Create option pricing engine structure, test architecture.
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This commit is contained in:
David Doebel
2026-03-08 10:15:23 +01:00
parent 1c61e664b3
commit 08298439ea
47 changed files with 815 additions and 223 deletions

52
src/Statistics.cpp Normal file
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//
// Created by David Doebel on 06.03.2026.
//
#include "Statistics.hpp"
void Statistics::dump(double value) {
for (std::size_t i = 0; i < 3; ++i) {
moments_[i] += std::pow(value, i+1);
}
++n;
max_ = std::max(max_, value);
min_ = std::min(min_, value);
}
void Statistics::clear() {
n = 0;
moments_ = {0.,0.,0.};
}
double Statistics::mean() {
return moments_[0]/n;
}
double Statistics::variance() {
return moments_[1]/n - std::pow(mean(), 2);
}
double Statistics::standardDeviation() {
return std::sqrt(variance());
}
double Statistics::skewness() {
return moments_[2]/std::pow(n, 3);
}
double Statistics::max() {
return max_;
}
double Statistics::min() {
return min_;
}
double Statistics::sum() {
return moments_[0];
}
double Statistics::count() {
return n;
}