[QuantLibAddin-cvs] QuantLibAddin/qlo riskstatistics.cpp, NONE, 1.1 riskstatistics.hpp, NONE, 1.1

[Cristina D. <cdu...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11840/qlo

Added Files:
	riskstatistics.cpp riskstatistics.hpp 
Log Message:


--- NEW FILE: riskstatistics.hpp ---

/*
 Copyright (C) 2006 Ferdinando Ametrano
 Copyright (C) 2006 Duminuco Cristina

 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 qua...@li...
 The license is also available online at http://quantlib.org/html/license.html

 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 qla_riskstatistics_hpp
#define qla_riskstatistics_hpp

#include <oh/objhandler.hpp>
#include <ql/Math/riskstatistics.hpp>

namespace QuantLibAddin {

    class RiskStatistics : 
        public ObjHandler::LibraryObject<QuantLib::RiskStatistics> {
    public:
        RiskStatistics(std::vector<QuantLib::Real> values, 
                       std::vector<QuantLib::Real> weights);
    };


    #define TYPICAL_GAUSSIAN_2DOUBLE_STAT_FUNCTION(METHOD) \
    inline double METHOD(double mean, double stdDev) { \
        QuantLib::StatsHolder h(mean, stdDev); \
        QuantLib::GenericGaussianStatistics< QuantLib::StatsHolder > s(h); \
        return s.METHOD(); \
    }

    TYPICAL_GAUSSIAN_2DOUBLE_STAT_FUNCTION(gaussianDownsideVariance)
    TYPICAL_GAUSSIAN_2DOUBLE_STAT_FUNCTION(gaussianDownsideDeviation)



    #define TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(METHOD) \
    inline double METHOD(double x, double mean, double stdDev) { \
        QuantLib::StatsHolder h(mean, stdDev); \
        QuantLib::GenericGaussianStatistics< QuantLib::StatsHolder > s(h); \
        return s.METHOD(x); \
    }

    TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianRegret)
    TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianPercentile)
    TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianTopPercentile)
    TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianPotentialUpside)
    TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianValueAtRisk)
    TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianExpectedShortfall)
    TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianShortfall)
    TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianAverageShortfall)

}

#endif


--- NEW FILE: riskstatistics.cpp ---

/*
 Copyright (C) 2006 Ferdinando Ametrano

 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 qua...@li...
 The license is also available online at http://quantlib.org/html/license.html

 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.
*/

#if defined(HAVE_CONFIG_H)
    #include <qlo/config.hpp>
#endif
#include <qlo/riskstatistics.hpp>

namespace QuantLibAddin {

    RiskStatistics::RiskStatistics(std::vector<QuantLib::Real> values, 
                       std::vector<QuantLib::Real> weights)
        {               
            libraryObject_ = boost::shared_ptr<QuantLib::RiskStatistics>(
                new QuantLib::RiskStatistics());

            QL_REQUIRE(weights.size()==0 || values.size()==weights.size(),
                "Values and weights vectors must have the same number of elements.");

            if (values.size()!=0) {
                if (weights.size()!=0)
                    libraryObject_->addSequence(values.begin(),
                                                values.end(),
                                                weights.begin());
                else
                    libraryObject_->addSequence(values.begin(),
                                                values.end());
            }
        }

}