// LookUp Today, int da, WAHDD wahdd)
/// <summary>
/// Load up the Factor matrix.
/// Factor(i,j,k) is i=0,3 for ActHDD, MAHDD, LagSprd, & actual stock;
/// j=1,3 for currrent, forecast, and last Fri.;
/// k=1,2 for Now & Then.
/// </summary>
/// <param name="MinYear"></param>
/// <param name="Factor"></param>
/// <param name="Var"></param>
/// <param name="Today"></param>
/// <param name="da"></param>
public void Matrices(int MinYear, double[, ,] Factor, VarClass[, ,] Var,
LookUp Today, WAHDD wahdd, StreamWriter log)
{
//
// Load up the Factor matrix.
//
// Before advancing the date, record the factors for the current Fri.
// Factor[i,j,k) is i=0,3 for ActHDD, MAHDD, LagSprd, & actual stock;
// j=1,3 for currrent, forecast, and last Fri.;
// k=1,2 for Now & Then.
//
// Factor[1, 1, 1] = wahdd.DevForStocks(Today.Year, Today.Mon, Today.Day, Var, da);
Factor[1, 1, 1] = wahdd.DevForStocks(Today.Year, Today.Mon, Today.Day, Var, log);
ActStkCurWeek = Var[Today.Year, Today.Mon, Today.Day].ActStk;
Factor[3, 1, 1] = ActStkCurWeek;
//
// Do not Lag spread in this app. as is done in forecasting.
//
LookUp Temp = new LookUp();
Temp.Year = Today.Year;
Temp.Mon = Today.Mon;
Temp.Day = Today.Day;
Factor[2, 1, 1] = Var[Temp.Year, Temp.Mon, Temp.Day].Spread;
//
// Drop back a day.
//
Temp.DateShift(Temp.Year, Temp.Mon, Temp.Day, -1);
Factor[0, 1, 1] = Var[Temp.Year, Temp.Mon, Temp.Day].ActHDD;
//
// Get this year's current & forecast stocks back to the 5th week being
// careful to check for missing values as we back up over early Oct.
//
Temp.DateShift(Temp.Year, Temp.Mon, Temp.Day, -6);
Factor[3, 3, 1] = Var[Temp.Year, Temp.Mon, Temp.Day].ActStk; //Last week's stocks
//
Temp.DateShift(Temp.Year, Temp.Mon, Temp.Day, -1);
//
// Move ahead 1 week to the forecast date, which also steps ahead to the
// next current date.
// 11-16: Do not lag spread.
//
Today.DateShift(Today.Year, Today.Mon, Today.Day, 6);
Factor[0, 2, 1] = Var[Today.Year, Today.Mon, Today.Day].ActHDD;
Today.DateShift(Today.Year, Today.Mon, Today.Day, 1); // 1 week ahead
Factor[2, 2, 1] = Var[Today.Year, Today.Mon, Today.Day].Spread;
ActStkNextWeek = Var[Today.Year, Today.Mon, Today.Day].ActStk;
//
// Factor[1, 2, 1] = wahdd.DevForStocks(Today.Year, Today.Mon, Today.Day, Var, da);
Factor[1, 2, 1] = wahdd.DevForStocks(Today.Year, Today.Mon, Today.Day, Var, log);
Factor[3, 2, 1] = ActStkNextWeek;
//
return;
}
// Estimate the relationship between spread & stock deviations from normal
// adjusted for day of season & recent HDD deviations. The result
// provides a nonlinear transformation of spread that is used in other
// regressions (with prefix SC) to represent the nonlinear relationship
// between spread & stocks. Run annually.
// By Asa Janney, autumn 2009
// V4: Functions the same as V3 but all the irrelevant code carried over
// from the parent program has been deleted.
// 12-4-13: Replaced input files with updated data.
// 8-26-14: Started coding C#.
// 8-29-14: Finished draft coding; program runs; start debugging.
// V5: Edits to fit into the system.
// V6, 12-19-14: Edits to output file writes to match existing file.
// V7, 12-21-15: Added season dummies to SAS file & removed HDD as ind. var. because
// it is always insig. now. It is retained w/ a zero in the coef file to remind
// that it is not in service but could be brought back.
// Added code to weight Spread cats & season dummies by freq.
// V8, 5-13-16: Edits to analyze only the last 6 seasons.
//
static void Main(string[] args)
{
Console.WriteLine();
int d, DiS, Y5, M5, D5, Y12, M12, D12, RunDoW, DiSda, Season, Mon, FirstDay,
Year, Day, i, j, k, m, n, NSeasons = 0, NFri = 0, ID = 0;
int NObs;
NObs = 0;
int[] CountByGroup = new int[9]; // CountByGroup[0:8)
int[] CountBySeason = new int[2020]; // 12-22-15
int GetMon, GetDay, GetYr;
string FileName, input;
string Bell = new string((char)7, 1);
//
// Weights for the moving-average HDD. Originally estimated in
// HDDAdjustedStocks3.xlsx on ForwardSpread2/SSModels. Signs are reversed
// from the original to get positive weights.
//
WAHDD wahdd = new WAHDD();
double[] MAHDDStkCoef = new double[4] {0,
0.04926, //Intercept
0.03000, //Linear term
-0.002493}; //Quadratic term
int MAHDDLagLength = 13;
double[] MAHDDStkWght = new double[21]; // 0:20
double TotMAW = 0, DepVarMean = 0;
//
// Compute the weights & transfer the coefs to the wahdd object.
//
for (i = 0; i <= MAHDDLagLength; i++)
{
MAHDDStkWght[i] = MAHDDStkCoef[1] + MAHDDStkCoef[2] * i + MAHDDStkCoef[3] * i * i;
if (MAHDDStkWght[i] <= 0) Warning.Message("Negative MA HDD weight.", "Terminate", 1);
TotMAW = TotMAW + MAHDDStkWght[i]; // Used to normalize weigths.
wahdd.MAHDDStkWght[i] = MAHDDStkWght[i];
}
//double LastStk, LastActStk, NextActStk;
double Intercept;
double[] HoldHDD = new double[21]; // HoldHDD(0:20)
double[] MeanSprdByGroup = new double[9]; // MeanSprdByGroup[0:8)
//bool FirstDA;
int EndDataYear = 2020; // Later, make this into an input.
//
// VarClass holds all the essential daily data indexed by year, month, & day.
// It is used like a Fortran structure. In this application it works better
// as an object than as a struct. Note that here & elsewhere the array size
// is set one larger in every dimension because the program rarely uses the
// first (zero) element.
//
VarClass[, ,] Var = new VarClass[EndDataYear + 1, 13, 32];
//
// Fill with missing value indicator before reading in data so that every
// cell that we don"t read in will show as missing.
//
for (Year = 1987; Year <= EndDataYear; Year++) //Changed to EndDataYear
{
for (Mon = 1; Mon <= 12; Mon++)
{
for (Day = 1; Day <= 31; Day++)
{
// Each element of Var has to have this:
//
Var[Year, Mon, Day] = new VarClass();
Var[Year, Mon, Day].DaysInto = -9999;
Var[Year, Mon, Day].Spread = -9999;
Var[Year, Mon, Day].ActStk = -9999;
Var[Year, Mon, Day].NormStk = -9999;
Var[Year, Mon, Day].RelStkDev = -9999;
Var[Year, Mon, Day].ActHDD = -9999;
Var[Year, Mon, Day].HDDDev = -9999;
for (i = 1; i <= 7; i++)
{
Var[Year, Mon, Day].HDDForeAct[i] = -9999;
Var[Year, Mon, Day].HDDForeDev[i] = -9999;
}
} // End Day
} // End Mon
} // End Year
//
int[] DaysInMon = new int[13] { 0, 31, 28, 31, 30, 31, 30, 31, 31, 30, 31, 30, 31 };
int[] MoS = new int[7] { 0, 10, 11, 12, 1, 2, 3 }; //Month of season
string[] CoefLabel = new string[40] {"",
"Intercept","Sprd Int 1","Sprd Int 2","Sprd Int 3","Sprd Int 4",
"Sprd Int 5","Sprd Int 6","Day -20","Day -10","Day 0","Day 10","Day 20",
"Day 30","Day 40","Day 50","Day 60","Day 70","Day 80","Day 90","Day 100",
"Day 110","Day 120","Day 130","Day 140","Day 150","HS2009","HS2010","HS2011",
"HS2012","HS2013","HS2014","WAHDDDev","","","","","","",""};
//
// X & Y matrices for stock/sprd regression
//
double[, ,] Factor = new double[4, 4, 3]; // Factor[0:3,3,2)
double[,] Z = new double[1001, 40]; // Z(1000,26)
double[] B = new double[1001];
double[] Spread = new double[1001]; // 9-23-15 Actual spread, not just its category.
double[,] XPrimeX = new double[40, 40]; // (27,27)
double[,] XPrimeXInv = new double[40, 40]; //(27,27),
double[] Beta = new double[40];
double[] XPrimeY = new double[40];
//
StreamWriter log = new
StreamWriter(@"c:\\CSharp\\HeatingOil\\StockAdjReg15\\Log.txt");
//FileName = @"c:\\CSharp\\HeatingOil\\StockSpreadPiecewiseLinearCoefsV5.txt";
//
// Save last season's file & assign new, tentative name for 2016.
//
FileName = @"c:\\CSharp\\HeatingOil\\StockSpreadPiecewiseLinearCoefsV6.txt"; // 9-18-16
StreamWriter StkSprdPLOut = new StreamWriter(FileName);
//
Console.WriteLine(
"\n************************************************************\n"
+ "* Program run annually to estimate stock adjustment as a *\n"
+ "* piecewise function of spread. The regression results *\n"
+ "* are written to StockSpreadPiecewiseLinearCoefs.txt. *\n"
+ "* Written by Asa Janney: Fortran versions, autumn 2009 *\n"
+ "* C# version, August 2014 *\n"
+ "************************************************************\n"
+ "\nThe file for SAS analysis produced by this program is called\n"
+ "StockAdjSASDataYY-MM-DD.txt on the StockAdjReg15 directory.\n"
+ "The original version of this program did not run the piece-\n"
+ "wise regression; SAS did that. Now StockAdjReg15 can run the\n"
+ "regression, but SAS is still used for more extensive stats &\n"
+ "to test alternative models.");
//
Hesitate.ThisLong(100);
//
// Get starting & ending years of data to process.
//
int StartSampleYear = 2050; // Set higher than EndYear going into the next routine.
int EndSampleYear = 2050; // Does not have to be at the end of the data.
bool FirstPass = true;
while (EndSampleYear <= StartSampleYear)
{
if (!FirstPass)
{
Console.WriteLine(Bell + " *** Invalid entry, try again.\n");
Hesitate.ThisLong(100);
}
FirstPass = false;
Console.WriteLine(
"\nEnter start sample year (2009 or later) & ending sample year\n"
+ "(eg, 2010 2015). Remember that seasons are designated by"
+ "the years they start in. The program will use only the last 6\n"
+ "seasons in the regression.");
input = Console.ReadLine();
Hesitate.ThisLong(800);
StartSampleYear = Convert.ToInt32(input.Substring(0, 4));
EndSampleYear = Convert.ToInt32(input.Substring(5, 4));
//EndDataYear = Convert.ToInt32(input.Substring(10, 4)); // Made this fix above.
if (StartSampleYear <= 0)
{
StartSampleYear = 2009;
if (EndSampleYear - StartSampleYear > 5)
StartSampleYear = EndSampleYear - 5;
Console.WriteLine("Starting year reset to " + StartSampleYear);
Hesitate.ThisLong(100);
}
} // End while
int NVar = 26 + EndSampleYear - StartSampleYear + 1; // Counting-year dummies.
//
DateTime TimeNow = DateTime.Now;
log.WriteLine("Run time: " + TimeNow); // Put run time on log file.
GetYr = TimeNow.Year;
GetMon = TimeNow.Month;
GetDay = TimeNow.Day;
LookUp Today = new LookUp();
if (EndSampleYear > GetYr - 1)
{
EndSampleYear = GetYr - 1; //Highest number possible
Console.WriteLine("Ending year reset to " + EndSampleYear);
Hesitate.ThisLong(1200);
}
//
// File for regression results
//
StreamWriter regResults = new
StreamWriter(@"c:\\CSharp\\HeatingOil\\StockAdjReg15\\RegressionResults.txt");
//
//*************************************************************************
// Open an output file to hold the data for SAS. Use the date in the name
// to indentify it.
//
FileName = @"c:\\CSharp\\HeatingOil\\StockAdjReg15\\StockAdjSASData" + TimeNow.Year + "-"
+ TimeNow.Month + "-" + TimeNow.Day + ".txt";
StreamWriter SASOut = new StreamWriter(FileName);
//
// Write heading onto SAS input file.
//
SASOut.WriteLine(
"MM DD YYYY DiS Stocks Spread I HDDDevFS _Spread Category DiS Dummies ===> " +
" Heating-Season Dummies");
//
// Read in forward spread from late 1988.
//
FileName = @"c:\\CSharp\\HeatingOil\\UnadjustedSprdThru2015Season.txt"; // Updated 4-11-16
StreamReader spreadInput = new StreamReader(FileName);
//string Dum1, Dum2;
//double DumGDPDef;
while (!spreadInput.EndOfStream)
{
input = spreadInput.ReadLine();
Year = Convert.ToInt32(input.Substring(0, 4));
Mon = Convert.ToInt32(input.Substring(8, 2));
Day = Convert.ToInt32(input.Substring(12, 2));
//
// Check that an object for this day exists; if not, create it.
//
if (Var[Year, Mon, Day] == null) Var[Year, Mon, Day] = new VarClass();
Var[Year, Mon, Day].Spread = Convert.ToDouble(input.Substring(40, 9)); // 8-24-15 Changed from 41, 8.
//int IX = 1;
}
//
// Read in the latest HDD data.
//
FileName = @"c:\\CSharp\\HeatingOil\\HDDWithRevisedNormals.txt";
StreamReader HDDIn = new StreamReader(FileName);
FileName = @"c:\\CSharp\\HeatingOil\\MAHDDOut.txt";
StreamWriter HDDOut = new StreamWriter(FileName);
//
input = HDDIn.ReadLine(); // Skip heading.
while (!HDDIn.EndOfStream)
{
input = HDDIn.ReadLine();
Year = Convert.ToInt32(input.Substring(0, 4));
Mon = Convert.ToInt32(input.Substring(4, 3));
if (Year > EndDataYear + 1 || (Year > EndDataYear && Mon > 4)) break;
Day = Convert.ToInt32(input.Substring(7, 3));
Var[Year, Mon, Day].ActHDD = Convert.ToDouble(input.Substring(10, 8));
Var[Year, Mon, Day].NormHDD = Convert.ToDouble(input.Substring(18, 8));
Var[Year, Mon, Day].HDDDev = Convert.ToDouble(input.Substring(26, 8));
Var[Year, Mon, Day].DaysInto = Convert.ToInt32(input.Substring(34, 4));
//
if (Year < 1987)
{
Console.WriteLine("Year = " + Year);
Warning.Message("Error reading HDD input file; year < 1987",
"Terminate", 1);
}
//
Season = Year;
int LastSeason = 0;
if (Mon < 4) Season = Season - 1;
if (Season > LastSeason) LastSeason = Season;
//
// Slide the HDDs a day into the past & put the new one into the zero pos.
//
for (i = MAHDDLagLength; i >= 1; i--)
HoldHDD[i] = HoldHDD[i - 1];
//
// Find the WA HDD.
//
double X4 = 0;
for (i = 0; i <= MAHDDLagLength; i++)
X4 = X4 + HoldHDD[i] * MAHDDStkWght[i] / TotMAW;
HDDOut.WriteLine(Year + " " + Mon + " " + Day + " " + Var[Year, Mon, Day].MAHDDDev);
} // End while not end of stream
//
// Read in actual Friday stocks & find adjusted stocks.
// This file has every season as wide as we can process.
//
FileName = @"c:\\CSharp\\HeatingOil\\StocksActualThru2015Season.txt"; // Updated 4-11-16
StreamReader stocksIn = new StreamReader(FileName);
while (!stocksIn.EndOfStream)
{
input = stocksIn.ReadLine();
Year = Convert.ToInt32(input.Substring(0, 4));
Mon = Convert.ToInt32(input.Substring(8, 2));
Day = Convert.ToInt32(input.Substring(10, 6));
Var[Year, Mon, Day].ActStk = Convert.ToDouble(input.Substring(16, 8));
//
// Counts by heating season.
//
Season = Year;
if (Mon < 4) Season = Season - 1;
if (Mon >= 10 || Mon <= 3)
CountBySeason[Season] = CountBySeason[Season] + 1;
//
// Check for out of bounds.
//
if (Var[Year, Mon, Day].ActStk > 64.128)
{
string msg = " *** Stocks of " + string.Format("{0,7:###.000}", Var[Year, Mon, Day].ActStk)
+ " higher than historical max. on "
+ Year + "-" + Mon + "-" + Day;
Warning.Message(msg, "Warning", 1);
}
if (Var[Year, Mon, Day].ActStk < 14.0) // Edited
{
string msg = " *** Stocks of " + string.Format("{0,7:###.000}", Var[Year, Mon, Day].ActStk)
+ " lower than 14 on "
+ Year + "-" + Mon + "-" + Day; // Edited
Warning.Message(msg, "Warning", 1);
}
} // End of while
stocksIn.Close();
//
// Fill in days-into-season.
//
for (Year = 1988; Year <= 2015; Year++)
{
i = -31;
for (n = 1; n <= 6; n++)
{
m = MoS[n];
d = DaysInMon[m];
if (m == 2 && (Year / 4) * 4 == Year) d = 29; //leap year day
FirstDay = 1;
for (Day = 1; Day <= d; Day++)
{
if (i > 150) continue;
Var[Year, m, Day].DaysInto = i;
i = i + 1;
} // End for Day
} // End for n
} // End for Year
//
// Interpolated stocks are not needed in this program, so all this does now
// is to fill in day of the week.
//
// The first day of October 1988 was a Saturday, so the day of week number, n, is
// set to 7 to begin.
//
n = 7;
for (Year = 1988; Year <= 2019; Year++) // 5-12-16 Changed upper bound to 2019.
{
for (Mon = 1; Mon <= 12; Mon++)
{
if (Year == 1988 && Mon < 10) continue; //Start in Oct. 1988.
if (Year == EndDataYear + 1 && Mon > 4) break; //End after last season of data.
d = DaysInMon[Mon];
if (Mon == 2 && (Year / 4) * 4 == Year) d = 29; //leap year day
for (Day = 1; Day <= d; Day++)
{
Var[Year, Mon, Day].DoW = n; //Assign day of week.
n = n + 1; //Increment day of week index.
if (n > 7) n = 1;
} //Days
} //Months
} //Years
//
// Read in HDD projections. All of Oct. is present for all years.
//
StreamReader HDDFore = new
StreamReader(@"c:\\CSharp\\HeatingOil\\HDDAugmentedForecast.txt"); // Updated 4-11-16
while (!HDDFore.EndOfStream)
{
input = HDDFore.ReadLine();
Year = Convert.ToInt32(input.Substring(0, 4));
Mon = Convert.ToInt32(input.Substring(4, 7));
Day = Convert.ToInt32(input.Substring(11, 4));
for (i = 1; i <= 7; i++)
{
if (Var[Year, Mon, Day] == null) Var[Year, Mon, Day] = new VarClass();
Var[Year, Mon, Day].HDDForeAct[i] = Convert.ToDouble(input.Substring(15 + 11 * (i - 1), 11));
}
}
// *******************************
// Find projected HDD deviations.
// Index values of 1 - 7 correspond to tomorrow, the next day, etc.
// 9-9-14: Make file of HDD deviations for debug.
//
FileName = @"c:\\CSharp\\HeatingOil\\StockAdjReg15\\HDDDeviations.txt";
StreamWriter HDDDevs = new StreamWriter(FileName);
for (Year = 2001; Year <= EndDataYear; Year++)
{
for (Mon = 1; Mon <= 12; Mon++)
{
if (Year == 2001 && Mon < 9) continue; //Start on 30 Sept. 2001.
if (Year == EndDataYear && Mon >= 4) break;
int MaxDays = DaysInMon[Mon]; //Edit 11-18-13
if (Mon == 2 && (Year / 4) * 4 == Year) MaxDays = 29; //leap year day
for (Day = 1; Day <= MaxDays; Day++) //31 Limit to DaysInMon.
{
if (Year == 2001 && Mon == 9 && Day < 30) continue; //Start on 30 Sept. 2001.
for (j = 1; j <= 7; j++)
{
Today.Year = Year;
Today.Mon = Mon;
Today.Day = Day;
Today.DateShift(Today.Year, Today.Mon, Today.Day, j); //Normal is stored j days ahead.
if (Today.Year > EndDataYear) { break; }
if (Var[Today.Year, Today.Mon, Today.Day] == null)
{
// 9-9-14: This is not happening, but w/ a 1-sec hesitation it will be
// apparent if it ever does.
//
Console.WriteLine("In HDD dev, object created for " + Today.Year + " " + Today.Mon
+ " " + Today.Day);
Var[Today.Year, Today.Mon, Today.Day] = new VarClass();
Hesitate.ThisLong(1000);
}
double XNorm = Var[Today.Year, Today.Mon, Today.Day].NormHDD;
if (XNorm == -9999 && (Mon <= 3 || Mon >= 10)) // 9-22-15
{
log.WriteLine("Missing input for normal HDD at " + Year + "-" + Mon + "-" + Day
+ "-" + j);
HDDDevs.WriteLine("Missing input for normal HDD at " + Year + "-" + Mon + "-" + Day
+ "-" + j + " XNorm = " + XNorm + " ForeAct = "
+ Var[Year, Mon, Day].HDDForeAct[j]);
}
//
// Because HDD projections are stored by the day they are made rather
// than the day they are received, you have to grab yesterday's actual, and
// the normal temp is one day off from the day-zero projection.
//
if (Var[Year, Mon, Day].HDDForeAct[j] == -9999 && (Mon <= 3 || Mon >= 10)) // 9-22-15
{
log.WriteLine("Missing input for HDD Dev at " + Year + "-" + Mon + "-" + Day + "-" + j);
HDDDevs.WriteLine("Missing input for HDD Dev at " + Year + "-" + Mon + "-" + Day
+ "-" + j + " XNorm = " + XNorm + " ForeAct = " + Var[Year, Mon, Day].HDDForeAct[j]);
}
else
{
Var[Year, Mon, Day].HDDForeDev[j] = Var[Year, Mon, Day].HDDForeAct[j] - XNorm; //Edit, deleted prefix L.
HDDDevs.WriteLine(Year + "-" + Mon + "-" + Day + " " + j + " "
+ " XNorm = " + string.Format("{0,10:###0.00000}", XNorm)
+ " ForeAct = " + string.Format("{0,10:###0.00000}", Var[Year, Mon, Day].HDDForeAct[j])
+ string.Format("{0,10:###0.00000}", Var[Year, Mon, Day].HDDForeDev[j]));
}
if (Day == 20 && j == 1)
{
log.WriteLine("HDDForeDev = " + Year + " " + Mon + " " + Day + " "
+ Var[Year, Mon, Day].HDDForeDev[j]);
//Console.ReadKey();
} //4
} //3
} //2
} //1
} //0
HDDFore.Close();
//
// Add DaysInto for March 31 in leap years.
//
Var[1992, 3, 31].DaysInto = 151;
Var[1996, 3, 31].DaysInto = 151;
Var[2000, 3, 31].DaysInto = 151;
Var[2004, 3, 31].DaysInto = 151;
Var[2008, 3, 31].DaysInto = 151;
Var[2012, 3, 31].DaysInto = 151;
Var[2016, 3, 31].DaysInto = 151;
//*****************************************************************
//
// Top of loop by season
//
//for (i = StartSampleYear; i <= EndSampleYear; i++)
for (i = 1999; i <= EndSampleYear; i++)
{
log.WriteLine("Season = " + i);
Console.WriteLine("Season = " + i);
Today.Season = i;
Today.Year = Today.Season;
Today.Day = 4; // Start on the 1st Fri. in Oct. on or after the 4th.
Today.Mon = 10;
//
// Go thru day by day until you have a Friday.
//
while (Var[Today.Year, Today.Mon, Today.Day].DoW != 6)
{
Today.Day = Today.Day + 1;
if (Today.Day > 12)
Warning.Message("Error finding 1st Fri. in Oct.", "Terminate", 1);
}
Load load = new Load();
//****************************************************************************
// B E G I N W E E K L Y S T E P S
//
// In this routine:
// Today.xxx indicates the run day today, which steps forward 7 days AAT.
// Limit is the date packed into a single interger, YYYYMMDD.
//
int Limit = 10000 * (Today.Season + 1) + 331;
while (10000 * Today.Year + 100 * Today.Mon + Today.Day < Limit)
{
int ConcatDate = 10000 * Today.Year + 100 * Today.Mon + Today.Day;
//
// Load up the Factor & X matrices. Set the unused MinYear variable to
// the now year. Note that the Today is advanced 7 days in this subr.
// for (not process observations w/ missing HDD.
//
int MinYear = Today.Year;
load.Matrices(MinYear, Factor, Var, Today, wahdd, log);
if (Today.Mon > 3 && Today.Mon < 10) continue;
//
// Skip if current or forecast WAHDD is missing:
//
if (Factor[1, 1, 1] == -9999 || Factor[1, 2, 1] == -9999)
{
Console.WriteLine(Today.Year + "-" + Today.Mon + "-" + Today.Day + " Warning, Missing MAHDD");
continue; //Skip missing. 9-1-14
}
//
// Factor[i,j,k] is i=0,3 for ActHDD, MAHDD, LagSprd, & actual stock;
// j=1,2 for currrent & forecast Fri.;
// k=1,2 for Now & Then.
// "Then" was a past year used in pattern matching, which has been retired.
//
ID = Var[Today.Year, Today.Mon, Today.Day].DaysInto;
int[,] YrDummy = new int[20, 500]; // Heating-season dummies
//
// Move the factor matrix into the B (ind) & Z (dep) matrices for the
// weekly stock regression if this season is between the limits set
// by the user.
// 12-16-15: Always include 3 obs from 2000 as priors for high spreads that
// have not occurred since then.
//
if ((Today.Season >= StartSampleYear && Today.Season <= EndSampleYear)
|| (Today.Year == 2000 && Today.Mon == 1 && Today.Day == 21)
|| (Today.Year == 2000 && Today.Mon == 1 && Today.Day == 28)
|| (Today.Year == 2000 && Today.Mon == 2 && Today.Day == 4))
{
if (Factor[3, 2, 1] == -9999) continue; // Missing dep. var.
NObs = NObs + 1;
log.WriteLine("NObs = " + NObs);
//
// B holds the dep. var.
// Factor[3, 2, 1] is actual stocks, forecast, Now.
//
B[NObs] = Factor[3, 2, 1];
//
// Fill in Z, the ind. var. array.
// 12-21-15: WAHDD is insignificant in this model, so move it to the end of the array.
// That way, it can be dropped from the regession in this program, but still provide
// the option to be written out to the SAS file, so that the SAS program can continue
// to check whether it is still insig. in future seasons.
//
//for (j = 1; j <= 25; j++) // 25 = intercept, categories, & DiS dummies
for (j = 1; j <= 31; j++) // 31 = intercept, categories, DiS dummies, & seasonal dummies
Z[NObs, j] = 0; // Initialize.
Z[NObs, 1] = 1; //Intercept
Z[NObs, 32] = Factor[1, 2, 1]; //wahdd.DevForStocks CN 12-21-15 is insig. so move to end.
Spread[NObs] = Factor[2, 2, 1];
//
// Find the interval number for Factor[2,2,1], lagged spread, forecast, Now.
//
double[] Boundary = new double[6] { 1000, .5, .25, 0.10, 0.05, -0.05 };
int cat = 0;
//
// Find the category of this obs.
//
for (j = 1; j <= 5; j++)
{
if (Today.Season == 2002 && j == 1) // Special check on this season; prob. pointless now.
{
log.WriteLine("2002-" + Today.Mon + " " +
Today.Day + " " + "Spread = " + Factor[2, 2, 1]);
}
if (Factor[2, 2, 1] > Boundary[j])
{
cat = j;
log.WriteLine(Today.Mon + " " + Today.Day + " " + "cat = " + cat);
break;
}
}
if (cat == 0) cat = 6; // Spread was <= -0.05.
//
// Spread dummies at intervals selected by examination of a
// plot of the data. Accumulate totals to get mean spreads within group.
//
switch (cat) // Branch according to category.
{
case 1:
Z[NObs, 2] = 1; //Sprd1 *** 12-21-15: Here & below reducing index by 1.
MeanSprdByGroup[2] = MeanSprdByGroup[2] + Factor[2, 2, 1];
CountByGroup[2] = CountByGroup[2] + 1;
break;
//
case 2:
Z[NObs, 3] = 1; //Sprd2
MeanSprdByGroup[3] = MeanSprdByGroup[3] + Factor[2, 2, 1];
CountByGroup[3] = CountByGroup[3] + 1;
break;
//
case 3:
Z[NObs, 4] = 1; //Sprd3
MeanSprdByGroup[4] = MeanSprdByGroup[4] + Factor[2, 2, 1];
CountByGroup[4] = CountByGroup[4] + 1;
break; ;
//
case 4:
Z[NObs, 5] = 1; //Sprd4
MeanSprdByGroup[5] = MeanSprdByGroup[5] + Factor[2, 2, 1];
CountByGroup[5] = CountByGroup[5] + 1;
break; ;
//
case 5:
Z[NObs, 6] = 1; //Sprd5
MeanSprdByGroup[6] = MeanSprdByGroup[6] + Factor[2, 2, 1];
CountByGroup[6] = CountByGroup[6] + 1;
break; ;
//
case 6:
Z[NObs, 7] = 1; //Sprd6
MeanSprdByGroup[7] = MeanSprdByGroup[7] + Factor[2, 2, 1];
CountByGroup[7] = CountByGroup[7] + 1;
break;
} // end switch
//
// Accumulate a count & total for all obs & store in element 0.
//
CountByGroup[0] = CountByGroup[0] + 1;
MeanSprdByGroup[0] = MeanSprdByGroup[0] + Factor[2, 2, 1];
//
// Dummies for normal stocks every 10 days thru the season.
//
int IDays = -30;
for (j = 8; j <= 25; j++)
{
IDays = IDays + 10;
double ten = 10;
if (Math.Abs(ID - IDays) < 10) Z[NObs, j] = 1.0 - (double)Math.Abs(ID - IDays) / ten;
}
//
// Heating-season (year) dummies
//
//Z[NObs, 26 + Today.Season - 2009] = 1;
Z[NObs, 26 + Today.Season - StartSampleYear] = 1;
//
// Write file to use in regression.
//
WriteSAS.Line(SASOut, Today, ID, B, Z, NObs, Spread, NVar); // 9-23-15 added spread
} // End if; checks season.
//
NFri = NFri + 1;
} // End while
//
NSeasons = NSeasons + 1;
} // End for i, StartSampleYear, EndYear
//*************************************************************
// Get means within spread groups before adding in the priors.
//
for (i = 2; i <= 7; i++)
MeanSprdByGroup[i] = MeanSprdByGroup[i] / CountByGroup[i];
MeanSprdByGroup[0] = MeanSprdByGroup[0] / CountByGroup[0];
//
// Read in smoothness priors for DiS dummies.
//
FileName = @"c:\\CSharp\\HeatingOil\\StockAdjReg15\\Priors.txt";
StreamReader priors = new StreamReader(FileName);
string Type; // Type of constraint goes in 1st 3 cols. Edited
while (!priors.EndOfStream)
{
input = priors.ReadLine();
NObs = NObs + 1;
Type = input.Substring(0, 3);
switch (Type)
{
case "DiS":
for (j = 8; j <= 25; j++)
Z[NObs, j] = Convert.ToDouble(input.Substring(3 + (j - 8) * 5, 5));
break;
case "Cat":
for (j = 2; j <= 7; j++)
Z[NObs, j] = Convert.ToDouble(input.Substring(3 + (j - 2) * 5, 5));
break;
default:
Console.WriteLine("Key word " + Type);
Console.WriteLine("Is invalid. Hit return to stop.");
Console.ReadKey();
Environment.Exit(-1);
break;
}
//
// Write priors to bottom of SAS file.
//
WriteSAS.Line(SASOut, Today, ID, B, Z, NObs, Spread, NVar);
} // End while
//
// Finally, add 3 constraints to make the spread cats, DiS dummies, & season
// dummies have zero means.
//
NObs = NObs + 1;
for (j = 2; j <= 7; j++)
Z[NObs, j] = CountByGroup[j]; // 12-22-15: 6 Spread dummies set to counts.
//
WriteSAS.Line(SASOut, Today, ID, B, Z, NObs, Spread, NVar); // 9-23-15 Added Spread
//
NObs = NObs + 1;
for (j = 8; j <= 25; j++)
Z[NObs, j] = 1; //DiS dummies set to 1.
WriteSAS.Line(SASOut, Today, ID, B, Z, NObs, Spread, NVar);
//
NObs = NObs + 1;
for (j = 26; j <= 26 + EndSampleYear - StartSampleYear; j++)
{
Z[NObs, j] = CountBySeason[j - 26 + 2009]; // 12-22-15: Heating-season dummies set to num obs.
}
WriteSAS.Line(SASOut, Today, ID, B, Z, NObs, Spread, NVar);
SASOut.Close();
//**********************************
// Call regression routines.
//
Piecewise piecewise = new Piecewise();
piecewise.Reg(regResults, NObs, Z, Beta, NVar, DepVarMean, B, StkSprdPLOut,
CoefLabel);
//
// Add means within spread groups to the bottom of the output file.
//
StkSprdPLOut.WriteLine(); // Inserted 12-19-14
StkSprdPLOut.WriteLine("Mean Spreads within Interval");
StkSprdPLOut.WriteLine("----------------------------");
StkSprdPLOut.WriteLine(); // Inserted 12-19-14
StkSprdPLOut.WriteLine(" Interval Count Mean");
StkSprdPLOut.WriteLine(" -------- ----- ---------");
for (i = 2; i <= 7; i++)
StkSprdPLOut.WriteLine(" " + string.Format("{0,9:#########0}", i - 1)
+ string.Format("{0,6:#####0}", CountByGroup[i])
+ string.Format("{0,10:###0.00000}", MeanSprdByGroup[i]));
//
StkSprdPLOut.WriteLine(" -------- ----- ---------");
StkSprdPLOut.WriteLine(" Total" + string.Format("{0,6:#####0}", CountByGroup[0])
+ string.Format("{0,10:###.00000}", MeanSprdByGroup[0]));
//
// Compute the intercepts & slopes of linear pieces.
//
StkSprdPLOut.WriteLine(); // Inserted 12-19-14
StkSprdPLOut.WriteLine();
StkSprdPLOut.WriteLine("Intercepts & slopes of linear pieces");
StkSprdPLOut.WriteLine("------------------------------------");
StkSprdPLOut.WriteLine(" Interval Intercept Slope");
StkSprdPLOut.WriteLine(" -------- --------- ---------");
//
for (i = 3; i <= 7; i++)
{
double Slope = (Beta[i - 1] - Beta[i]) / (MeanSprdByGroup[i - 1] - MeanSprdByGroup[i]);
Intercept = Beta[i - 1] - Slope * MeanSprdByGroup[i - 1];
StkSprdPLOut.WriteLine(string.Format(" " + "{0,11:###########0}", i - 2)
+ string.Format("{0,10:###0.00000}", Intercept)
+ string.Format("{0,10:####0.0000}", Slope));
}
//
// 12-4-13: Add starting & ending years to improve audit trail.
//
StkSprdPLOut.WriteLine();
StkSprdPLOut.WriteLine(" Span of Input Years: "
+ string.Format("{0,4:###0}", StartSampleYear)
+ "-"
+ string.Format("{0,4:###0}", EndSampleYear));
StkSprdPLOut.Close();
//
// Termination message
//
Console.WriteLine("See the output file:\n"
+ " StockSpreadPiecewiseLinearCoefs*.txt");
regResults.Close();
log.Close();
HDDOut.Close();
HDDDevs.Close();
Console.ReadKey();
}
