public void SetupFeatures(IFeatureCollection pathProcessFeaturesCollection)
{
var mappingFeature = pathProcessFeaturesCollection.GetFeature <IPathMappingFeature>();
_factorIndex = mappingFeature.GetDimension(_name);
_timesteps = pathProcessFeaturesCollection.GetFeature <ITimeStepsFeature>();
}
public void SetupFeatures(FeatureCollection pathProcessFeaturesCollection)
{
var mappingFeature = pathProcessFeaturesCollection.GetFeature <IPathMappingFeature>();
_factorIndex = mappingFeature.AddDimension(_name);
_timesteps = pathProcessFeaturesCollection.GetFeature <ITimeStepsFeature>();
var stepSize = (_expiryDate - _startDate).TotalDays / _numberOfSteps;
for (var i = 0; i < _numberOfSteps - 1; i++)
{
_timesteps.AddDate(_startDate.AddDays(i * stepSize));
}
_timesteps.AddDate(_expiryDate);
}
public void SetupFeatures(IFeatureCollection pathProcessFeaturesCollection)
{
var mappingFeature = pathProcessFeaturesCollection.GetFeature <IPathMappingFeature>();
_factorIndex = mappingFeature.AddDimension(_name);
_timesteps = pathProcessFeaturesCollection.GetFeature <ITimeStepsFeature>();
_timesteps.AddDates(_pastFixings.Keys.Where(x => x < _startDate));
var stepSize = (_expiryDate - _startDate).TotalDays / _numberOfSteps;
var simDates = new List <DateTime>();
for (var i = 0; i < _numberOfSteps; i++)
{
simDates.Add(_startDate.AddDays(i * stepSize).Date);
}
_timesteps.AddDates(simDates.Distinct());
}
public void SetupFeatures(IFeatureCollection pathProcessFeaturesCollection)
{
_factorIndices = new int[_codes.Count];
var mappingFeature = pathProcessFeaturesCollection.GetFeature <IPathMappingFeature>();
for (var c = 0; c < _factorIndices.Length; c++)
{
_factorIndices[c] = mappingFeature.AddDimension(_codes[c]);
}
_mainFactorIndex = mappingFeature.AddDimension(_name);
_timesteps = pathProcessFeaturesCollection.GetFeature <ITimeStepsFeature>();
var simDates = new List <DateTime>(_pastFixings.Keys.Where(x => x < _startDate));
var stepSize = (_expiryDate - _startDate).TotalDays / _numberOfSteps;
for (var i = 0; i < _numberOfSteps - 1; i++)
{
simDates.Add(_startDate.AddDays(i * stepSize).Date);
}
simDates = simDates.Distinct().ToList();
_timesteps.AddDates(simDates);
}
public void Finish(IFeatureCollection collection)
{
_timeFeature = collection.GetFeature <ITimeStepsFeature>();
_calculationDateIndices = _calculationDates.Select(d => _timeFeature.GetDateIndex(d)).ToArray();
_isComplete = true;
}
