Initial Commit

MarketData/MarketDataLib/MarketDataModel/ExponentialDecay.cs

@@ -0,0 +1,35 @@
+using System;
+using System.Text;
+using System.Linq;
+using MarketData.Numerical;
+
+namespace MarketData.MarketDataModel
+{
+  public class ExponentialDecay
+  {
+    private double[] decays=null;
+    public ExponentialDecay()
+    {
+    }
+    public double this[int sample]
+    {
+      get{return decays[sample];}
+    }
+    public void Prime(float[] samples,double deviations=2.00)
+    {
+      double[]factors=new double[samples.Length];
+      decays=new double[samples.Length];
+      double stddev=Numerics.StdDev(ref samples);
+      for(int index=0,ordinal=samples.Length;index<samples.Length;index++,ordinal--)
+      {
+        factors[index]=(ordinal*ordinal)+(deviations*stddev);
+      }
+      double min=factors.Max();
+      double max=factors.Min();
+      for(int index=0;index<samples.Length;index++)
+      {
+        decays[index]=factors[index]*(100.00/(max-min))/100.00;
+      }
+    }
+  }
+}