sve.lr function

[Sergey Efremov <svefremov@xxxxxxxxx>]

{
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	Study			: sve.lr
	
	Last Edit	: 8:16 PM 7/2/2004

	Provided By	: Sergey Efremov

	Description	: Calculates the slope and intercept of
the 
	linear regression of Price2 with respect to Price1. 
	Outputs the current value of the regression together
with
	Intercept and Slope:

	Price2[k]=Intercept+Slope*Price1[k]
						
********************************************************************}
Inputs :	Price1(NumericSeries), {numeric series x}
			Price2(NumericSeries), {numeric series y}
			Length(NumericSimple), {length of the series}
			Intercept(NumericRef),
			Slope(NumericRef);

vars: a11(0), a12(0), a21(0), a22(0), x1(0), x2(0);

vars: k(0);

a11 = 0;
a12 = 0;
a21 = 0;
a22 = 0;
x1  = 0;
x2  = 0;


for k = 0 to Length - 1 begin
	a11=a11+1;
	a12=a12+Price1[k];
	a21=a12;
	a22=a22+Price1[k]*Price2[k];
	x1=x1+Price2[k];
	x2=x2+Price2[k]*Price2[k];
end;

intercept = (a22*x1-a12*x2)/(a11*a22-a21*a12);
slope     = (a21*x1-a11*x2)/(a12*a21-a11*a22);
sve.lr = intercept + slope * Price1;