1 files changed, 55 insertions, 0 deletions
diff --git a/lib/volatility_system.c b/lib/volatility_system.c
new file mode 100644
index 0000000..dbb74d1
--- /dev/null
+++ b/lib/volatility_system.c
@@ -0,0 +1,55 @@
+// Volatility System
+//
+// volatility_system
+//
+// Volatility System
+//
+// 
+//
+// Inputs:    4
+// Outputs:   1
+// Constants: 1
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_volatility_system_params_t;
+
+ts_parameter_t const ts_volatility_system_p = { .n_inputs = 4, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_volatility_system_params_t) };
+
+uint_t ts_volatility_system_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? 2 * ((ts_volatility_system_params_t *)c)->k : 0 );
+}
+
+int ts_volatility_system(
+	fp_t * const *y, uint_t y_n,
+	fp_t const * const *x, uint_t x_n,
+	uint_t n, ts_constant_t const *c
+)
+{
+	TS_PROLOGUE( ts_volatility_system_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_volatility_system_params_t *)c)->k;
+    if (k == 0 || n < k) return -1;
+
+    uint_t range_period = 2 * k;
+    if (n < range_period) return -1;
+
+    fp_t ema = (ts_c(x, range_period - 2) + ts_c(x, range_period - 1)) / 2.0;
+
+    for( uint_t i = range_period; i < n; ++i )
+    {
+        if( i == range_period )
+            ema = (ts_c(x, i-1) + ts_c(x, i)) / 2.0;
+        else
+            ema = ema * 0.5 + ts_c(x, i) * 0.5;
+        y[0][i] = ema;
+    }
+	return 0;
+}
+