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Class optimization

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Miha
2024-10-27 16:11:08 -07:00
parent b2fcdda785
commit 6c67a0cf31
77 changed files with 2634 additions and 1455 deletions
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lib/volatility/Rv.cs
+33 -15
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@@ -1,4 +1,4 @@
using System;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -43,18 +43,23 @@ namespace QuanTAlib;
/// Note: Efficient implementation using rolling sums
/// </remarks>
public class Rv : AbstractBase
[SkipLocalsInit]
public sealed class Rv : AbstractBase
{
private readonly int Period;
private readonly bool IsAnnualized;
private readonly CircularBuffer _returns;
private double _previousClose;
private double _sumSquaredReturns;
private const int TradingDaysPerYear = 252;
private const double Epsilon = 1e-10;
private const bool DefaultIsAnnualized = true;
/// <param name="period">The number of periods for volatility calculation.</param>
/// <param name="isAnnualized">Whether to annualize the result (default true).</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 2.</exception>
public Rv(int period, bool isAnnualized = true)
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Rv(int period, bool isAnnualized = DefaultIsAnnualized)
{
if (period < 2)
{
@@ -72,12 +77,14 @@ public class Rv : AbstractBase
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of periods for volatility calculation.</param>
/// <param name="isAnnualized">Whether to annualize the result (default true).</param>
public Rv(object source, int period, bool isAnnualized = true) : this(period, isAnnualized)
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Rv(object source, int period, bool isAnnualized = DefaultIsAnnualized) : this(period, isAnnualized)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
@@ -86,6 +93,7 @@ public class Rv : AbstractBase
_sumSquaredReturns = 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -95,36 +103,46 @@ public class Rv : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double CalculateLogReturn(double currentPrice, double previousPrice)
{
return previousPrice > Epsilon ? Math.Log(currentPrice / previousPrice) : 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double CalculateVolatility(double sumSquaredReturns, int period, bool isAnnualized)
{
double variance = sumSquaredReturns / period;
double volatility = Math.Sqrt(variance);
return isAnnualized ? volatility * Math.Sqrt(TradingDaysPerYear) : volatility;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
protected override double Calculation()
{
ManageState(Input.IsNew);
double volatility = 0;
if (_previousClose != 0)
if (_previousClose > Epsilon)
{
// Calculate log return
double logReturn = Math.Log(Input.Value / _previousClose);
double logReturn = CalculateLogReturn(Input.Value, _previousClose);
if (_returns.Count == Period)
{
// Maintain rolling sum by removing oldest squared return
_sumSquaredReturns -= Math.Pow(_returns[0], 2);
double oldReturn = _returns[0];
_sumSquaredReturns -= oldReturn * oldReturn;
}
// Add new return and update sum
_returns.Add(logReturn, Input.IsNew);
_sumSquaredReturns += Math.Pow(logReturn, 2);
_sumSquaredReturns += logReturn * logReturn;
if (_returns.Count == Period)
{
// Calculate realized volatility
double variance = _sumSquaredReturns / Period;
volatility = Math.Sqrt(variance);
if (IsAnnualized)
{
volatility *= Math.Sqrt(252); // Annualize using trading days
}
volatility = CalculateVolatility(_sumSquaredReturns, Period, IsAnnualized);
}
}