/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.timeseries.filter; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import com.opengamma.analytics.financial.timeseries.analysis.DoubleTimeSeriesStatisticsCalculator; import com.opengamma.analytics.math.statistics.descriptive.MeanCalculator; import com.opengamma.analytics.math.statistics.descriptive.SampleStandardDeviationCalculator; import com.opengamma.timeseries.date.localdate.ImmutableLocalDateDoubleTimeSeries; import com.opengamma.timeseries.date.localdate.LocalDateDoubleEntryIterator; import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries; import com.opengamma.util.ArgumentChecker; /** * Filter that partitions the time-series points based on standard deviation. */ public class StandardDeviationDoubleTimeSeriesFilter extends TimeSeriesFilter { /** Logger. */ private static final Logger s_logger = LoggerFactory.getLogger(StandardDeviationDoubleTimeSeriesFilter.class); private static final LocalDateDoubleTimeSeries EMPTY_SERIES = ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES; private final DoubleTimeSeriesStatisticsCalculator _meanCalculator = new DoubleTimeSeriesStatisticsCalculator(new MeanCalculator()); private final DoubleTimeSeriesStatisticsCalculator _stdCalculator = new DoubleTimeSeriesStatisticsCalculator(new SampleStandardDeviationCalculator()); private double _standardDeviations; /** * Creates an instance. * * @param standardDeviations the standard deviations. zero or greater */ public StandardDeviationDoubleTimeSeriesFilter(final double standardDeviations) { if (standardDeviations < 0) { s_logger.info("Standard deviation was negative; using absolute value"); } _standardDeviations = Math.abs(standardDeviations); } //------------------------------------------------------------------------- public void setStandardDeviations(final double standardDeviations) { if (standardDeviations < 0) { s_logger.info("Standard deviation was negative; using absolute value"); } _standardDeviations = Math.abs(standardDeviations); } //------------------------------------------------------------------------- @Override public FilteredTimeSeries evaluate(final LocalDateDoubleTimeSeries ts) { ArgumentChecker.notNull(ts, "ts"); if (ts.isEmpty()) { s_logger.info("Time series was empty"); return new FilteredTimeSeries(EMPTY_SERIES, EMPTY_SERIES); } final double mean = _meanCalculator.evaluate(ts); final double std = _stdCalculator.evaluate(ts); final int n = ts.size(); final int[] filteredDates = new int[n]; final double[] filteredData = new double[n]; final int[] rejectedDates = new int[n]; final double[] rejectedData = new double[n]; final LocalDateDoubleEntryIterator it = ts.iterator(); int i = 0, j = 0; while (it.hasNext()) { int date = it.nextTimeFast(); double value = it.currentValue(); if (Math.abs(value - mean) > _standardDeviations * std) { rejectedDates[j] = date; rejectedData[j++] = value; } else { filteredDates[i] = date; filteredData[i++] = value; } } return getFilteredSeries(filteredDates, filteredData, i, rejectedDates, rejectedData, j); } }