Re: [Quantlib-users] Class definition

[Amine I. <ami...@gm...>]

Hi Daniel,

These functions below are implemented using the (intelligent) MACRO design:

 #define DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(METHOD) \
    template <class Stat> \
    std::vector<Real> \
    GenericSequenceStatistics<Stat>::METHOD() const { \
        for (Size i=0; i<dimension_; i++) \
            results_[i] = stats_[i].METHOD(); \
        return results_; \
    }
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(mean)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(variance)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(standardDeviation)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(downsideVariance)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(downsideDeviation)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(semiVariance)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(semiDeviation)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(errorEstimate)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(skewness)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(kurtosis)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(min)
    DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(max)
    #undef DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID

And these methods METHOD() are defined here: ql/math/statistics/generalstatistics.cpp

Hope this helps.
Amine




> On 25 Aug 2020, at 11:25, Daniel Lobo <dan...@gm...> wrote:
> 
> Hi Quantlib experts -
> 
> I was looking at various implementation of the statistical tools here - 
> 
> https://github.com/lballabio/QuantLib/blob/master/ql/math/statistics/sequencestatistics.hpp <https://github.com/lballabio/QuantLib/blob/master/ql/math/statistics/sequencestatistics.hpp>
> 
> There implemented various methods and classes like -
> 
> 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;
> 
> and classes like Real() etc.
> 
> Can you please help to point the source files, where actual definitions and calculations are coded?
> 
> Really appreciate for your help and apologies if my question is really stupid.
> 
> Thanks and regards,
> 
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