1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 Ferdinando Ametrano
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20#include <ql/math/statistics/discrepancystatistics.hpp>
21
22namespace QuantLib {
23
24 Real DiscrepancyStatistics::discrepancy() const {
25 Size N = samples();
26 /*
27 Size i;
28 Real r_ik, r_jk, cdiscr = adiscr = 0.0, temp = 1.0;
29
30 for (i=0; i<N; i++) {
31 Real temp = 1.0;
32 for (Size k=0; k<dimension_; k++) {
33 r_ik = stats_[k].sampleData()[i].first;
34 temp *= (1.0 - r_ik*r_ik);
35 }
36 cdiscr += temp;
37 }
38
39 for (i=0; i<N; i++) {
40 for (Size j=0; j<N; j++) {
41 Real temp = 1.0;
42 for (Size k=0; k<dimension_; k++) {
43 r_jk = stats_[k].sampleData()[j].first;
44 r_ik = stats_[k].sampleData()[i].first;
45 temp *= (1.0 - std::max(r_ik, r_jk));
46 }
47 adiscr += temp;
48 }
49 }
50 */
51 return std::sqrt(x: adiscr_/(N*N)-bdiscr_/N*cdiscr_+ddiscr_);
52 }
53
54}
55
56
57

source code of quantlib/ql/math/statistics/discrepancystatistics.cpp