PLearn 0.1
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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 :