Stats Class Reference

helper class for the MonteCarloCBOEngine More...

#include <qle/pricingengines/cboengine.hpp>

Collaboration diagram for Stats:

Public Member Functions
	Stats (std::vector< Real > data)
Real	mean ()
Real	std ()
Real	max ()
Real	min ()
std::vector< Real > &	data ()
Distribution	histogram (Size bins, Real xmin=-QL_MAX_REAL, Real xmax=QL_MAX_REAL)

Private Attributes
std::vector< Real >	data_
Real	mean_
Real	std_
Real	max_
Real	min_

Detailed Description

helper class for the MonteCarloCBOEngine

Definition at line 45 of file cboengine.hpp.

Constructor & Destructor Documentation

Stats()

Stats

(

std::vector< Real >

data

)

Definition at line 31 of file cboengine.cpp.

                                 : data_(data), mean_(0.0), std_(0.0), max_(0.0), min_(0.0) {
    for (Size i = 0; i < data_.size(); i++) {
        mean_ += data_[i];
        std_ += data_[i] * data_[i];
    }
    mean_ /= data_.size();
    std_ /= data_.size();
    std_ = sqrt(std_ - mean_ * mean_);
    max_ = *(std::max_element(data_.begin(), data_.end()));
    min_ = *(std::min_element(data_.begin(), data_.end()));
}

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Member Function Documentation

mean()

Real mean

(

)

Definition at line 63 of file cboengine.hpp.

{ return mean_; }

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std()

Real std

(

)

Definition at line 65 of file cboengine.hpp.

{ return std_; }

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max()

Real max

(

)

Definition at line 67 of file cboengine.hpp.

{ return max_; }

min()

Real min

(

)

Definition at line 69 of file cboengine.hpp.

{ return min_; }

data()

std::vector< Real > & data

(

)

Definition at line 71 of file cboengine.hpp.

{ return data_; }

histogram()

Distribution histogram	(	Size	bins,
		Real	xmin = -QL_MAX_REAL,
		Real	xmax = QL_MAX_REAL
	)

Definition at line 43 of file cboengine.cpp.

                                                             {
    Distribution dist(bins, std::max(min_, xmin), std::min(max_, xmax));
    for (Size i = 0; i < data_.size(); i++) {
        if (data_[i] > xmax)
            data_[i] = xmax;
        if (data_[i] < xmin)
            data_[i] = xmin;
        dist.add(data_[i]);
    }
    dist.normalize();
    return dist;
}

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Member Data Documentation

data_

std::vector<Real> data_

private

Definition at line 56 of file cboengine.hpp.

mean_

Real mean_

private

Definition at line 57 of file cboengine.hpp.

std_

Real std_

private

Definition at line 58 of file cboengine.hpp.

max_

Real max_

private

Definition at line 59 of file cboengine.hpp.

min_

Real min_

private

Definition at line 60 of file cboengine.hpp.