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hurst_test_base.cpp

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#include <math.h>
#include <stdio.h>
#include <string.h>
#include "hurst_test_base.h"

hurst_test_base::equityEntry hurst_test_base::equityTable_[] = 
{ hurst_test_base::equityEntry( "Alcoa",        "aa",   "aa.csv" ),
  hurst_test_base::equityEntry( "Applied Mat.", "amat", "amat.csv"),
  hurst_test_base::equityEntry( "Boeing",       "ba",   "ba.csv" ),
  hurst_test_base::equityEntry( "Capital One",  "cof",  "cof.csv" ),
  hurst_test_base::equityEntry( "GE",           "ge",   "ge.csv" ),
  hurst_test_base::equityEntry( "General Mills","gis",  "gis.csv"),
  hurst_test_base::equityEntry( "IBM Corp.",    "ibm",  "ibm.csv" ),
  hurst_test_base::equityEntry( "Intel",        "intc", "intc.csv" ),
  hurst_test_base::equityEntry( "3M Corp.",     "mmm",  "mmm.csv" ),
  hurst_test_base::equityEntry( "Merck",        "mrk",  "mrk.csv"),
  hurst_test_base::equityEntry( "Wal-Mart",     "wmt",  "wmt.csv"),
};

const size_t hurst_test_base::tableSize_ = 
                sizeof( hurst_test_base::equityTable_ ) / sizeof( hurst_test_base::equityEntry );

hurst_test_base::equityEntry &
hurst_test_base::findTableEntry( const char *ticker )
{
  for (size_t i = 0; equityTable_[i].ticker() != 0; i++) {
    if (strcmp(equityTable_[i].ticker(), ticker) == 0)
      break;
  } // for
  return equityTable_[i];
} // findTableEntry


size_t hurst_test_base::blockedLogReturn( const double *v,
                                          double *ret,
                                          const size_t N,
                                          const size_t block_size )
{
  size_t ix = 0;
  for (size_t i = block_size; i < N; i = i + block_size) {
    ret[ix] = log(v[i]) - log(v[i-block_size]);
    // printf("%4d %9.6f\n", ix, ret[ix] );
    ix++;
  }  
  // printf("\n\n");
  return ix;
}

size_t hurst_test_base::blockedPercentReturn( const double *v,
                                              double *ret,
                                              const size_t N,
                                              const size_t block_size )
{
  size_t ix = 0;
  for (size_t i = block_size; i < N; i = i + block_size) {
    ret[ix] = (v[i] - v[i-block_size]) / v[i-block_size];
    ix++;
  }  
  return ix;
}

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