GenericSequenceStatistics< StatisticsType > Class Template Reference

Statistics analysis of N-dimensional (sequence) data. More...

#include <sequencestatistics.hpp>

Inheritance diagram for GenericSequenceStatistics< StatisticsType >:

Collaboration diagram for GenericSequenceStatistics< StatisticsType >:

Public Types
typedef StatisticsType	statistics_type
typedef std::vector< typename StatisticsType::value_type >	value_type

Public Member Functions
	GenericSequenceStatistics (Size dimension=0)
inspectors
Size	size () const
covariance and correlation
Matrix	covariance () const
	returns the covariance Matrix More...
Matrix	correlation () const
	returns the correlation Matrix More...
1-D inspectors lifted from underlying statistics class
Size	samples () const
Real	weightSum () const
N-D inspectors lifted from underlying statistics class
std::vector< Real >	mean () const
std::vector< Real >	variance () const
std::vector< Real >	standardDeviation () const
std::vector< Real >	downsideVariance () const
std::vector< Real >	downsideDeviation () const
std::vector< Real >	semiVariance () const
std::vector< Real >	semiDeviation () const
std::vector< Real >	errorEstimate () const
std::vector< Real >	skewness () const
std::vector< Real >	kurtosis () const
std::vector< Real >	min () const
std::vector< Real >	max () const
std::vector< Real >	gaussianPercentile (Real y) const
std::vector< Real >	percentile (Real y) const
std::vector< Real >	gaussianPotentialUpside (Real percentile) const
std::vector< Real >	potentialUpside (Real percentile) const
std::vector< Real >	gaussianValueAtRisk (Real percentile) const
std::vector< Real >	valueAtRisk (Real percentile) const
std::vector< Real >	gaussianExpectedShortfall (Real percentile) const
std::vector< Real >	expectedShortfall (Real percentile) const
std::vector< Real >	regret (Real target) const
std::vector< Real >	gaussianShortfall (Real target) const
std::vector< Real >	shortfall (Real target) const
std::vector< Real >	gaussianAverageShortfall (Real target) const
std::vector< Real >	averageShortfall (Real target) const

Modifiers
Size	dimension_ = 0
std::vector< statistics_type >	stats_
std::vector< Real >	results_
Matrix	quadraticSum_
void	reset (Size dimension=0)
template<class Sequence >
void	add (const Sequence &sample, Real weight=1.0)
template<class Iterator >
void	add (Iterator begin, Iterator end, Real weight=1.0)

Detailed Description

template<class StatisticsType>
class QuantLib::GenericSequenceStatistics< StatisticsType >

Statistics analysis of N-dimensional (sequence) data.

It provides 1-dimensional statistics as discrepancy plus N-dimensional (sequence) statistics (e.g. mean, variance, skewness, kurtosis, etc.) with one component for each dimension of the sample space.

For most of the statistics this class relies on the StatisticsType underlying class to provide 1-D methods that will be iterated for all the components of the N-D data. These lifted methods are the union of all the methods that might be requested to the 1-D underlying StatisticsType class, with the usual compile-time checks provided by the template approach.

Tests:

the correctness of the returned values is tested by checking them against numerical calculations.

Examples

MarketModels.cpp.

Definition at line 50 of file sequencestatistics.hpp.

Member Typedef Documentation

statistics_type

typedef StatisticsType statistics_type

Definition at line 53 of file sequencestatistics.hpp.

value_type

typedef std::vector<typename StatisticsType::value_type> value_type

Definition at line 54 of file sequencestatistics.hpp.

Constructor & Destructor Documentation

GenericSequenceStatistics()

GenericSequenceStatistics

(

Size

dimension = 0

)

Definition at line 160 of file sequencestatistics.hpp.

Member Function Documentation

size()

Size size

(

)

const

Definition at line 59 of file sequencestatistics.hpp.

covariance()

Matrix covariance

returns the covariance Matrix

Definition at line 247 of file sequencestatistics.hpp.

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correlation()

Matrix correlation

returns the correlation Matrix

Definition at line 269 of file sequencestatistics.hpp.

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samples()

Size samples

Definition at line 165 of file sequencestatistics.hpp.

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weightSum()

Real weightSum

Definition at line 170 of file sequencestatistics.hpp.

mean()

std::vector< Real > mean

Examples

MarketModels.cpp.

Definition at line 186 of file sequencestatistics.hpp.

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variance()

std::vector< Real > variance

Definition at line 187 of file sequencestatistics.hpp.

standardDeviation()

std::vector< Real > standardDeviation

Definition at line 188 of file sequencestatistics.hpp.

downsideVariance()

std::vector< Real > downsideVariance

Definition at line 189 of file sequencestatistics.hpp.

downsideDeviation()

std::vector< Real > downsideDeviation

Definition at line 190 of file sequencestatistics.hpp.

semiVariance()

std::vector< Real > semiVariance

Definition at line 191 of file sequencestatistics.hpp.

semiDeviation()

std::vector< Real > semiDeviation

Definition at line 192 of file sequencestatistics.hpp.

errorEstimate()

std::vector< Real > errorEstimate

Definition at line 193 of file sequencestatistics.hpp.

skewness()

std::vector< Real > skewness

Definition at line 194 of file sequencestatistics.hpp.

kurtosis()

std::vector< Real > kurtosis

Definition at line 195 of file sequencestatistics.hpp.

min()

std::vector< Real > min

Definition at line 196 of file sequencestatistics.hpp.

max()

std::vector< Real > max

Definition at line 197 of file sequencestatistics.hpp.

gaussianPercentile()

std::vector< Real > gaussianPercentile

(

Real

y

)

const

Definition at line 211 of file sequencestatistics.hpp.

percentile()

std::vector< Real > percentile

(

Real

y

)

const

Definition at line 218 of file sequencestatistics.hpp.

gaussianPotentialUpside()

std::vector< Real > gaussianPotentialUpside

(

Real

percentile

)

const

Definition at line 212 of file sequencestatistics.hpp.

potentialUpside()

std::vector< Real > potentialUpside

(

Real

percentile

)

const

Definition at line 219 of file sequencestatistics.hpp.

gaussianValueAtRisk()

std::vector< Real > gaussianValueAtRisk

(

Real

percentile

)

const

Definition at line 213 of file sequencestatistics.hpp.

valueAtRisk()

std::vector< Real > valueAtRisk

(

Real

percentile

)

const

Definition at line 220 of file sequencestatistics.hpp.

gaussianExpectedShortfall()

std::vector< Real > gaussianExpectedShortfall

(

Real

percentile

)

const

Definition at line 214 of file sequencestatistics.hpp.

expectedShortfall()

std::vector< Real > expectedShortfall

(

Real

percentile

)

const

Definition at line 221 of file sequencestatistics.hpp.

regret()

std::vector< Real > regret

(

Real

target

)

const

Definition at line 222 of file sequencestatistics.hpp.

gaussianShortfall()

std::vector< Real > gaussianShortfall

(

Real

target

)

const

Definition at line 215 of file sequencestatistics.hpp.

shortfall()

std::vector< Real > shortfall

(

Real

target

)

const

Definition at line 223 of file sequencestatistics.hpp.

gaussianAverageShortfall()

std::vector< Real > gaussianAverageShortfall

(

Real

target

)

const

Definition at line 216 of file sequencestatistics.hpp.

averageShortfall()

std::vector< Real > averageShortfall

(

Real

target

)

const

Definition at line 224 of file sequencestatistics.hpp.

reset()

void reset

(

Size

dimension = 0

)

Definition at line 229 of file sequencestatistics.hpp.

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add() [1/2]

void add	(	const Sequence &	sample,
		Real	weight = 1.0
	)

Definition at line 115 of file sequencestatistics.hpp.

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add() [2/2]

void add	(	Iterator	begin,
		Iterator	end,
		Real	weight = 1.0
	)

Definition at line 120 of file sequencestatistics.hpp.

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Member Data Documentation

dimension_

Size dimension_ = 0

protected

Definition at line 144 of file sequencestatistics.hpp.

stats_

std::vector<statistics_type> stats_

protected

Definition at line 145 of file sequencestatistics.hpp.

results_

std::vector<Real> results_

mutableprotected

Definition at line 146 of file sequencestatistics.hpp.

quadraticSum_

Matrix quadraticSum_

protected

Definition at line 147 of file sequencestatistics.hpp.