NadarayaWatsonImpl< I1, I2, Kernel > Class Template Reference

Nadaraya Watson impl. More...

#include <qle/math/nadarayawatson.hpp>

Inheritance diagram for NadarayaWatsonImpl< I1, I2, Kernel >:

Collaboration diagram for NadarayaWatsonImpl< I1, I2, Kernel >:

Public Member Functions
	NadarayaWatsonImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const Kernel &kernel)
void	update () override
Real	value (Real x) const override
Real	standardDeviation (Real x) const override
Public Member Functions inherited from RegressionImpl
virtual	~RegressionImpl ()
virtual void	update ()=0
virtual Real	value (Real x) const =0
virtual Real	standardDeviation (Real x) const =0

Private Attributes
I1	xBegin_
I1	xEnd_
I2	yBegin_
Kernel	kernel_

Detailed Description

template<class I1, class I2, class Kernel>
class QuantExt::detail::NadarayaWatsonImpl< I1, I2, Kernel >

Nadaraya Watson impl.

Definition at line 50 of file nadarayawatson.hpp.

Constructor & Destructor Documentation

NadarayaWatsonImpl()

NadarayaWatsonImpl	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin,
		const Kernel &	kernel
	)

Precondition

the \( x \) values must be sorted.

kernel needs a Real operator()(Real x) implementation

Definition at line 55 of file nadarayawatson.hpp.

        : xBegin_(xBegin), xEnd_(xEnd), yBegin_(yBegin), kernel_(kernel) {}

Member Function Documentation

update()

void update ( )

overridevirtual

Implements RegressionImpl.

Definition at line 58 of file nadarayawatson.hpp.

{}

value()

Real value ( Real  x ) const

overridevirtual

Implements RegressionImpl.

Definition at line 60 of file nadarayawatson.hpp.

                                      {
 
        Real tmp1 = 0.0, tmp2 = 0.0;
 
        for (Size i = 0; i < static_cast<Size>(xEnd_ - xBegin_); ++i) {
            Real tmp = kernel_(x - xBegin_[i]);
            tmp1 += yBegin_[i] * tmp;
            tmp2 += tmp;
        }
 
        return QuantLib::close_enough(tmp2, 0.0) ? 0.0 : tmp1 / tmp2;
    }

standardDeviation()

Real standardDeviation ( Real  x ) const

overridevirtual

Implements RegressionImpl.

Definition at line 73 of file nadarayawatson.hpp.

                                                  {
 
        Real tmp1 = 0.0, tmp1b = 0.0, tmp2 = 0.0;
 
        for (Size i = 0; i < static_cast<Size>(xEnd_ - xBegin_); ++i) {
            Real tmp = kernel_(x - xBegin_[i]);
            tmp1 += yBegin_[i] * tmp;
            tmp1b += yBegin_[i] * yBegin_[i] * tmp;
            tmp2 += tmp;
        }
 
        return QuantLib::close_enough(tmp2, 0.0) ? 0.0 : std::sqrt(tmp1b / tmp2 - (tmp1 * tmp1) / (tmp2 * tmp2));
    }

Member Data Documentation

xBegin_

I1 xBegin_

private

Definition at line 88 of file nadarayawatson.hpp.

xEnd_

I1 xEnd_

private

Definition at line 88 of file nadarayawatson.hpp.

yBegin_

I2 yBegin_

private

Definition at line 89 of file nadarayawatson.hpp.

kernel_

Kernel kernel_

private

Definition at line 90 of file nadarayawatson.hpp.