addSequence (3) - Linux Manuals

addSequence: statistics class with convergence table

NAME

QuantLib::ConvergenceStatistics - statistics class with convergence table

SYNOPSIS

#include <ql/math/statistics/convergencestatistics.hpp>

Inherits T.

Public Types

typedef T::value_type value_type

typedef std::vector< std::pair< Size, value_type > > table_type

Public Member Functions

ConvergenceStatistics (const T &stats, const U &rule=U())

ConvergenceStatistics (const U &rule=U())

void add (const value_type &value, Real weight=1.0)

template<class DataIterator > void addSequence (DataIterator begin, DataIterator end)

template<class DataIterator , class WeightIterator > void addSequence (DataIterator begin, DataIterator end, WeightIterator wbegin)

void reset ()

const std::vector< std::pair< Size, value_type > > & convergenceTable () const

Detailed Description

template<class T, class U = DoublingConvergenceSteps> class QuantLib::ConvergenceStatistics< T, U >

This class decorates another statistics class adding a convergence table calculation. The table tracks the convergence of the mean.

It is possible to specify the number of samples at which the mean should be stored by mean of the second template parameter; the default is to store $ 2^{n-1} $ samples at the $ n $-th step. Any passed class must implement the following interface:

        Size initialSamples() const;
        Size nextSamples(Size currentSamples) const;

 as well as a copy constructor.

Tests

results are tested against known good values.

Author

Generated automatically by Doxygen for QuantLib from the source code.