public static double[] GetFlyWeightings(BondAnalysisLine A_, BondAnalysisLine B_, BondAnalysisLine C_, FlyWeightingMethod method_ = FlyWeightingMethod.Standard, int history_ = 100)
{
switch (method_)
{
case FlyWeightingMethod.Standard:
{
return new[] {Bfly_Wing, Bfly_Belly, Bfly_Wing};
}
case FlyWeightingMethod.Value:
{
var Avals =
A_.GetHistoricValuesForField(BondField.YieldLive)
.GetEndValues(history_ + 1)
.GetSubValues<double>(excludeFunction_: double.IsNaN);
var Bvals =
B_.GetHistoricValuesForField(BondField.YieldLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var Cvals =
C_.GetHistoricValuesForField(BondField.YieldLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var CminusB = Cvals.Minus(Bvals).ToDifferences().Stdev();
var BminusA = Bvals.Minus(Avals).ToDifferences().Stdev();
var ratio = CminusB/BminusA;
return new double[]
{
ratio/(ratio+1d),
1d,
1d/(ratio+1d)
};
}
case FlyWeightingMethod.PCAyield:
case FlyWeightingMethod.PCAasw:
{
var Avals =
A_.GetHistoricValuesForField(method_==FlyWeightingMethod.PCAyield ? BondField.YieldLive : BondField.ASWLive)
.GetEndValues(history_ + 1)
.GetSubValues<double>(excludeFunction_: double.IsNaN);
var Bvals =
B_.GetHistoricValuesForField(method_ == FlyWeightingMethod.PCAyield ? BondField.YieldLive : BondField.ASWLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var Cvals =
C_.GetHistoricValuesForField(method_ == FlyWeightingMethod.PCAyield ? BondField.YieldLive : BondField.ASWLive)
.GetEndValues(history_ + 1)
.GetSubValues(excludeFunction_: double.IsNaN);
var inlineDates = new[] {Avals, Bvals, Cvals}.IntersectDatesKeepSeparate();
var dblArr = new double[inlineDates[0].Length, 3];
for(int i=0;i<inlineDates[0].Length;++i)
for (int j = 0; j < 3; ++j)
dblArr[i, j] = inlineDates[j].Data[i];
var pcaWeights = Symmetry.Analytics.PCA.CalculateOptimalHedgeRatios(dblArr, false, 3,
new double?[] {null, 1d, null});
return pcaWeights;
}
}
return null;
}
public bool SetValuesForLineAndFocus(BondAnalysisLine line_, BondField field_)
{
m_allValues = line_.GetHistoricValuesForField(field_);
m_seriesName= BondAnalysisLineHelper.FindColumnNameForField(field_);
return reloadInstrumentHistory();
}
