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/*
* Parametrisation.h
*
* Created on: 13.05.2011
* Author: sven
*/
#ifndef PARAMETRISATION_H_
#define PARAMETRISATION_H_
#include <vector>
#include <map>
#include <string>
enum enCompany
{
nenDaimler = 0,
nenDeuBa,
nenFMC,
nenRWE,
nenSolarWorld,
// must be last entry
nenEndOfCompanies
};
enum enHoldingTime
{
nenOneDay = 1,
nenTenDays = 10
};
struct Stock
{
double mValue;
double mValueRelChangeOne;
double mValueRelChangeTen;
Stock()
:mValue(-99999999.9),mValueRelChangeOne(-99999999.9),mValueRelChangeTen(-99999999.9)
{}
void calcRelChange(const Stock& prev, const enHoldingTime& holdingTime)
{
switch (holdingTime)
{
case nenOneDay:
mValueRelChangeOne = ((mValue - prev.mValue) / prev.mValue) * 100.0;
break;
case nenTenDays:
mValueRelChangeTen = ((mValue - prev.mValue) / prev.mValue) * 100.0;
break;
default:
break;
}
}
};
struct StockPrices
{
StockPrices()
:mStock(nenEndOfCompanies) {}
std::string mDate;
unsigned mDayIdx;
std::vector<Stock> mStock;
void calcRelChanges(const StockPrices& prevDay, const enHoldingTime& holdingTime)
{
for (unsigned c = static_cast<unsigned>(nenDaimler) ; c < static_cast<unsigned>(nenEndOfCompanies); c++) {
mStock.at(c).calcRelChange(prevDay.mStock.at(c), holdingTime);
}
}
};
struct ArithAverages{
double mArithAverOneDay;
double mArithAverTenDays;
ArithAverages()
:mArithAverOneDay(0.0),mArithAverTenDays(0.0) {}
};
typedef std::vector< std::vector<double> > CovarianceMatrix;
typedef CovarianceMatrix CorrelationMatrix;
class Parametrisation {
public:
Parametrisation();
virtual ~Parametrisation();
void readCsvFile();
void calcRelChanges(const enHoldingTime& holdingTime);
void calcArithAverageVectors();
void calcCovarianceMatrices();
void calcCorrelationMatrices();
double getLastValue(const enCompany& comp) const
{
return mLastYearData.back().mStock.at(comp).mValue;
}
const CovarianceMatrix& getCovarianceMatrix(const enHoldingTime& holdingTime) const
{
switch (holdingTime)
{
case nenOneDay:
//return mCorrelationMatrixOneDay;
return mCovarinaceMatrixOneDay;
case nenTenDays:
//return mCorrelationMatrixTenDays;
return mCovarinaceMatrixTenDays;
default:
throw 17 ;
}
}
void getArithAverages(std::vector<double>& mu, const enHoldingTime holdingTime) const
{
unsigned c;
switch(holdingTime)
{
case nenOneDay:
for (c = nenDaimler; c < nenEndOfCompanies; c++)
{
mu.at(c) = mArithAverageVectors.at(c).mArithAverOneDay;
}
return;
case nenTenDays:
for (c = nenDaimler; c < nenEndOfCompanies; c++)
{
mu.at(c) = mArithAverageVectors.at(c).mArithAverTenDays;
}
return;
default:
throw 17;
}
}
const std::vector<StockPrices>& getStockPrices() const
{
return mLastYearData;
}
private:
const static char* msInputFilename;
std::vector< StockPrices > mLastYearData;
std::vector<ArithAverages> mArithAverageVectors;
std::vector<double> mStandardDeviationsOneDay;
std::vector<double> mStandardDeviationsTenDays;
CovarianceMatrix mCovarinaceMatrixOneDay;
CovarianceMatrix mCovarinaceMatrixTenDays;
CorrelationMatrix mCorrelationMatrixOneDay;
CorrelationMatrix mCorrelationMatrixTenDays;
void tokenize(const std::string& str, std::vector<std::string>& tokens, const std::string& delimiters = ";");
double toDouble(const std::string& str);
void dumpValues();
void dumpRelChanges(const enHoldingTime& holdingTime);
void dumpArithAverageVectors();
void dumpCovarianceMatrices();
void dumpCorrelationMatrices();
};
#endif /* PARAMETRISATION_H_ */
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