[QuantLibAddin-cvs] QuantLibAddin/qlo statistics.cpp, NONE, 1.1 statistics.hpp, NONE, 1.1 .cvsignore, 1.16, 1.17 riskstatistics.cpp, 1.1, NONE riskstatistics.hpp, 1.1, NONE

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3999/qlo

Modified Files:
	.cvsignore 
Added Files:
	statistics.cpp statistics.hpp 
Removed Files:
	riskstatistics.cpp riskstatistics.hpp 
Log Message:
typedef RiskStatistics Statistics;

--- riskstatistics.hpp DELETED ---

--- NEW FILE: statistics.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/statistics.hpp>

namespace QuantLibAddin {

    class Statistics : 
        public ObjHandler::LibraryObject<QuantLib::Statistics> {
    public:
        Statistics(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: statistics.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/statistics.hpp>

namespace QuantLibAddin {

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

            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());
            }
        }

}

--- riskstatistics.cpp DELETED ---

Index: .cvsignore
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** .cvsignore	17 Aug 2006 08:30:43 -0000	1.16
--- .cvsignore	28 Aug 2006 16:00:14 -0000	1.17
***************
*** 30,37 ****
  vo_randomsequencegenerator.*pp
  vo_ratehelpers.*pp
- vo_riskstatistics.*pp
  vo_schedule.*pp
  vo_sequencestatistics.*pp
  vo_shortratemodels.*pp
  vo_swap.*pp
  vo_swaption.*pp
--- 30,37 ----
  vo_randomsequencegenerator.*pp
  vo_ratehelpers.*pp
  vo_schedule.*pp
  vo_sequencestatistics.*pp
  vo_shortratemodels.*pp
+ vo_statistics.*pp
  vo_swap.*pp
  vo_swaption.*pp