Reject a ChoppinessIndex period of one - #9727
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ComputeNextValue divides by Math.Log10(_period). At a period of one that divisor is zero, so the double is infinite and the cast to decimal throws OverflowException on the first update after warm-up. The constructor accepts the value, so the failure lands on the data rather than on the call that is wrong. Beta, Correlation, Covariance and ValueAtRisk all reject a period their formula cannot use, with the same message shape.
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Description
ChoppinessIndexnow rejects a period below two in its constructor.Related Issue
Closes #9724
Motivation and Context
ComputeNextValuedivides byMath.Log10(_period). At a period of one that divisor is zero, so the double is infinite and the cast to decimal throwsOverflowExceptionon the first update after warm-up. The constructor took the value without complaint, so the failure landed on the data rather than on the call that was wrong.ValueAtRisk,Beta,CorrelationandCovariancealready reject a period their formula cannot use, with one message shape between them. This uses the same sentence.Requires Documentation Change
No.
How Has This Been Tested?
ChoppinessIndexTests.PeriodBelowMinimumThrows, copied fromValueAtRiskTests.PeriodBelowMinimumThrows.Keeping the test and reverting only
Indicators/ChoppinessIndex.cs:with the source in place:
The red run reports no exception at all at construction, which is the defect.
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>