/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

 Copyright (C) 2006 Joseph Wang

 This file is part of QuantLib, a free-software/open-source library

 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it

 under the terms of the QuantLib license.  You should have received a

 copy of the license along with this program; if not, please email

 <quantlib-dev@lists.sf.net>. The license is also available online at

 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT

 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS

 FOR A PARTICULAR PURPOSE.  See the license for more details.

*/

#include <ql/models/volatility/constantestimator.hpp>

namespace QuantLib {

    TimeSeries<Volatility>

    ConstantEstimator::calculate(const TimeSeries<Volatility>& volatilitySeries) {

        TimeSeries<Volatility> retval;

        const std::vector<Volatility> u = volatilitySeries.values();

        TimeSeries<Volatility>::const_iterator prev, next, cur, start;

        cur = volatilitySeries.begin();

        std::advance(cur, size_);

        // ICK.  This could probably be made a lot more efficient

        for (Size i=size_; i < volatilitySeries.size(); i++) {

            Size j;

            Real sumu2=0.0, sumu=0.0;

            for (j=i-size_; j <i; j++) {

                sumu += u[j];

                sumu2 += u[j]*u[j];

            }

            Real s = std::sqrt(sumu2/(Real)size_ - sumu*sumu / (Real) size_ /

                               (Real) (size_+1));

            retval[cur->first] = s;

            ++cur;

        }

        return retval;

    }

}