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/*! \file discrepancystatistics.hpp
21 \brief Statistic tool for sequences with discrepancy calculation
22*/
23
24#ifndef quantlib_dicrepancy_statistics_hpp
25#define quantlib_dicrepancy_statistics_hpp
26
27#include <ql/math/statistics/sequencestatistics.hpp>
28
29namespace QuantLib {
30
31 //! Statistic tool for sequences with discrepancy calculation
32 /*! It inherit from SequenceStatistics<Statistics> and adds
33 \f$ L^2 \f$ discrepancy calculation
34 */
35 class DiscrepancyStatistics : public SequenceStatistics {
36 public:
37 typedef SequenceStatistics::value_type value_type;
38 // constructor
39 DiscrepancyStatistics(Size dimension);
40 //! \name 1-dimensional inspectors
41 //@{
42 Real discrepancy() const;
43 //@}
44 template <class Sequence>
45 void add(const Sequence& sample,
46 Real weight = 1.0) {
47 add(sample.begin(),sample.end(),weight);
48 }
49 template <class Iterator>
50 void add(Iterator begin,
51 Iterator end,
52 Real weight = 1.0) {
53 SequenceStatistics::add(begin,end,weight);
54
55 Size k, m, N = samples();
56
57 Real r_ik, r_jk, temp = 1.0;
58 Iterator it;
59 for (k=0, it=begin; k<dimension_; ++it, ++k) {
60 r_ik = *it; //i=N
61 temp *= (1.0 - r_ik*r_ik);
62 }
63 cdiscr_ += temp;
64
65 for (m=0; m<N-1; m++) {
66 temp = 1.0;
67 for (k=0, it=begin; k<dimension_; ++it, ++k) {
68 // running i=1..(N-1)
69 r_ik = stats_[k].data()[m].first;
70 // fixed j=N
71 r_jk = *it;
72 temp *= (1.0 - std::max(a: r_ik, b: r_jk));
73 }
74 adiscr_ += temp;
75
76 temp = 1.0;
77 for (k=0, it=begin; k<dimension_; ++it, ++k) {
78 // fixed i=N
79 r_ik = *it;
80 // running j=1..(N-1)
81 r_jk = stats_[k].data()[m].first;
82 temp *= (1.0 - std::max(a: r_ik, b: r_jk));
83 }
84 adiscr_ += temp;
85 }
86 temp = 1.0;
87 for (k=0, it=begin; k<dimension_; ++it, ++k) {
88 // fixed i=N, j=N
89 r_ik = r_jk = *it;
90 temp *= (1.0 - std::max(a: r_ik, b: r_jk));
91 }
92 adiscr_ += temp;
93 }
94 void reset(Size dimension = 0);
95 private:
96 mutable Real adiscr_, cdiscr_;
97 Real bdiscr_, ddiscr_;
98 };
99
100
101 // inline definitions
102
103 inline DiscrepancyStatistics::DiscrepancyStatistics(Size dimension)
104 : SequenceStatistics(dimension) {
105 reset(dimension);
106 }
107
108 inline void DiscrepancyStatistics::reset(Size dimension) {
109 if (dimension == 0) // if no size given,
110 dimension = dimension_; // keep the current one
111 QL_REQUIRE(dimension != 1,
112 "dimension==1 not allowed");
113
114 SequenceStatistics::reset(dimension);
115
116 adiscr_ = 0.0;
117 bdiscr_ = 1.0/std::pow(x: 2.0, y: Integer(dimension-1));
118 cdiscr_ = 0.0;
119 ddiscr_ = 1.0/std::pow(x: 3.0, y: Integer(dimension));
120 }
121
122}
123
124
125#endif
126

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