Tuple<DateTime, double> GetVol(int cur_index, IncrementData inc_data)
{
IList<DateTime> key_list = this.ActiveDays.Keys;
int start_index = Math.Max(cur_index - VOL_DAYS + 1, 0);
List<double> values = new List<double>();
for (int i = start_index; i <= cur_index; ++i)
{
DateTime dt_cur = key_list[i];
if (inc_data.Kospi.ContainsKey(dt_cur))
{
values.Add(inc_data.Kospi[dt_cur]);
}
}
if (values.Count <= 1)
{
return null;
}
double stdev = GetStandardDeviation(values);
return new Tuple<DateTime, double>
(key_list[cur_index], stdev * Math.Sqrt(252));
}
void SetKospiVolData(IncrementData inc_data)
{
this.Kospi = new SortedList<DateTime, double>();
IList<DateTime> key_list = this.ActiveDays.Keys;
for (int i = 0; i < key_list.Count; ++i)
{
Tuple<DateTime, double> vol = GetVol(i, inc_data);
if (vol != null)
{
this.Kospi.Add(vol.Item1, vol.Item2);
//logger.Info("{0} - {1:n3}", vol.Item1, vol.Item2);
}
}
}
public VolData(DataFromDB data_from_db, IncrementData inc_data)
{
this.ActiveDays = data_from_db.ActiveDays;
SetKospiVolData(inc_data);
}