Chris@102: ///////////////////////////////////////////////////////////////////////////////
Chris@102: // rolling_moment.hpp
Chris@102: // Copyright 2005 Eric Niebler.
Chris@102: // Copyright (C) 2014 Pieter Bastiaan Ober (Integricom).
Chris@102: // Distributed under the Boost Software License, Version 1.0.
Chris@102: // (See accompanying file LICENSE_1_0.txt or copy at
Chris@102: // http://www.boost.org/LICENSE_1_0.txt)
Chris@102: 
Chris@102: #ifndef BOOST_ACCUMULATORS_STATISTICS_ROLLING_MOMENT_HPP_EAN_27_11_2005
Chris@102: #define BOOST_ACCUMULATORS_STATISTICS_ROLLING_MOMENT_HPP_EAN_27_11_2005
Chris@102: 
Chris@102: #include <boost/config/no_tr1/cmath.hpp>
Chris@102: #include <boost/mpl/int.hpp>
Chris@102: #include <boost/mpl/assert.hpp>
Chris@102: #include <boost/mpl/placeholders.hpp>
Chris@102: #include <boost/accumulators/framework/accumulator_base.hpp>
Chris@102: #include <boost/accumulators/framework/extractor.hpp>
Chris@102: #include <boost/accumulators/numeric/functional.hpp>
Chris@102: #include <boost/accumulators/framework/parameters/sample.hpp>
Chris@102: #include <boost/accumulators/framework/depends_on.hpp>
Chris@102: #include <boost/accumulators/statistics_fwd.hpp>
Chris@102: #include <boost/accumulators/statistics/moment.hpp>
Chris@102: #include <boost/accumulators/statistics/rolling_count.hpp>
Chris@102: 
Chris@102: namespace boost { namespace accumulators
Chris@102: {
Chris@102: namespace impl
Chris@102: {
Chris@102:     ///////////////////////////////////////////////////////////////////////////////
Chris@102:     // rolling_moment_impl
Chris@102:     template<typename N, typename Sample>
Chris@102:     struct rolling_moment_impl
Chris@102:       : accumulator_base
Chris@102:     {
Chris@102:         BOOST_MPL_ASSERT_RELATION(N::value, >, 0);
Chris@102:         // for boost::result_of
Chris@102:         typedef typename numeric::functional::fdiv<Sample, std::size_t,void,void>::result_type result_type;
Chris@102: 
Chris@102:         template<typename Args>
Chris@102:         rolling_moment_impl(Args const &args)
Chris@102:           : sum_(args[sample | Sample()])
Chris@102:         {
Chris@102:         }
Chris@102: 
Chris@102:         template<typename Args>
Chris@102:         void operator ()(Args const &args)
Chris@102:         {
Chris@102:             if(is_rolling_window_plus1_full(args))
Chris@102:             {
Chris@102:                 this->sum_ -= numeric::pow(rolling_window_plus1(args).front(), N());
Chris@102:             }
Chris@102:             this->sum_ += numeric::pow(args[sample], N());
Chris@102:         }
Chris@102: 
Chris@102:         template<typename Args>
Chris@102:         result_type result(Args const &args) const
Chris@102:         {
Chris@102:             return numeric::fdiv(this->sum_, rolling_count(args));
Chris@102:         }
Chris@102: 
Chris@102:     private:
Chris@102:         result_type sum_;
Chris@102:     };
Chris@102: } // namespace impl
Chris@102: 
Chris@102: ///////////////////////////////////////////////////////////////////////////////
Chris@102: // tag::rolling_moment
Chris@102: //
Chris@102: namespace tag
Chris@102: {
Chris@102:     template<int N>
Chris@102:     struct rolling_moment
Chris@102:       : depends_on< rolling_window_plus1, rolling_count>
Chris@102:     {
Chris@102:         /// INTERNAL ONLY
Chris@102:         ///
Chris@102:         typedef accumulators::impl::rolling_moment_impl<mpl::int_<N>, mpl::_1> impl;
Chris@102: 
Chris@102:         #ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED
Chris@102:         /// tag::rolling_window::window_size named parameter
Chris@102:         static boost::parameter::keyword<tag::rolling_window_size> const window_size;
Chris@102:         #endif
Chris@102:     };
Chris@102: }
Chris@102: 
Chris@102: ///////////////////////////////////////////////////////////////////////////////
Chris@102: // extract::rolling_moment
Chris@102: //
Chris@102: namespace extract
Chris@102: {
Chris@102:     BOOST_ACCUMULATORS_DEFINE_EXTRACTOR(tag, rolling_moment, (int))
Chris@102: }
Chris@102: 
Chris@102: using extract::rolling_moment;
Chris@102: 
Chris@102: // There is no weighted_rolling_moment (yet)...
Chris@102: //
Chris@102: //// So that rolling_moment<N> can be automatically substituted with
Chris@102: //// weighted_rolling_moment<N> when the weight parameter is non-void
Chris@102: //template<int N>
Chris@102: //struct as_weighted_feature<tag::rolling_moment<N> >
Chris@102: //{
Chris@102: //    typedef tag::weighted_rolling_moment<N> type;
Chris@102: //};
Chris@102: //
Chris@102: //template<int N>
Chris@102: //struct feature_of<tag::weighted_rolling_moment<N> >
Chris@102: //  : feature_of<tag::rolling_moment<N> >
Chris@102: //{
Chris@102: //};
Chris@102: }} // namespace boost::accumulators
Chris@102: 
Chris@102: #endif