PLearn::FinancePreprocVMatrix Class Reference

#include <FinancePreprocVMatrix.h>

Inheritance diagram for PLearn::FinancePreprocVMatrix:

[legend]Collaboration diagram for PLearn::FinancePreprocVMatrix:

[legend]List of all members.

Public Member Functions
	FinancePreprocVMatrix ()
	a row buffer for the getRow method
	FinancePreprocVMatrix (VMat vm, TVec< string > the_asset_names, bool add_tradable_info=true, bool add_last_day=false, bool add_moving_average_stats=false, bool add_roll_over_info=false, int threshold=20, TVec< string > the_price_tags=TVec< string >(), TVec< int > moving_average_window_length=TVec< int >(), string the_volume_tag="volume:level", string the_date_tag="Date", string the_expiration_tag="expiration-date", int the_last_day_cutoff=0, bool last_date_is_a_last_day=false)
	Simple constructor: takes as input only the underlying matrix, the number of assets and the threshold on the volume.
virtual void	build ()
	Should call simply inherited::build(), then this class's build_().
virtual void	makeDeepCopyFromShallowCopy (map< const void *, void * > &copies)
	Transforms a shallow copy into a deep copy.
	PLEARN_DECLARE_OBJECT (FinancePreprocVMatrix)
	Declares name and deepCopy methods.
Public Attributes
VMat	underlying
TVec< string >	asset_name
	the underlying vmat
bool	add_tradable
	all the asset names
bool	add_last_day_of_month
	do we include the information telling if this day is tradable or not
bool	add_moving_average
	do we include the information about the last tradable day of the month
bool	add_rollover_info
	do we include the moving average statistics on the price_tag indexes
int	min_volume_threshold
	add a column with '1' when the rollover occur (new expiration date)
TVec< string >	prices_tag
	tradable = 1 if volume>min_volume_threshold
TVec< int >	moving_average_window
	all the price tags on which we want to compute the moving average (e.g. close:level)
string	volume_tag
	the window size of the moving average
string	date_tag
	"volume" by default
string	expiration_tag
	"Date" by default. Only used if add_last_day_of_month==true
int	last_day_cutoff
	"expiration-date" by default. Only used if add_rollover_info==true
bool	last_date_is_last_day
	0 by default (last day of month). Set last_day=15 to simulate last_day_of_month as the 15 of each month
Protected Member Functions
void	setVMFields ()
virtual void	getNewRow (int i, const Vec &v) const
	This is the only method requiring implementation in subclasses.
Static Protected Member Functions
void	declareOptions (OptionList &ol)
	Declares this class' options.
Protected Attributes
TVec< int >	volume_index
	is the last day a last day of month? (default=false)
TVec< int >	price_index
	the indexes (in the vmat) of all the volume columns
TVec< int >	expiration_index
	the indexes of all the prices on which we want to compute some stats
Vec	last_day_of_month_index
	the index of the expiration-date (related to the expiration_tag)
int	max_moving_average_window
	the index of all the last tradable day of the month, base on the date column of the underlying matrix
TVec< TVec< int > >	rollover_date
	the maximum value of moving_average_window
Vec	row_buffer
	the position (date) of all rollover
Private Types
typedef RowBufferedVMatrix	inherited
Private Member Functions
void	build_ ()
	This does the actual building.

---

Member Typedef Documentation

typedef RowBufferedVMatrix PLearn::FinancePreprocVMatrix::inherited [private]

Reimplemented from PLearn::RowBufferedVMatrix. Definition at line 52 of file FinancePreprocVMatrix.h. Referenced by FinancePreprocVMatrix().

---

Constructor & Destructor Documentation

PLearn::FinancePreprocVMatrix::FinancePreprocVMatrix (   )

a row buffer for the getRow method Definition at line 50 of file FinancePreprocVMatrix.cc. References inherited.

PLearn::FinancePreprocVMatrix::FinancePreprocVMatrix (  VMat  vm, TVec< string >  the_asset_names, bool  add_tradable_info = true, bool  add_last_day = false, bool  add_moving_average_stats = false, bool  add_roll_over_info = false, int  threshold = 20, TVec< string >  the_price_tags = TVec< string >(), TVec< int >  moving_average_window_length = TVec< int >(), string  the_volume_tag = "volume:level", string  the_date_tag = "Date", string  the_expiration_tag = "expiration-date", int  the_last_day_cutoff = 0, bool  last_date_is_a_last_day = false )

Simple constructor: takes as input only the underlying matrix, the number of assets and the threshold on the volume. Definition at line 55 of file FinancePreprocVMatrix.cc. References build().

---

Member Function Documentation

void PLearn::FinancePreprocVMatrix::build (   )  [virtual]

Should call simply inherited::build(), then this class's build_(). This method should be callable again at later times, after modifying some option fields to change the "architecture" of the object. Reimplemented from PLearn::VMatrix. Definition at line 305 of file FinancePreprocVMatrix.cc. References build_(). Referenced by FinancePreprocVMatrix().

void PLearn::FinancePreprocVMatrix::build_ (   )  [private]

This does the actual building. Reimplemented from PLearn::VMatrix. Definition at line 217 of file FinancePreprocVMatrix.cc. References add_last_day_of_month, add_moving_average, add_rollover_info, add_tradable, PLearn::TVec< TVec< int > >::append(), PLearn::TVec< T >::append(), asset_name, date_tag, expiration_index, expiration_tag, PLearn::is_missing(), k, last_date_is_last_day, last_day_cutoff, last_day_of_month_index, PLearn::VMat::length(), PLearn::max(), max_moving_average_window, PLearn::PDate::month, moving_average_window, price_index, prices_tag, PLearn::TVec< TVec< int > >::resize(), PLearn::TVec< int >::resize(), rollover_date, PLearn::VMatrix::saveFieldInfos(), setVMFields(), PLearn::TVec< int >::size(), PLearn::TVec< string >::size(), underlying, volume_index, volume_tag, and PLearn::VMat::width(). Referenced by build().

void PLearn::FinancePreprocVMatrix::declareOptions (  OptionList &  ol  )  [static, protected]

Declares this class' options. Reimplemented from PLearn::VMatrix. Definition at line 130 of file FinancePreprocVMatrix.cc. References PLearn::declareOption(), and PLearn::OptionList.

void PLearn::FinancePreprocVMatrix::getNewRow (  int  i, const Vec &  v )  const [protected, virtual]

This is the only method requiring implementation in subclasses. Implements PLearn::RowBufferedVMatrix. Definition at line 76 of file FinancePreprocVMatrix.cc. References add_last_day_of_month, add_moving_average, add_rollover_info, add_tradable, asset_name, PLearn::TVec< T >::contains(), PLearn::TVec< TVec< int > >::find(), PLearn::is_missing(), k, last_day_of_month_index, PLearn::TVec< T >::length(), PLearn::TVec< string >::length(), MAX, max_moving_average_window, PLearn::mean(), MIN, min_volume_threshold, moving_average_window, price_index, prices_tag, rollover_date, row_buffer, PLearn::TVec< int >::size(), PLearn::TVec< string >::size(), PLearn::TVec< T >::subVec(), underlying, PLearn::Vec, volume_index, and PLearn::VMat::width().

void PLearn::FinancePreprocVMatrix::makeDeepCopyFromShallowCopy (  map< const void *, void * > &  copies  )  [virtual]

Transforms a shallow copy into a deep copy. Reimplemented from PLearn::RowBufferedVMatrix. Definition at line 311 of file FinancePreprocVMatrix.cc. References asset_name, PLearn::deepCopyField(), expiration_index, moving_average_window, price_index, prices_tag, and volume_index.

PLearn::FinancePreprocVMatrix::PLEARN_DECLARE_OBJECT (  FinancePreprocVMatrix   )

Declares name and deepCopy methods.

void PLearn::FinancePreprocVMatrix::setVMFields (   )  [protected]

Definition at line 172 of file FinancePreprocVMatrix.cc. References add_last_day_of_month, add_moving_average, add_rollover_info, add_tradable, asset_name, k, moving_average_window, prices_tag, PLearn::TVec< int >::size(), PLearn::TVec< string >::size(), PLearn::TVec< T >::size(), PLearn::tostring(), underlying, and PLearn::VMat::width(). Referenced by build_().

---

Member Data Documentation

bool PLearn::FinancePreprocVMatrix::add_last_day_of_month

do we include the information telling if this day is tradable or not Definition at line 59 of file FinancePreprocVMatrix.h. Referenced by build_(), getNewRow(), and setVMFields().

bool PLearn::FinancePreprocVMatrix::add_moving_average

do we include the information about the last tradable day of the month Definition at line 60 of file FinancePreprocVMatrix.h. Referenced by build_(), getNewRow(), and setVMFields().

bool PLearn::FinancePreprocVMatrix::add_rollover_info

do we include the moving average statistics on the price_tag indexes Definition at line 61 of file FinancePreprocVMatrix.h. Referenced by build_(), getNewRow(), and setVMFields().

bool PLearn::FinancePreprocVMatrix::add_tradable

all the asset names Definition at line 58 of file FinancePreprocVMatrix.h. Referenced by build_(), getNewRow(), and setVMFields().

TVec<string> PLearn::FinancePreprocVMatrix::asset_name

the underlying vmat Definition at line 57 of file FinancePreprocVMatrix.h. Referenced by build_(), getNewRow(), makeDeepCopyFromShallowCopy(), and setVMFields().

string PLearn::FinancePreprocVMatrix::date_tag

"volume" by default Definition at line 66 of file FinancePreprocVMatrix.h. Referenced by build_().

TVec<int> PLearn::FinancePreprocVMatrix::expiration_index [protected]

the indexes of all the prices on which we want to compute some stats Definition at line 75 of file FinancePreprocVMatrix.h. Referenced by build_(), and makeDeepCopyFromShallowCopy().

string PLearn::FinancePreprocVMatrix::expiration_tag

"Date" by default. Only used if add_last_day_of_month==true Definition at line 67 of file FinancePreprocVMatrix.h. Referenced by build_().

bool PLearn::FinancePreprocVMatrix::last_date_is_last_day

0 by default (last day of month). Set last_day=15 to simulate last_day_of_month as the 15 of each month Definition at line 69 of file FinancePreprocVMatrix.h. Referenced by build_().

int PLearn::FinancePreprocVMatrix::last_day_cutoff

"expiration-date" by default. Only used if add_rollover_info==true Definition at line 68 of file FinancePreprocVMatrix.h. Referenced by build_().

Vec PLearn::FinancePreprocVMatrix::last_day_of_month_index [protected]

the index of the expiration-date (related to the expiration_tag) Definition at line 76 of file FinancePreprocVMatrix.h. Referenced by build_(), and getNewRow().

int PLearn::FinancePreprocVMatrix::max_moving_average_window [protected]

the index of all the last tradable day of the month, base on the date column of the underlying matrix Definition at line 77 of file FinancePreprocVMatrix.h. Referenced by build_(), and getNewRow().

int PLearn::FinancePreprocVMatrix::min_volume_threshold

add a column with '1' when the rollover occur (new expiration date) Definition at line 62 of file FinancePreprocVMatrix.h. Referenced by getNewRow().

TVec<int> PLearn::FinancePreprocVMatrix::moving_average_window

all the price tags on which we want to compute the moving average (e.g. close:level) Definition at line 64 of file FinancePreprocVMatrix.h. Referenced by build_(), getNewRow(), makeDeepCopyFromShallowCopy(), and setVMFields().

TVec<int> PLearn::FinancePreprocVMatrix::price_index [protected]

the indexes (in the vmat) of all the volume columns Definition at line 74 of file FinancePreprocVMatrix.h. Referenced by build_(), getNewRow(), and makeDeepCopyFromShallowCopy().

TVec<string> PLearn::FinancePreprocVMatrix::prices_tag

tradable = 1 if volume>min_volume_threshold Definition at line 63 of file FinancePreprocVMatrix.h. Referenced by build_(), getNewRow(), makeDeepCopyFromShallowCopy(), and setVMFields().

TVec< TVec<int> > PLearn::FinancePreprocVMatrix::rollover_date [protected]

the maximum value of moving_average_window Definition at line 78 of file FinancePreprocVMatrix.h. Referenced by build_(), and getNewRow().

Vec PLearn::FinancePreprocVMatrix::row_buffer [protected]

the position (date) of all rollover Definition at line 79 of file FinancePreprocVMatrix.h. Referenced by getNewRow().

VMat PLearn::FinancePreprocVMatrix::underlying

Definition at line 56 of file FinancePreprocVMatrix.h. Referenced by build_(), getNewRow(), and setVMFields().

TVec<int> PLearn::FinancePreprocVMatrix::volume_index [protected]

is the last day a last day of month? (default=false) Definition at line 73 of file FinancePreprocVMatrix.h. Referenced by build_(), getNewRow(), and makeDeepCopyFromShallowCopy().

string PLearn::FinancePreprocVMatrix::volume_tag

the window size of the moving average Definition at line 65 of file FinancePreprocVMatrix.h. Referenced by build_().

---

The documentation for this class was generated from the following files:

• FinancePreprocVMatrix.h
• FinancePreprocVMatrix.cc

---