public OutputFrequency(OutputSeries outputSeries, Maturity maximumMaturity)
{
OutputSeries = outputSeries;
MaximumMaturity = maximumMaturity;
}
private void RunModel(int model, List <InputItem> input)
{
MatlabModel mm = new MatlabModel();
MWNumericArray X0 = new double[] { };
foreach (InputItem item in input)
{
foreach (FundAssetCategory category in item.CategoryList)
{
foreach (int yieldspan in item.YieldSpanList)
{
foreach (int step in item.StepList)
{
MWNumericArray Y = this.GetFundTimeSeries(yieldspan, category);
MWNumericArray X = this.GetIndexTimeSeries(item.Type, yieldspan);
OutputSeries outputseries = new OutputSeries();
for (int start = step + 1; start < Y.NumberOfElements; start++)
{
try
{
MWArray[] R = null;
switch (model)
{
case 1:
R = mm.model1(3, Y, X, step, start, X0);
break;
case 2:
R = mm.model2(3, Y, X, step, start, X0);
break;
default:
break;
}
DateTime tradedate = TradeDayList[start];
if (tradedate <= this.EndDate && tradedate >= this.StartDate)
{
OutputItem output = new OutputItem();
output.TradeDate = tradedate;
output.Position = ((MWNumericArray)R[0]).ToScalarDouble();
output.RSquare = ((MWNumericArray)R[2]).ToScalarDouble();
output.SubPostion = (double[, ])R[1].ToArray();
outputseries.Category = category;
outputseries.Model = model;
outputseries.Type = item.Type;
outputseries.Step = step;
outputseries.YieldSpan = yieldspan;
outputseries.OutputList.Add(output);
}
}
catch (Exception ex)
{
throw ex;
}
}
this.OutputSeriesList.Add(outputseries);
}
}
}
}
mm.Dispose();
}
