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move accumulator template instantiation to cpp
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@pcaspers
pcaspers committed Sep 23, 2023
1 parent 1a17a42 commit 8a971b7
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Showing 3 changed files with 66 additions and 48 deletions.
1 change: 1 addition & 0 deletions ql/math/statistics/histogram.cpp
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Expand Up @@ -17,6 +17,7 @@
FOR A PARTICULAR PURPOSE. See the license for more details.
*/

#include <ql/errors.hpp>
#include <ql/math/statistics/histogram.hpp>
#include <ql/math/statistics/incrementalstatistics.hpp>
#include <ql/math/comparison.hpp>
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77 changes: 60 additions & 17 deletions ql/math/statistics/incrementalstatistics.cpp
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Expand Up @@ -19,29 +19,68 @@
FOR A PARTICULAR PURPOSE. See the license for more details.
*/

#include <ql/errors.hpp>
#include <ql/math/statistics/incrementalstatistics.hpp>
#include <iomanip>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics/stats.hpp>
#include <boost/accumulators/statistics/count.hpp>
#include <boost/accumulators/statistics/sum.hpp>
#include <boost/accumulators/statistics/min.hpp>
#include <boost/accumulators/statistics/max.hpp>
#include <boost/accumulators/statistics/weighted_mean.hpp>
#include <boost/accumulators/statistics/weighted_variance.hpp>
#include <boost/accumulators/statistics/weighted_skewness.hpp>
#include <boost/accumulators/statistics/weighted_kurtosis.hpp>
#include <boost/accumulators/statistics/weighted_moment.hpp>

namespace QuantLib {

class IncrementalStatistics::accumulator_set
: public boost::accumulators::accumulator_set<
Real,
boost::accumulators::stats<boost::accumulators::tag::count,
boost::accumulators::tag::min,
boost::accumulators::tag::max,
boost::accumulators::tag::weighted_mean,
boost::accumulators::tag::weighted_variance,
boost::accumulators::tag::weighted_skewness,
boost::accumulators::tag::weighted_kurtosis,
boost::accumulators::tag::sum_of_weights>,
Real> {};

class IncrementalStatistics::downside_accumulator_set
: public boost::accumulators::accumulator_set<
Real,
boost::accumulators::stats<boost::accumulators::tag::count,
boost::accumulators::tag::weighted_moment<2>,
boost::accumulators::tag::sum_of_weights>,
Real> {};

IncrementalStatistics::IncrementalStatistics() {
reset();
}

IncrementalStatistics::~IncrementalStatistics() {
if (acc_)
delete acc_;
if (downsideAcc_)
delete downsideAcc_;
}

Size IncrementalStatistics::samples() const {
return boost::accumulators::extract_result<
boost::accumulators::tag::count>(acc_);
boost::accumulators::tag::count>(*acc_);
}

Real IncrementalStatistics::weightSum() const {
return boost::accumulators::extract_result<
boost::accumulators::tag::sum_of_weights>(acc_);
boost::accumulators::tag::sum_of_weights>(*acc_);
}

Real IncrementalStatistics::mean() const {
QL_REQUIRE(weightSum() > 0.0, "sampleWeight_= 0, unsufficient");
return boost::accumulators::extract_result<
boost::accumulators::tag::weighted_mean>(acc_);
boost::accumulators::tag::weighted_mean>(*acc_);
}

Real IncrementalStatistics::variance() const {
Expand All @@ -50,7 +89,7 @@ namespace QuantLib {
Real n = static_cast<Real>(samples());
return n / (n - 1.0) *
boost::accumulators::extract_result<
boost::accumulators::tag::weighted_variance>(acc_);
boost::accumulators::tag::weighted_variance>(*acc_);
}

Real IncrementalStatistics::standardDeviation() const {
Expand All @@ -68,20 +107,20 @@ namespace QuantLib {
Real r2 = (n - 1.0) / (n - 2.0);
return std::sqrt(r1 * r2) *
boost::accumulators::extract_result<
boost::accumulators::tag::weighted_skewness>(acc_);
boost::accumulators::tag::weighted_skewness>(*acc_);
}

Real IncrementalStatistics::kurtosis() const {
QL_REQUIRE(samples() > 3,
"sample number <= 3, unsufficient");
boost::accumulators::extract_result<
boost::accumulators::tag::weighted_kurtosis>(acc_);
boost::accumulators::tag::weighted_kurtosis>(*acc_);
Real n = static_cast<Real>(samples());
Real r1 = (n - 1.0) / (n - 2.0);
Real r2 = (n + 1.0) / (n - 3.0);
Real r3 = (n - 1.0) / (n - 3.0);
return ((3.0 + boost::accumulators::extract_result<
boost::accumulators::tag::weighted_kurtosis>(acc_)) *
boost::accumulators::tag::weighted_kurtosis>(*acc_)) *
r2 -
3.0 * r3) *
r1;
Expand All @@ -90,23 +129,23 @@ namespace QuantLib {
Real IncrementalStatistics::min() const {
QL_REQUIRE(samples() > 0, "empty sample set");
return boost::accumulators::extract_result<
boost::accumulators::tag::min>(acc_);
boost::accumulators::tag::min>(*acc_);
}

Real IncrementalStatistics::max() const {
QL_REQUIRE(samples() > 0, "empty sample set");
return boost::accumulators::extract_result<
boost::accumulators::tag::max>(acc_);
boost::accumulators::tag::max>(*acc_);
}

Size IncrementalStatistics::downsideSamples() const {
return boost::accumulators::extract_result<
boost::accumulators::tag::count>(downsideAcc_);
boost::accumulators::tag::count>(*downsideAcc_);
}

Real IncrementalStatistics::downsideWeightSum() const {
return boost::accumulators::extract_result<
boost::accumulators::tag::sum_of_weights>(downsideAcc_);
boost::accumulators::tag::sum_of_weights>(*downsideAcc_);
}

Real IncrementalStatistics::downsideVariance() const {
Expand All @@ -116,7 +155,7 @@ namespace QuantLib {
Real r1 = n / (n - 1.0);
return r1 *
boost::accumulators::extract_result<
boost::accumulators::tag::moment<2> >(downsideAcc_);
boost::accumulators::tag::moment<2> >(*downsideAcc_);
}

Real IncrementalStatistics::downsideDeviation() const {
Expand All @@ -126,14 +165,18 @@ namespace QuantLib {
void IncrementalStatistics::add(Real value, Real valueWeight) {
QL_REQUIRE(valueWeight >= 0.0, "negative weight (" << valueWeight
<< ") not allowed");
acc_(value, boost::accumulators::weight = valueWeight);
(*acc_)(value, boost::accumulators::weight = valueWeight);
if(value < 0.0)
downsideAcc_(value, boost::accumulators::weight = valueWeight);
(*downsideAcc_)(value, boost::accumulators::weight = valueWeight);
}

void IncrementalStatistics::reset() {
acc_ = accumulator_set();
downsideAcc_ = downside_accumulator_set();
if (acc_)
delete acc_;
if (downsideAcc_)
delete downsideAcc_;
acc_ = new accumulator_set;
downsideAcc_ = new downside_accumulator_set;
}

}
36 changes: 5 additions & 31 deletions ql/math/statistics/incrementalstatistics.hpp
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Expand Up @@ -29,18 +29,6 @@
#define quantlib_incremental_statistics_hpp

#include <ql/utilities/null.hpp>
#include <ql/errors.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics/stats.hpp>
#include <boost/accumulators/statistics/count.hpp>
#include <boost/accumulators/statistics/sum.hpp>
#include <boost/accumulators/statistics/min.hpp>
#include <boost/accumulators/statistics/max.hpp>
#include <boost/accumulators/statistics/weighted_mean.hpp>
#include <boost/accumulators/statistics/weighted_variance.hpp>
#include <boost/accumulators/statistics/weighted_skewness.hpp>
#include <boost/accumulators/statistics/weighted_kurtosis.hpp>
#include <boost/accumulators/statistics/weighted_moment.hpp>

namespace QuantLib {

Expand All @@ -54,6 +42,7 @@ namespace QuantLib {
public:
typedef Real value_type;
IncrementalStatistics();
~IncrementalStatistics();
//! \name Inspectors
//@{
//! number of samples collected
Expand Down Expand Up @@ -149,25 +138,10 @@ namespace QuantLib {
void reset();
//@}
private:
typedef boost::accumulators::accumulator_set<
Real,
boost::accumulators::stats<
boost::accumulators::tag::count, boost::accumulators::tag::min,
boost::accumulators::tag::max,
boost::accumulators::tag::weighted_mean,
boost::accumulators::tag::weighted_variance,
boost::accumulators::tag::weighted_skewness,
boost::accumulators::tag::weighted_kurtosis,
boost::accumulators::tag::sum_of_weights>,
Real> accumulator_set;
accumulator_set acc_;
typedef boost::accumulators::accumulator_set<
Real, boost::accumulators::stats<
boost::accumulators::tag::count,
boost::accumulators::tag::weighted_moment<2>,
boost::accumulators::tag::sum_of_weights>,
Real> downside_accumulator_set;
downside_accumulator_set downsideAcc_;
class accumulator_set;
class downside_accumulator_set;
accumulator_set* acc_;
downside_accumulator_set* downsideAcc_;
};

}
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