incrementalstatistics.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2003 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2015 Peter Caspers
 
 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_incremental_statistics_hpp
#define quantlib_incremental_statistics_hpp
 
#include <ql/utilities/null.hpp>
#include <ql/errors.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics/stats.hpp>
#include <boost/accumulators/statistics/count.hpp>
#include <boost/accumulators/statistics/sum.hpp>
#include <boost/accumulators/statistics/min.hpp>
#include <boost/accumulators/statistics/max.hpp>
#include <boost/accumulators/statistics/weighted_mean.hpp>
#include <boost/accumulators/statistics/weighted_variance.hpp>
#include <boost/accumulators/statistics/weighted_skewness.hpp>
#include <boost/accumulators/statistics/weighted_kurtosis.hpp>
#include <boost/accumulators/statistics/weighted_moment.hpp>
 
namespace QuantLib {
 
 
    class IncrementalStatistics {
      public:
        typedef Real value_type;
        IncrementalStatistics();
 
 
        Size samples() const;
 
        Real weightSum() const;
 
        Real mean() const;
 
        Real variance() const;
 
        Real standardDeviation() const;
 
        Real errorEstimate() const;
 
        Real skewness() const;
 
        Real kurtosis() const;
 
        Real min() const;
 
        Real max() const;
 
        Size downsideSamples() const;
 
        Real downsideWeightSum() const;
 
        Real downsideVariance() const;
 
        Real downsideDeviation() const;
 
 
 
 
        void add(Real 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();
     private:
       typedef boost::accumulators::accumulator_set<
           Real,
           boost::accumulators::stats<
               boost::accumulators::tag::count, boost::accumulators::tag::min,
               boost::accumulators::tag::max,
               boost::accumulators::tag::weighted_mean,
               boost::accumulators::tag::weighted_variance,
               boost::accumulators::tag::weighted_skewness,
               boost::accumulators::tag::weighted_kurtosis,
               boost::accumulators::tag::sum_of_weights>,
           Real> accumulator_set;
        accumulator_set acc_;
        typedef boost::accumulators::accumulator_set<
            Real, boost::accumulators::stats<
                      boost::accumulators::tag::count,
                      boost::accumulators::tag::weighted_moment<2>,
                      boost::accumulators::tag::sum_of_weights>,
            Real> downside_accumulator_set;
        downside_accumulator_set downsideAcc_;
    };
 
}
 
 
#endif