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xo-unit: ex6: volatility example with scale conversion

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Roland Conybeare 2024-05-04 15:00:35 -04:00
commit b5b6485c2c
2 changed files with 29 additions and 9 deletions
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36
example/ex6/ex6.cpp
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@ -1,19 +1,39 @@
/** @file ex6.cpp **/
#include "xo/unit/mpl/quantity.hpp"
#include "xo/unit/quantity.hpp"
#include "xo/unit/quantity_iostream.hpp"
#include "xo/flatstring/int128_iostream.hpp"
#include <iostream>
int
main () {
namespace u = xo::unit::units;
namespace qty = xo::unit::qty;
using namespace std;
using xo::qty::quantity;
namespace q = xo::qty::qty;
using xo::flatstring;
auto t1 = qty::milliseconds(25.0);
auto t1_usec = t1.with_unit<u::microsecond>();
auto t1_sec = t1.with_unit<u::second>();
/* 20% volatility over 360 days */
auto q1 = q::volatility_360d(0.2);
/* 10% volatility over 30 days */
auto q2 = q::volatility_30d(0.1);
cerr << "t1: " << t1 << ", t1_usec: " << t1_usec << ", t1_sec: " << t1_sec << endl;
//quantity<nu::volatility_360d> q2p = q2;
/* 10% volatility per 30 days
* ~ (10% * sqrt(360/30)) volatility over 360 days
* ~ (10% * 3.4641)
* ~ 0.34641yr360^(-1/2)
*/
auto sum = q1 + q2;
auto prod = q1 * q2;
static_assert(sum.abbrev() == flatstring("yr360^(-1/2)"));
static_assert(prod.abbrev() == flatstring("yr360^-1"));
std::cerr << "q1: " << q1 << std::endl;
std::cerr << "q2: " << q2 << std::endl;
std::cerr << "q1+q2: " << sum << std::endl;
std::cerr << "q1*q2: " << prod << std::endl;
}
/** end ex6.cpp */