/// <summary>
///
/// </summary>
/// <param name="field"></param>
/// <returns>Each Column is a different. Each Row is a different index point</returns>
public ConstructGenGen<int, double> GetCombined(DataAroundEventField field)
{
if (m_cache.ContainsKey(field))
return m_cache[field];
if (DataInterEvents == null || DataInterEvents.Length == 0)
return null;
var allEvents = DataInterEvents.Where(x => x.HasProcessedData).ToArray();
var allindexes =
allEvents.Select(x => x[field].Select(p => p.Index).ToArray()).SelectMany(x => x).OrderBy(x => x).ToArray();
var minIndex = allindexes[0];
var maxIndex = allindexes[allindexes.Length - 1];
var combined = new ConstructGenGen<int, double>(allEvents.Select(x => x.EventSpan.ToString()).ToArray());
for (int i = minIndex; i <= maxIndex; ++i)
combined.SetValues(i, ExtensionMethods.CreateArrayRep(double.NaN, combined.ArrayLength));
for (int eventIndex = 0; eventIndex < allEvents.Length; ++eventIndex)
{
foreach (var point in allEvents[eventIndex][field])
combined.SetValue(point.Index, eventIndex, point.Value);
}
m_cache[field] = combined;
//m_combined.DisplayInGrid("title", "span");
return combined;
}
public ConstructGenGen<RelativeDate, Line> GetSubLinesAsRelativeDates(Func<RelativeDate, bool> shouldIncludeFunction_)
{
var data = LinesAsRelativeDates();
var ret = new ConstructGenGen<RelativeDate, Line>(1);
try
{
m_lock.EnterReadLock();
foreach (var v in data.Keys.Where(x => shouldIncludeFunction_(x)))
ret.SetValues(v, data.GetValues(v),ConstructGenGen<RelativeDate,Line>.KeyOptionsWhenAdding.AddEveryTime);
}
finally
{
m_lock.ExitReadLock();
}
return ret;
}
private void reload2CMTSpread_TopLeftChart()
{
lcdCurveSpread_TopLeft.ClearSeries();
if (m_source.Primary == BondMarket.None || m_source.Secondary == BondMarket.None ||
m_source.Primary == m_source.Secondary)
return;
lblCurveSpread.Text = string.Format("{0} {1} CMT Spread", m_source.Primary, m_source.Secondary);
// first for the history...
var histSpread =
CMTHelper.GetHistoricalSpreads(m_source.Primary, m_source.Secondary, m_source.Focus)
.TakeEndValues(m_source.HistWinLength);
// if we've got enough hsitory
if (histSpread.Keys.Count == m_source.HistWinLength)
{
var con = new ConstructGenGen<string, double>(new[] {"high", "low", "avg"});
for (int i = 0; i < CMTLine.DisplayPoints.Length; ++i)
{
var point = (int) CMTLine.DisplayPoints[i];
var spreadOfPoint = histSpread.GetColumnValues(point - 1);
con.SetValues(point.ToString(), new[] {spreadOfPoint.Max()*10000d, spreadOfPoint.Min()*10000d, spreadOfPoint.Average()*10000d});
}
lcdCurveSpread_TopLeft.AddBoxSeries("range", con, 0, 1, 2, 2, 2, null, Color.White);
}
var chart = lcdCurveSpread_TopLeft.AddSeries<CMTLineDiff>(
source_: getSpreadObject(),
xAxisValues_: CMTLine.DisplayPoints.Select(x => string.Format("{0}", x)).ToArray(),
valueFields_: CMTLine.DisplayPoints.Select(x => string.Format("Y{0}", x)).ToArray(),
desc_: "cmtspread",
yAxisExtent_:40,
color_: Color.Red,
yLabelFormat_: "###0.0",
lineThickness_: 0);
lcdCurveSpread_TopLeft.Chart.Data.ZeroAligned = true;
var lcapp = (LineChartAppearance)chart.ChartTypeAppearance;
lcapp.MidPointAnchors = true;
var la = new LineAppearance();
la.IconAppearance.Icon = Infragistics.UltraChart.Shared.Styles.SymbolIcon.Diamond;
la.IconAppearance.IconSize = Infragistics.UltraChart.Shared.Styles.SymbolIconSize.Medium;
la.Thickness = 0;
lcapp.LineAppearances.Add(la);
}
public SysTimeSeries MultiplyOut(DatedDataCollectionGen<double> allocation_, int offset_)
{
if (!HasData || allocation_==null) return null;
var con = new ConstructGenGen<DateTime, double>(Data.ColumnHeadings);
foreach (var date in Data.Keys)
con.SetValues(date, Data.GetValues(date).MultiplyBy(allocation_.ValueOnDate(date,offset_)));
return new SysTimeSeries {Data = con};
}
public void ReRead()
{
ConstructGenGen<string, double> con = new ConstructGenGen<string, double>(2);
con.ColumnHeadings = new string[]
{
EnumDescriptionAttribute.GetDescription(m_args.XAxis),
EnumDescriptionAttribute.GetDescription(m_args.YAxis)
};
foreach (var v in m_func())
{
con.SetValues(v.Inst, new double[] { v.GetRawStat(m_args.XAxis), v.GetRawStat(m_args.YAxis) });
}
m_scatter.Create(con);
}
private void analyse()
{
if (m_lastApplied == null)
return;
seasAverageNormalized.ClearSeries();
seasProbability.ClearSeries();
var allLevels = m_lastApplied.GetCombined(DataAroundEventField.Filled_Level);
var allDiffs = m_lastApplied.GetCombined(DataAroundEventField.Filled_Daily_Diff);
var subsetLevels = new ConstructGenGen<int, double>(allLevels.ColumnHeadings);
var subsetDiffs = new ConstructGenGen<int, double>(allLevels.ColumnHeadings);
//
// get all the values for the subset that's been defined
//
foreach (var indexPoint in allLevels.Keys)
{
if (indexPoint < m_args.AnalysisStartIndex)
continue;
if (indexPoint > m_args.AnalysisEndIndex)
break;
subsetLevels.SetValues(indexPoint, allLevels.GetValues(indexPoint));
subsetDiffs.SetValues(indexPoint, allDiffs.GetValues(indexPoint));
}
//
// calculate and apply probabilities
//
var probType = ProbabilityCalcType.UpsMinusDownsOverNumber;
var probabilities = new double[subsetDiffs.Keys.Count];
for (int i = 0; i < subsetDiffs.Keys.Count; ++i)
{
var valsForIndexPoint = allDiffs.GetValues(allDiffs.Keys[i]);
probabilities[i] = ProbabilityCalc.CalcProb(valsForIndexPoint, probType);
}
// add probability column chart
seasProbability.AddColumnChart("Probability", subsetLevels.Keys.Select(x => x.ToString()).ToArray(),
probabilities, ProbabilityCalc.GetMaxValue(probType));
seasProbability.AddLegend();
//
// calculate normlized series on subset
//
var normdValues = new ConstructGenGen<int, double>(allLevels.ColumnHeadings);
var keys = subsetLevels.Keys.Select(x => x.ToString()).ToArray();
for(int i=0;i<subsetLevels.ArrayLength;++i)
{
var normd = subsetLevels.GetColumnValues(i).Normalize();
normdValues.SetColumnValues(i, subsetLevels.Keys.ToArray(), normd);
}
//
// calculate average normalized series
//
var averageNorms = new double[normdValues.Keys.Count];
//var dispersionMeasure = new double[normdValues.Keys.Count];
for (int i = 0; i < averageNorms.Length; ++i)
{
var valuesToUse = normdValues.GetValues(normdValues.Keys[i]).Where(x => double.IsNaN(x) == false).ToArray();
averageNorms[i] = valuesToUse.Average();
//dispersionMeasure[i] = Statistics.Stdev(valuesToUse.Select(x=>x-averageNorms[i]).ToArray());
}
//
// normalize the average and display
//
averageNorms = averageNorms.Normalize();
seasAverageNormalized.AddLineChart("Seasonal pattern", keys, averageNorms);
//seasAverageNormalized.AddColumnChart("stdev", keys, dispersionMeasure, dispersionMeasure.Max());
seasAverageNormalized.AddLegend();
}