public RollResultContractItem Concat(RollResultContractItem other)
{
return new RollResultContractItem
{
MMS = MMS.Concat(other.MMS),
TrueSpread = TrueSpread.Concat(other.TrueSpread),
spread = spread.Concat(other.spread),
Yield = Yield.Concat(other.Yield),
Price = Price.Concat(other.Price),
};
}
private static DatedDataCollectionGen<RollResultItem> ComputeSmoothRollResultWrapper(RollResultContractItem resultseries1,
RollResultContractItem resultseries2,
Func<RollResultContractItem, DatedDataCollectionGen<RollResultItem>> GetComputedRollResult,
bool smoothStart, string moniker,
Func<RollResults, RollResultContractItem> generationResult1, Func<RollResults, RollResultContractItem> generationResult2)
{
var priceResult1 = resultseries1.ResultDates.Select(d => new Tuple<DateTime, RollResultItem>(d, GetComputedRollResult(resultseries1).ValueOnDate(d))).ToArray();
var priceResult2 = resultseries2.ResultDates.Select(d => new Tuple<DateTime, RollResultItem>(d, GetComputedRollResult(resultseries2).ValueOnDate(d))).ToArray();
if (!priceResult1.Any() || (!smoothStart && !priceResult2.Any()))
return null;
double smoothpoint = 0.0;
var priceResultAdjTup = IntersectDates(priceResult1, priceResult2);
var priceResult1List = priceResultAdjTup.Item1.ToList();
var priceResult2List = priceResultAdjTup.Item2.ToList();
// get last point smooth result from carbon
if (smoothStart)
{
var savedFrame = CarbonModel.RetrieveFrameFromCarbon(moniker).Result;
var savedResults = savedFrame.ToRollResult(moniker);
var lastSavedDate = savedResults.CurrentResult.ResultDates.Last();
var fetchedDate = resultseries1.ResultDates.First() > lastSavedDate ? lastSavedDate : FindPreviousDayFromSaveData(savedResults.CurrentResult.ResultDates, resultseries1.ResultDates.First());
smoothpoint = GetComputedRollResult(savedResults.SmoothResult).ValueOnDate(fetchedDate).Value;
priceResult1List.Insert(0, new Tuple<DateTime, RollResultItem>(fetchedDate, GetComputedRollResult(generationResult1(savedResults)).ValueOnDate(fetchedDate)));
priceResult2List.Insert(0, new Tuple<DateTime, RollResultItem>(fetchedDate, GetComputedRollResult(generationResult2(savedResults)).ValueOnDate(fetchedDate)));
}
var smooth = SmoothCalculator.ComputeSmoothSeries(priceResult1List.ToArray(), p1 => p1.Name, p1 => p1.Value, priceResult2List.ToArray(), p2 => p2.Name, p2 => p2.Value, smoothStart, smoothpoint);
var resultArray = smooth.Dates.Select(d => new RollResultItem
{
Name = "smooth",
Value = smooth.ValueOnDate(d)
}).ToArray();
return new DatedDataCollectionGen<RollResultItem>(smooth.Dates, resultArray);
}
public static RollResultContractItem SmoothAllResultSeries(RollResultContractItem resultseries1, RollResultContractItem resultseries2, bool smoothStart, string moniker,
Func<RollResults, RollResultContractItem> generationResult1, Func<RollResults, RollResultContractItem> generationResult2)
{
var price = ComputeSmoothRollResultWrapper(resultseries1, resultseries2, r => r.Price, smoothStart, moniker, generationResult1, generationResult2);
var yield = ComputeSmoothRollResultWrapper(resultseries1, resultseries2, r => r.Yield, smoothStart, moniker, generationResult1, generationResult2);
var mms = ComputeSmoothRollResultWrapper(resultseries1, resultseries2, r => r.MMS, smoothStart, moniker, generationResult1, generationResult2);
var ts = ComputeSmoothRollResultWrapper(resultseries1, resultseries2, r => r.TrueSpread, smoothStart, moniker, generationResult1, generationResult2);
var s = ComputeSmoothRollResultWrapper(resultseries1, resultseries2, r => r.spread, smoothStart, moniker, generationResult1, generationResult2);
return new RollResultContractItem
{
Price = price,
Yield = yield,
MMS = mms,
TrueSpread = ts,
spread = s,
};
}
