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