/usr/include/ql/math/statistics/discrepancystatistics.hpp is in libquantlib0-dev 1.7.1-1.
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/*
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.
*/
/*! \file discrepancystatistics.hpp
\brief Statistic tool for sequences with discrepancy calculation
*/
#ifndef quantlib_dicrepancy_statistics_hpp
#define quantlib_dicrepancy_statistics_hpp
#include <ql/math/statistics/sequencestatistics.hpp>
namespace QuantLib {
//! Statistic tool for sequences with discrepancy calculation
/*! It inherit from SequenceStatistics<Statistics> and adds
\f$ L^2 \f$ discrepancy calculation
*/
class DiscrepancyStatistics : public SequenceStatistics {
public:
typedef SequenceStatistics::value_type value_type;
// constructor
DiscrepancyStatistics(Size dimension);
//! \name 1-dimensional inspectors
//@{
Real discrepancy() const;
//@}
template <class Sequence>
void add(const Sequence& sample,
Real weight = 1.0) {
add(sample.begin(),sample.end(),weight);
}
template <class Iterator>
void add(Iterator begin,
Iterator end,
Real weight = 1.0) {
SequenceStatistics::add(begin,end,weight);
Size k, m, N = samples();
Real r_ik, r_jk, temp = 1.0;
Iterator it;
for (k=0, it=begin; k<dimension_; ++it, ++k) {
r_ik = *it; //i=N
temp *= (1.0 - r_ik*r_ik);
}
cdiscr_ += temp;
for (m=0; m<N-1; m++) {
temp = 1.0;
for (k=0, it=begin; k<dimension_; ++it, ++k) {
// running i=1..(N-1)
r_ik = stats_[k].data()[m].first;
// fixed j=N
r_jk = *it;
temp *= (1.0 - std::max(r_ik, r_jk));
}
adiscr_ += temp;
temp = 1.0;
for (k=0, it=begin; k<dimension_; ++it, ++k) {
// fixed i=N
r_ik = *it;
// running j=1..(N-1)
r_jk = stats_[k].data()[m].first;
temp *= (1.0 - std::max(r_ik, r_jk));
}
adiscr_ += temp;
}
temp = 1.0;
for (k=0, it=begin; k<dimension_; ++it, ++k) {
// fixed i=N, j=N
r_ik = r_jk = *it;
temp *= (1.0 - std::max(r_ik, r_jk));
}
adiscr_ += temp;
}
void reset(Size dimension = 0);
private:
mutable Real adiscr_, cdiscr_;
Real bdiscr_, ddiscr_;
};
// inline definitions
inline DiscrepancyStatistics::DiscrepancyStatistics(Size dimension)
: SequenceStatistics(dimension) {
reset(dimension);
}
inline void DiscrepancyStatistics::reset(Size dimension) {
if (dimension == 0) // if no size given,
dimension = dimension_; // keep the current one
QL_REQUIRE(dimension != 1,
"dimension==1 not allowed");
SequenceStatistics::reset(dimension);
adiscr_ = 0.0;
bdiscr_ = 1.0/std::pow(2.0, Integer(dimension-1));
cdiscr_ = 0.0;
ddiscr_ = 1.0/std::pow(3.0, Integer(dimension));
}
}
#endif
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