ConvergenceStatistics< T, U > Class Template Reference

statistics class with convergence table More...

#include <ql/math/statistics/convergencestatistics.hpp>

Inheritance diagram for ConvergenceStatistics< T, U >:

Collaboration diagram for ConvergenceStatistics< T, U >:

Public Types
typedef T::value_type	value_type
typedef std::vector< std::pair< Size, value_type > >	table_type

Public Member Functions
	ConvergenceStatistics (const T &stats, const U &rule=U())
	ConvergenceStatistics (const U &rule=U())
void	add (const value_type &value, Real weight=1.0)
template<class DataIterator >
void	addSequence (DataIterator begin, DataIterator end)
template<class DataIterator , class WeightIterator >
void	addSequence (DataIterator begin, DataIterator end, WeightIterator wbegin)
void	reset ()
const std::vector< std::pair< Size, value_type > > &	convergenceTable () const

Private Attributes
table_type	table_
U	samplingRule_
Size	nextSampleSize_

Detailed Description

template<class T, class U = DoublingConvergenceSteps>
class QuantLib::ConvergenceStatistics< T, U >

statistics class with convergence table

This class decorates another statistics class adding a convergence table calculation. The table tracks the convergence of the mean.

It is possible to specify the number of samples at which the mean should be stored by mean of the second template parameter; the default is to store \( 2^{n-1} \) samples at the \( n \)-th step. Any passed class must implement the following interface:

Size initialSamples() const;
Size nextSamples(Size currentSamples) const;

as well as a copy constructor.

Tests:

results are tested against known good values.

Definition at line 58 of file convergencestatistics.hpp.

Member Typedef Documentation

value_type

typedef T::value_type value_type

Definition at line 60 of file convergencestatistics.hpp.

table_type

typedef std::vector<std::pair<Size,value_type> > table_type

Definition at line 61 of file convergencestatistics.hpp.

Constructor & Destructor Documentation

ConvergenceStatistics() [1/2]

ConvergenceStatistics	(	const T &	stats,
		const U &	rule = U()
	)

Definition at line 90 of file convergencestatistics.hpp.

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ConvergenceStatistics() [2/2]

ConvergenceStatistics

(

const U &

rule = U()

)

Definition at line 97 of file convergencestatistics.hpp.

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Member Function Documentation

add()

void add	(	const value_type &	value,
		Real	weight = 1.0
	)

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addSequence() [1/2]

void addSequence	(	DataIterator	begin,
		DataIterator	end
	)

Definition at line 67 of file convergencestatistics.hpp.

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addSequence() [2/2]

void addSequence	(	DataIterator	begin,
		DataIterator	end,
		WeightIterator	wbegin
	)

Definition at line 72 of file convergencestatistics.hpp.

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reset()

void reset

Definition at line 116 of file convergencestatistics.hpp.

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convergenceTable()

const ConvergenceStatistics< T, U >::table_type & convergenceTable

Definition at line 124 of file convergencestatistics.hpp.

Member Data Documentation

table_

table_type table_

private

Definition at line 81 of file convergencestatistics.hpp.

samplingRule_

U samplingRule_

private

Definition at line 82 of file convergencestatistics.hpp.

nextSampleSize_

Size nextSampleSize_

private

Definition at line 83 of file convergencestatistics.hpp.