TSDifferential.h

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 * Copyright(c) 2012, One Unified. All rights reserved.                 *
 * email: info@oneunified.net                                           *
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#pragma once

#include <boost/date_time/time_duration.hpp>

#include "TSEMA.h"

namespace ou { // One Unified
namespace tf { // TradeFrame
namespace hf { // high frequency

// gamma is 0.0: differential, used for generating return value of the time duration
// gamma is 0.5: stochastic diffusion process
// gamma is 1.0: the usual derivative

class TSDifferential: public Prices { // page 65 Intro to HF Finance
public:
  TSDifferential( Prices& series, time_duration dt );
  TSDifferential( Prices& series, time_duration dt, double dblGammaDerivative, time_duration dtNormalization = hours( 365 * 24 ) );
  TSDifferential( const TSDifferential& rhs );
  ~TSDifferential(void);
protected:
private:

  static const double m_gamma;
  static const double m_beta;
  static const double m_alpha;
  boost::posix_time::time_duration m_dtTimeRange;
  boost::posix_time::time_duration m_dtAlphaTau;
  boost::posix_time::time_duration m_dtAlphaBetaTau;
  double m_dblTerm1;
  double m_dblTerm2;

  bool m_bDerivative;
  time_duration m_dtNormalization;
  double m_dblNormalization;
  double m_dblGammaDerivative;
  Prices& m_seriesSource;

  TSEMA<Price>* m_pema1;
  TSEMA<Price>* m_pema2;
  TSEMA<Price>* m_pema3;
  TSEMA<Price>* m_pema4;
  TSEMA<Price>* m_pema5;
  TSEMA<Price>* m_pema6;

  void HandleTerm1Update( const Price& );
  void HandleTerm2Update( const Price& );
  void HandleTerm3Update( const Price& );
  void Init( void );
};

} // namespace hf
} // namespace tf
} // namespace ou