mcstatistics.cpp

C++ design pattern in finance. Must know for QF engineers

//
//
//
//                      MCStatistics.cpp
//
//

#include<MCStatistics.h>
using namespace std;

StatisticsMean::StatisticsMean()
    :
    RunningSum(0.0), PathsDone(0UL)
{
}
    
void StatisticsMean::DumpOneResult(double result)
{
    PathsDone++;
    RunningSum += result;
}

vector<vector<double> > StatisticsMean::GetResultsSoFar() const
{
    vector<vector<double> > Results(1);

    Results[0].resize(1);
    Results[0][0] = RunningSum / PathsDone;

    return Results;
}

StatisticsMC* StatisticsMean::clone() const
{
    return new StatisticsMean(*this);
}

/*
 *
 * Copyright (c) 2002
 * Mark Joshi
 *
 * Permission to use, copy, modify, distribute and sell this
 * software for any purpose is hereby
 * granted without fee, provided that the above copyright notice
 * appear in all copies and that both that copyright notice and
 * this permission notice appear in supporting documentation.
 * Mark Joshi makes no representations about the
 * suitability of this software for any purpose. It is provided
 * "as is" without express or implied warranty.
*/