// LOGTRANS: Natural Logarithm Transformer // Transforms values using natural logarithm (base e) using System.Runtime.CompilerServices; namespace QuanTAlib; /// /// LOGTRANS: Natural Logarithm Transformer /// Applies ln(x) transformation to input values. /// /// /// Key properties: /// - Compresses large values, expands small values /// - Useful for transforming multiplicative relationships to additive /// - Domain: x > 0 (non-positive inputs use last valid value) /// - Common in financial returns: ln(P_t / P_{t-1}) /// [SkipLocalsInit] public sealed class Logtrans : AbstractBase { private record struct State(double LastValid); private State _state, _p_state; public override bool IsHot => true; // No warmup needed public Logtrans() { Name = "Logtrans"; WarmupPeriod = 0; } /// /// Creates Logtrans with source for event-based chaining. /// /// Source indicator for chaining public Logtrans(ITValuePublisher source) : this() { source.Pub += HandleUpdate; } [MethodImpl(MethodImplOptions.AggressiveInlining)] private void HandleUpdate(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew); [MethodImpl(MethodImplOptions.AggressiveInlining)] public override TValue Update(TValue input, bool isNew = true) { if (isNew) { _p_state = _state; } else { _state = _p_state; } // Handle non-positive and non-finite values double value = input.Value; double result; if (double.IsFinite(value) && value > 0) { result = Math.Log(value); _state = new State(result); } else { result = _state.LastValid; } Last = new TValue(input.Time, result); PubEvent(Last, isNew); return Last; } public override TSeries Update(TSeries source) { var result = new TSeries(source.Count); ReadOnlySpan values = source.Values; ReadOnlySpan times = source.Times; for (int i = 0; i < source.Count; i++) { var tv = Update(new TValue(new DateTime(times[i], DateTimeKind.Utc), values[i]), true); result.Add(tv, true); } return result; } public override void Prime(ReadOnlySpan source, TimeSpan? step = null) { TimeSpan interval = step ?? TimeSpan.FromSeconds(1); DateTime time = DateTime.UtcNow - (interval * source.Length); for (int i = 0; i < source.Length; i++) { Update(new TValue(time, source[i]), true); time += interval; } } public static TSeries Batch(TSeries source) { var indicator = new Logtrans(); return indicator.Update(source); } /// /// Calculates natural logarithm over a span of values. /// Note: Math.Log has no SIMD intrinsic; uses scalar path with last-valid substitution. /// public static void Batch(ReadOnlySpan source, Span output) { if (source.Length == 0) { throw new ArgumentException("Source cannot be empty", nameof(source)); } if (output.Length < source.Length) { throw new ArgumentException("Output length must be >= source length", nameof(output)); } double lastValid = 0.0; for (int i = 0; i < source.Length; i++) { double val = source[i]; if (double.IsFinite(val) && val > 0) { lastValid = Math.Log(val); output[i] = lastValid; } else { output[i] = lastValid; } } } public static (TSeries Results, Logtrans Indicator) Calculate(TSeries source) { var indicator = new Logtrans(); TSeries results = indicator.Update(source); return (results, indicator); } public override void Reset() { _state = default; _p_state = default; Last = default; } }