PLearn 0.1
FinancePreprocVMatrix.h
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00001 
00002 // -*- C++ -*-
00003 
00004 // FinancePreprocVMatrix.h
00005 //
00006 // Copyright (C) 2003  Rejean Ducharme
00007 //
00008 // Redistribution and use in source and binary forms, with or without
00009 // modification, are permitted provided that the following conditions are met:
00010 //
00011 //  1. Redistributions of source code must retain the above copyright
00012 //     notice, this list of conditions and the following disclaimer.
00013 //
00014 //  2. Redistributions in binary form must reproduce the above copyright
00015 //     notice, this list of conditions and the following disclaimer in the
00016 //     documentation and/or other materials provided with the distribution.
00017 //
00018 //  3. The name of the authors may not be used to endorse or promote
00019 //     products derived from this software without specific prior written
00020 //     permission.
00021 //
00022 // THIS SOFTWARE IS PROVIDED BY THE AUTHORS ``AS IS'' AND ANY EXPRESS OR
00023 // IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES
00024 // OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN
00025 // NO EVENT SHALL THE AUTHORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
00026 // SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED
00027 // TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
00028 // PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
00029 // LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
00030 // NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
00031 // SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
00032 //
00033 // This file is part of the PLearn library. For more information on the PLearn
00034 // library, go to the PLearn Web site at www.plearn.org
00035 
00036 /* *******************************************************
00037  * $Id: FinancePreprocVMatrix.h 5557 2006-05-10 20:36:58Z lamblin $
00038  ******************************************************* */
00039 
00041 #ifndef FinancePreprocVMatrix_INC
00042 #define FinancePreprocVMatrix_INC
00043 
00044 #include "SourceVMatrix.h"
00045 #include "VMat.h"
00046 
00047 namespace PLearn {
00048 using namespace std;
00049 
00050 class FinancePreprocVMatrix: public SourceVMatrix
00051 {
00052     typedef SourceVMatrix inherited;
00053 
00054 public:
00055 
00056     TVec<string> asset_name; 
00057 
00059     bool add_tradable;
00060 
00062     bool add_last_day_of_month;
00063 
00065     bool add_moving_average;
00066 
00068     bool add_rollover_info;
00069 
00071     int min_volume_threshold;
00072 
00075     TVec<string> prices_tag;
00076 
00078     TVec<int> moving_average_window;
00079 
00080     string volume_tag; 
00081 
00083     string date_tag;
00084 
00086     string expiration_tag;
00087 
00090     int last_day_cutoff;
00091 
00093     bool last_date_is_last_day;
00094 
00095 protected:
00096 
00098     TVec<int> volume_index;
00099 
00101     TVec<int> price_index;
00102 
00104     TVec<int> expiration_index;
00105 
00108     Vec last_day_of_month_index;
00109 
00111     int max_moving_average_window;
00112 
00113     TVec< TVec<int> > rollover_date; 
00114     Vec row_buffer; 
00115 
00116 public:
00117 
00118     // ****************
00119     // * Constructors *
00120     // ****************
00121 
00122     // Default constructor, make sure the implementation in the .cc
00123     // initializes all fields to reasonable default values.
00124     FinancePreprocVMatrix();
00125 
00128     FinancePreprocVMatrix(VMat the_source, TVec<string> the_asset_names,
00129                           bool add_tradable_info=true, bool add_last_day=false,
00130                           bool add_moving_average_stats=false,
00131                           bool add_roll_over_info=false,
00132                           int threshold=20,
00133                           TVec<string> the_price_tags=TVec<string>(),
00134                           TVec<int> moving_average_window_length=TVec<int>(),
00135                           string the_volume_tag="volume:level",
00136                           string the_date_tag="Date",
00137                           string the_expiration_tag="expiration-date",
00138                           int the_last_day_cutoff=0,
00139                           bool last_date_is_a_last_day=false);
00140 
00141     // ******************
00142     // * Object methods *
00143     // ******************
00144 
00145 private:
00147     // (Please implement in .cc)
00148     void build_();
00149 
00150 protected:
00152     // (Please implement in .cc)
00153     static void declareOptions(OptionList& ol);
00154 
00155     void setVMFields();
00156 
00157     virtual void getNewRow(int i, const Vec& v) const;
00158 
00159 public:
00160 
00161     // simply calls inherited::build() then build_()
00162     virtual void build();
00163 
00165     virtual void makeDeepCopyFromShallowCopy(CopiesMap& copies);
00166 
00168     PLEARN_DECLARE_OBJECT(FinancePreprocVMatrix);
00169 };
00170 DECLARE_OBJECT_PTR(FinancePreprocVMatrix);
00171 
00172 } // end of namespace PLearn
00173 #endif
00174 
00175 
00176 /*
00177   Local Variables:
00178   mode:c++
00179   c-basic-offset:4
00180   c-file-style:"stroustrup"
00181   c-file-offsets:((innamespace . 0)(inline-open . 0))
00182   indent-tabs-mode:nil
00183   fill-column:79
00184   End:
00185 */
00186 // vim: filetype=cpp:expandtab:shiftwidth=4:tabstop=8:softtabstop=4:encoding=utf-8:textwidth=79 :
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