private int CalcCorridorBySplitHeights3(IList <Rate> rates)
{
var ratesReversedOriginal = rates.ReverseIfNot().SafeArray();
var stDev = StDevByPriceAvg.Avg(StDevByHeight);
Func <int> getDefault = () => {
var startDate = CorridorStats.Rates.CopyLast(1).Select(r => r.StartDate).DefaultIfEmpty().First();
return(ratesReversedOriginal.TakeWhile(r => r.StartDate >= startDate).Count());
};
return(RunSplits(rates, _priceAvg, CorrelationMinimum.ToInt()).RunIfEmpty(getDefault).Max());
}
private int CalcCorridorBySplitHeights(IList <Rate> rates)
{
var ratesReversedOriginal = rates.ReverseIfNot().SafeArray();
var stDev = StDevByPriceAvg.Max(StDevByHeight);
for (var i = 2; i < ratesReversedOriginal.Length; i += 2)
{
if (ratesReversedOriginal.CopyToArray(i / 2, i / 2).Height()
.Min(ratesReversedOriginal.SafeArray().CopyToArray(i / 2).Height()) > stDev)
{
return(i);
}
}
return(ratesReversedOriginal.Length);
}
private Func<double> GetHeightMinFunc(CorridorByStDevRatio func) {
switch(func) {
case CorridorByStDevRatio.HPAverage:
return () => StDevByPriceAvg.Avg(StDevByHeight);
case CorridorByStDevRatio.Height:
return () => StDevByHeight;
case CorridorByStDevRatio.Price:
return () => StDevByPriceAvg;
case CorridorByStDevRatio.HeightPrice:
return () => StDevByPriceAvg + StDevByHeight;
case CorridorByStDevRatio.Height2:
return () => StDevByHeight * 2;
case CorridorByStDevRatio.Price12:
return () => StDevByPriceAvg * _stDevUniformRatio / 2;
case CorridorByStDevRatio.Price2:
return () => StDevByPriceAvg * 2;
default:
throw new NotSupportedException(new { CorridorByStDevRatioFunc } + "");
}
}