sequencestatistics.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano
 Copyright (C) 2006 Cristina Duminuco
 
 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
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 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_sequencestatistics_hpp
#define qla_sequencestatistics_hpp
 
#include <oh/libraryobject.hpp>
#include <ql/types.hpp>
 
namespace QuantLib {
    class Matrix;
 
    class GeneralStatistics;
 
    template<class Stat>
    class GenericGaussianStatistics;
 
    typedef GenericGaussianStatistics<GeneralStatistics> GaussianStatistics;
 
    template <class S>
    class GenericRiskStatistics;
 
    typedef GenericRiskStatistics<GaussianStatistics> RiskStatistics;
 
    typedef RiskStatistics Statistics;
    class IncrementalStatistics;
 
    template <class StatisticsType>
    class GenericSequenceStatistics;
 
    typedef GenericSequenceStatistics<Statistics> SequenceStatistics;
    typedef GenericSequenceStatistics<IncrementalStatistics> SequenceStatisticsInc;
}
 
namespace QuantLibAddin {
 
    class SequenceStatistics : 
        public ObjectHandler::LibraryObject<QuantLib::SequenceStatistics> {
    public:
        SequenceStatistics(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            QuantLib::Size dimension,
            bool permanent);
        SequenceStatistics(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            QuantLib::Size dimension,
            const QuantLib::Matrix& values, 
            const std::vector<QuantLib::Real>& weights,
            bool permanent);
    };
 
    class SequenceStatisticsInc : 
        public ObjectHandler::LibraryObject<QuantLib::SequenceStatisticsInc> {
    public:
        SequenceStatisticsInc(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            QuantLib::Size dimension,
            bool permanent);
        SequenceStatisticsInc(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            QuantLib::Size dimension,
            const QuantLib::Matrix& values, 
            const std::vector<QuantLib::Real>& weights,
            bool permanent);
    };
 
}
 
#endif