TSSWRealizedVolatility.h

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 * Copyright(c) 2012, One Unified. All rights reserved.                 *
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#pragma once

#include <OUCommon/Delegate.h>

#include "TimeSeriesSlidingWindow.h"

namespace ou { // One Unified
namespace tf { // TradeFrame

// calculation from Intro HF Finance, pg 41
// page 43 has another version of realized volatility as the standard deviation fo the returns about the sample mean
//  which is not implemented here, due to extra computational complexity, but may have a viable solution based upon subsequent formulae
// the book indicates that Realized Volatility should be computed from a homogenous time series (top of page 44)
// delta T should be 15min to 2hr

class TSSWRealizedVolatility: 
  public TimeSeriesSlidingWindow<TSSWRealizedVolatility, Price>,
  public Prices
{
  friend TimeSeriesSlidingWindow<TSSWRealizedVolatility, Price>;
public:
  TSSWRealizedVolatility( Prices& prices, time_duration tdWindowWidth, double p );
  ~TSSWRealizedVolatility( void );
  void SetScaleFactor( time_duration tdScaledWidth ) { m_tdScaledWidth = tdScaledWidth; CalcScaleFactor(); };
  time_duration GetScaleFactor( void  ) { return m_tdScaledWidth; };
protected:
  void Add( const Price& price );
  void Expire( const Price& price );
  void PostUpdate( void );
private:
  unsigned int m_n;
  double m_dblSum;
  double m_dblP;
  ptime m_dt;
  time_duration m_tdScaledWidth;
  double m_dblScaleFactor;
  void CalcScaleFactor( void );
};

} // namespace tf
} // namespace ou