private void generate()
{
var args =
new RecentMovesGenerationArgs
{
CMTCurvePoints = new[] { 3d, 5d, 7d, 10d, 13d, 15d, 18d, 20d, 25d, 30d },
PeriodLenghts = new[] { 1, 5, 10, 21, 42, 63 }
};
var task =
new Task<IList<Tuple<string, IList<Tuple<string, double>>>>>(
() => RecentMovesHelper.GetGraphData(
args));
task.GetAwaiter().OnCompleted(() =>
{
var data = task.Result;
columnChartMultiArea1.Create(
rows_: args.Markets.Length,
columns_: args.CMTCurvePoints.Length,
data_: data,
xAxisLabelFormatString_: null,
yAxisLabelFormatString_: "##0.0#");
columnChartMultiArea1.SetColumnColors(
x => Singleton<SI.Controls.SpectrumColoursPositiveNegative>.Instance.GetColor(x, 3d));
var maxValue = data.Aggregate(0d,
(current, item) => item.Item2.Select(innerItem => Math.Abs(innerItem.Item2)).Concat(new[] {current}).Max());
columnChartMultiArea1.StandardizeYAxisLimits(maxValue);
LookFeel.ProcessControl(this);
});
task.Start();
}
public static IList<Tuple<string, IList<Tuple<string, double>>>> GetGraphData(RecentMovesGenerationArgs arg_)
{
var ret = new List<Tuple<string, IList<Tuple<string, double>>>>();
foreach (var market in arg_.Markets)
{
var hist = HistoricalCMT.GetInstance(BondAnalysisLineHelper.GetDefaultCurveForMarket(market), market,
arg_.Focus, false);
foreach (var curvePoint in arg_.CMTCurvePoints)
{
var item = new Tuple<string, IList<Tuple<string, double>>>(
item1: string.Format("{0}.{1}Y", EnumDescriptionAttribute.GetDescription(market), curvePoint),
item2: new List<Tuple<string, double>>());
ret.Add(item);
var pointIndex = CMTLine.IndexOfPoint(curvePoint);
var historicalCMTPoint = hist.CMTs.GetColumnValuesAsDDC(pointIndex);
var dailyVol = Statistics.Stdev(historicalCMTPoint.GetEndValues(arg_.DailyVolCalcWindow).Data);
Array.ForEach(arg_.PeriodLenghts, x =>
{
var move = historicalCMTPoint.Length >= x
? historicalCMTPoint.LastDataValue - historicalCMTPoint.Data[historicalCMTPoint.Length - x - 1]
: 0;
item.Item2.Add(new Tuple<string, double>(x.ToString(),
move / (dailyVol * Math.Sqrt(Convert.ToDouble(x)))));
});
}
}
return ret;
}
