convergencestatistics.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005 Gary Kennedy
 Copyright (C) 2006 StatPro Italia srl
 
 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.
*/
 
#ifndef quantlib_convergence_statistics_hpp
#define quantlib_convergence_statistics_hpp
 
#include <ql/types.hpp>
#include <vector>
 
namespace QuantLib {
 
    class DoublingConvergenceSteps {
      public:
        Size initialSamples() const { return 1; }
        Size nextSamples(Size current) { return 2 * current + 1; }
    };
 
 
    template <class T, class U = DoublingConvergenceSteps>
    class ConvergenceStatistics : public T {
      public:
        typedef typename T::value_type value_type;
        typedef std::vector<std::pair<Size,value_type> > table_type;
        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) {
            for (; begin != end; ++begin)
                add(*begin);
        }
        template <class DataIterator, class WeightIterator>
        void addSequence(DataIterator begin, DataIterator end,
                         WeightIterator wbegin) {
            for (; begin != end; ++begin, ++wbegin)
                add(*begin,*wbegin);
        }
        void reset();
        const std::vector<std::pair<Size,value_type> >& convergenceTable()
                                                                        const;
      private:
        table_type table_;
        U samplingRule_;
        Size nextSampleSize_;
    };
 
 
    // inline definitions
 
    template <class T, class U>
    ConvergenceStatistics<T,U>::ConvergenceStatistics(const T& stats,
                                                      const U& rule)
    : T(stats), samplingRule_(rule) {
        reset();
    }
 
    template <class T, class U>
    ConvergenceStatistics<T,U>::ConvergenceStatistics(const U& rule)
    : samplingRule_(rule) {
        reset();
    }
 
    #ifndef __DOXYGEN__
    template <class T, class U>
    void ConvergenceStatistics<T,U>::add(
                 const typename ConvergenceStatistics<T,U>::value_type& value,
                 Real weight) {
        T::add(value,weight);
        if (this->samples() == nextSampleSize_) {
            table_.push_back(std::make_pair(this->samples(),this->mean()));
            nextSampleSize_ = samplingRule_.nextSamples(nextSampleSize_);
        }
    }
    #endif
 
    template <class T, class U>
    void ConvergenceStatistics<T,U>::reset() {
        T::reset();
        nextSampleSize_ = samplingRule_.initialSamples();
        table_.clear();
    }
 
    template <class T, class U>
    const typename ConvergenceStatistics<T,U>::table_type&
    ConvergenceStatistics<T,U>::convergenceTable() const {
        return table_;
    }
 
}
 
 
#endif