public double GetRate(DateTime targetDate)
{
RateAtDate before = new RateAtDate();
RateAtDate after = new RateAtDate();
foreach (var item in sortedSource)
{
if (item.Date == targetDate)
{
return(item.Rate);
}
if (item.Date < targetDate)
{
before = item;
}
else
{
after = item;
break;
}
}
return(InterpolatedRate(before, after, targetDate));
}
protected override double InterpolatedRate(RateAtDate before, RateAtDate after, DateTime targetDate)
{
double mu = Utils.GetMu(before, after, targetDate);
double mu2 = (1 - Math.Cos(mu * Math.PI)) / 2;
return(before.Rate * (1 - mu2) + after.Rate * mu2);
}
internal static double GetMu(RateAtDate before, RateAtDate after, DateTime targetDate)
{
Contract.Requires(after.Date != before.Date);
return((targetDate - before.Date).TotalMilliseconds /
(after.Date - before.Date).TotalMilliseconds);
}
public double GetRate(DateTime targetDate)
{
Contract.Requires(SortedSource != null);
Contract.Requires(targetDate >= SortedSource[0].Date);
Contract.Requires(targetDate <= SortedSource[SortedSource.Count - 1].Date);
RateAtDate before = new RateAtDate();
RateAtDate after = new RateAtDate();
foreach (var item in sortedSource)
{
if (item.Date == targetDate)
{
return(item.Rate);
}
if (item.Date < targetDate)
{
before = item;
}
else
{
after = item;
break;
}
}
return(InterpolatedRate(before, after, targetDate));
}
static void Main(string[] args)
{
RateAtDate[] rates = new RateAtDate[]
{
new RateAtDate("10/10/2009", 4.01),
new RateAtDate("11/10/2009", 4.01),
new RateAtDate("12/10/2009", 4.02),
new RateAtDate("17/10/2009", 4.14),
new RateAtDate("31/10/2009", 4.25),
new RateAtDate("30/11/2009", 4.35),
new RateAtDate("28/02/2010", 4.5),
new RateAtDate("31/05/2010", 4.75),
new RateAtDate("10/10/2010", 5.13),
new RateAtDate("10/10/2015", 5.5),
};
string rootPath = Path.GetDirectoryName(Assembly.GetExecutingAssembly().Location);
Visualizer visualizer = new Visualizer(rootPath + @"\testdata");
visualizer.Visualize(rates, 3000);
}
protected abstract double InterpolatedRate(RateAtDate before, RateAtDate after, DateTime targetDate);
protected override double InterpolatedRate(RateAtDate before, RateAtDate after, DateTime targetDate)
{
double mu = Utils.GetMu(before, after, targetDate);
return(before.Rate * (1 - mu) + after.Rate * mu);
}
