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Merge dev into main: v0.8.7 Kahan compensated summation

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Miha Kralj
2026-03-13 22:01:52 -07:00
parent 86a1db286c 67ad6f0cba
commit 9697facfb4
79 changed files with 2923 additions and 2495 deletions
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lib/volatility/ccv/Ccv.cs
+14 -15
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@@ -38,16 +38,13 @@ public sealed class Ccv : AbstractBase
[StructLayout(LayoutKind.Auto)]
private record struct State(
double Sum,
double SumSq,
double SumComp,
double PrevClose,
double LastValid,
double RawRma,
double E);
private State _state;
private State _p_state;
private const int ResyncInterval = 1000;
private int _tickCount;
private const double Epsilon = 1e-10;
/// <summary>
@@ -133,22 +130,25 @@ public sealed class Ccv : AbstractBase
if (isNew)
{
// Store the log return in buffer
// Kahan compensated sliding window update for Sum
if (_returnBuffer.Count == _returnBuffer.Capacity)
{
double oldest = _returnBuffer.Oldest;
_state.Sum -= oldest;
double delta = logReturn - oldest;
double y = delta - _state.SumComp;
double t = _state.Sum + y;
_state.SumComp = (t - _state.Sum) - y;
_state.Sum = t;
}
else
{
double y = logReturn - _state.SumComp;
double t = _state.Sum + y;
_state.SumComp = (t - _state.Sum) - y;
_state.Sum = t;
}
_state.Sum += logReturn;
_returnBuffer.Add(logReturn);
_state.PrevClose = close;
_tickCount++;
if (_returnBuffer.IsFull && _tickCount >= ResyncInterval)
{
_tickCount = 0;
RecalculateSums();
}
}
else
{
@@ -284,7 +284,6 @@ public sealed class Ccv : AbstractBase
_returnBuffer.Clear();
_state = new State(0.0, 0.0, double.NaN, 0.0, 0.0, 1.0);
_p_state = _state;
_tickCount = 0;
Last = default;
}