public List <IVintage> MakeDense(List <IVintage> vintages)
{
foreach (Vintage v in vintages.Where(x => x.Observations != null))
{
foreach (Observation o in v.Observations)
{
o.Vintage = v;
}
}
IList <IObservation> denseObservations = MakeDense(vintages.SelectMany(x => x.Observations).ToList());
List <IVintage> denseVintages = new List <IVintage>();
foreach (var grp in denseObservations.GroupBy(x => new { x.Vintage.VintageDate, x.Vintage.Symbol }))
{
IVintage v = grp.First().Vintage;
v.Observations = grp.ToList();
denseVintages.Add(v);
}
foreach (IVintage emptyVintage in vintages.Where(x => !(x.Observations?.Any() ?? false)).OrderBy(x => x.VintageDate))
{
IVintage copyFrom = denseVintages.OrderByDescending(x => x.VintageDate).FirstOrDefault(x => x.Symbol == emptyVintage.Symbol && x.VintageDate < emptyVintage.VintageDate);
if (copyFrom != null)
{
emptyVintage.Observations = copyFrom.Observations;
}
denseVintages.Add(emptyVintage);
}
return(denseVintages);
}
private void CopyDictToDenseObs(IVintage vintage, Dictionary <DateTime, IObservation> dict, List <IObservation> denseObs)
{
foreach (IObservation d in dict.Values)
{
IObservation newObs;
// obs is new if vintage date is != vintage.VintageDate
if (d.VintageDate != vintage.VintageDate)
{
newObs = new Observation {
Symbol = d.Symbol, VintageDate = vintage.VintageDate, ObsDate = d.ObsDate, Value = d.Value
}
}
;
else
{
newObs = d;
}
denseObs.Add(newObs);
}
}
