#include <vector>
namespace QuantLib {
//! Histogram class
/*! This class computes the histogram of a given data set. The
caller can specify the number of bins, the breaks, or the
algorithm for determining these quantities in computing the
histogram.
*/
class Histogram {
public:
enum Algorithm { None, Sturges, FD, Scott };
//! \name constructors
//@{
Histogram() : algorithm_(Algorithm(-1)) {}
template <class T>
Histogram(T data_begin, T data_end, Size breaks)
: data_(data_begin, data_end), bins_(breaks + 1) {
calculate();
}
template <class T>
Histogram(T data_begin, T data_end, Algorithm algorithm)
: data_(data_begin,data_end), bins_(Null<Size>()),
algorithm_(algorithm) {
calculate();
}
template <class T, class U>
Histogram(T data_begin, T data_end, U breaks_begin, U breaks_end)
: data_(data_begin, data_end), bins_(Null<Size>()), breaks_(breaks_begin, breaks_end) {
bins_ = breaks_.size()+1;
calculate();
}
//@}
//! \name inspectors
//@{
Size bins() const;
const std::vector<Real>& breaks() const;
Algorithm algorithm() const;
bool empty() const;
//@}
//! \name results
//@{
Size counts(Size i) const;
Real frequency(Size i) const;
//@}
private:
std::vector<Real> data_;
Size bins_ = 0;
Algorithm algorithm_ = None;
std::vector<Real> breaks_;
std::vector<Size> counts_;
std::vector<Real> frequency_;
// update counts and frequencies
void calculate();
};
}
#endif
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