public double Process(ISGTimeDiscreteSignalSource <Point <int>, PointDouble, double> source)
{
double vola = 0;
double average = 0;
for (int i = 0; i < NumStepsBack; i++)
{
int indexInner = LastValueIndex - NumStepsBack + i;
double valAtPosInner = source.ValueAt(new Point <int>(1)
{
Values = new[] { indexInner }
}).Values[0];
average += valAtPosInner;
}
average = average / (NumStepsBack - 1);
for (int i = 0; i < NumStepsBack; i++)
{
int index = LastValueIndex - NumStepsBack + i;
double valAtPos = source.ValueAt(new Point <int>(1)
{
Values = new[] { index }
}).Values[0];
vola += (valAtPos - average) * (valAtPos - average);
}
return(vola / (NumStepsBack - 1));
}
public SG1DTimeDiscreteValueContinousSignalSource Process(ISGTimeDiscreteSignalSource <Point1DDiscrete, PointContinous1D, double> source)
{
var output = new SG1DTimeDiscreteValueContinousSignalSource();
for (int i = 0; i < SignalLength; i++)
{
output.PointContinous1Ds.Add(new PointContinous1D(TransformAt(i, source)));
}
return(output);
}
private double TransformAt(int pos, ISGTimeDiscreteSignalSource <Point1DDiscrete, PointContinous1D, double> source)
{
double real = 0;
double img = 0;
for (int i = 0; i < SignalLength; i++)
{
double valAtI = source.ValueAt(new Point1DDiscrete(i)).X;
real += valAtI * Math.Cos(2 * Math.PI * i * pos / SignalLength);
img -= valAtI * Math.Sin(2 * Math.PI * i * pos / SignalLength);
}
return(real * real + img * img);
}
public double GetVola(ISGTimeDiscreteSignalSource <Point <int>, PointDouble, double> source, double deltaTime)
{
return(Math.Sqrt(Process(source) / deltaTime) / NumStepsBack);
}
public double GetVariance(ISGTimeDiscreteSignalSource <Point <int>, PointDouble, double> source)
{
return(Process(source) / NumStepsBack);
}
public SGDForwarderivativeProcessor(ISGTimeDiscreteSignalSource <Point <int>, PointDouble, double> input)
{
_inputSignal = input;
}
