com.strategyquant.lib.snippets

Class CorrelationComputer

java.lang.Object

com.strategyquant.lib.snippets.CorrelationComputer

public class CorrelationComputer
extends java.lang.Object

The Class CorrelationComputer.

Field Summary

Fields

Modifier and Type	Field and Description
static int	ERROR_VALUE The Constant ERROR_VALUE.
static org.slf4j.Logger	Log The Constant Log.
java.lang.String[]	periods The periods.
TimePeriod	range The range.
double[]	values1 The values1.
double[]	values2 The values2.

Constructor Summary

Constructors

Constructor and Description
CorrelationComputer()

Method Summary

Modifier and Type	Method and Description
static double	calculateCorrelation(double[] valuesA, double[] valuesB) Calculate correlation.
double	computeCorrelation(int correlationPeriod, CorrelationType correlationType, boolean addEmptyPeriods, SQOrderList orderList1, SQOrderList orderList2) Compute correlation.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

Log

public static final org.slf4j.Logger Log

The Constant Log.

ERROR_VALUE

public static final int ERROR_VALUE

The Constant ERROR_VALUE.

See Also:

Constant Field Values

range

public TimePeriod range

The range.

periods

public java.lang.String[] periods

The periods.

values1

public double[] values1

The values1.

values2

public double[] values2

The values2.

Constructor Detail

CorrelationComputer

public CorrelationComputer()

Method Detail

computeCorrelation

public double computeCorrelation(int correlationPeriod,
                                 CorrelationType correlationType,
                                 boolean addEmptyPeriods,
                                 SQOrderList orderList1,
                                 SQOrderList orderList2)

Compute correlation.

Parameters:

correlationPeriod - the correlation period

correlationType - the correlation type

addEmptyPeriods - the add empty periods

orderList1 - the order list1

orderList2 - the order list2

Returns:

the double

calculateCorrelation

public static double calculateCorrelation(double[] valuesA,
                                          double[] valuesB)

Calculate correlation.

Parameters:

valuesA - the values a

valuesB - the values b

Returns:

the double