public static void Go()
{
var fitter = new Symmetry.Analytics.NelsonSiegelFunctions();
var dict = new SortedDictionary<double, double>()
{
{1.77686516084873, 7.02258439032354},
{1.94661190965092, 5.55628594809711},
{2.03148528405202, 13.4499348492539},
{2.28336755646817, 20.8080886146473},
{2.52703627652293, 26.708948176717},
{2.77618069815195, 29.0304207558132},
{3.03080082135524, 31.9613539334921},
{3.52635181382615, 44.3648603406478},
{3.77549623545517, 49.8256945309099},
{4.03011635865845, 55.1820816816955},
{4.28199863107461, 63.633515779337},
{4.5284052019165, 72.5887030333266},
{4.77754962354552, 79.1075346964096},
{5.0321697467488, 82.0120316869707},
{5.52772073921971, 94.2689492282797},
{6.28336755646817, 110.992745133981},
{7.28268309377139, 134.692483621496},
{8.03011635865845, 148.438811164893},
{8.28199863107461, 152.549894925683},
{8.5284052019165, 159.612570569027},
{9.0321697467488, 166.24430340512},
{9.52772073921971, 169.028522966936},
{9.77686516084873, 173.462367280208},
{10.031485284052, 176.291486746032},
{10.776180698152, 188.459931925669},
{13.0321697467488, 215.431359347361},
{13.284052019165, 215.593435793301},
{14.776180698152, 229.360350538866},
{16.7775496235455, 238.927110491854},
{21.284052019165, 266.755305803095},
{24.7775496235455, 276.636968109384},
{25.7768651608487, 280.324496354856},
{29.0321697467488, 285.581578349661},
};
fitter.NSFitLM(dict.Keys.ToArray(), dict.Values.ToArray());
foreach( var tenor in dict.Keys)
{
Console.WriteLine(string.Format("{0} => {1} => {2}",
tenor,
dict[tenor],
Symmetry.Analytics.NelsonSiegelFunctions.NSCalcYield(fitter.Result, tenor)
));
}
}
public void Dispose()
{
subscribeToCentralEvent(false);
m_fitter = null;
m_bondList.Clear();
m_bondsForFit = null;
}
public SmoothCurveCalculator(
CMTLine cml_,
int cmlStartTenor_,
int cmlEndTenor_,
IList<BondAnalysisLine> list_,
BondField timeToMaturityField_,
BondField valueField_,
BondField fittedValueField_,
SmoothCurveSettings settings_,
int recalcNumber_,
bool updateOnCalcEvent_=true,
bool updateOnMinusOffsetChange_=false)
{
m_bondList = list_;
m_timeToMaturityField = timeToMaturityField_;
m_valueField = valueField_;
m_fittedValueField = fittedValueField_;
m_settings = settings_;
m_cmlStartTenor = cmlStartTenor_;
m_cmlEndTenor = cmlEndTenor_;
m_fitter = new Symmetry.Analytics.NelsonSiegelFunctions();
m_cml = cml_;
//m_settings.PropertyChanged += (a, b) => RebuildCurve(reReadSetup_: true);
reReadSetup();
m_applyCycleNumber = recalcNumber_;
#if DEBUG
Logger.Debug(string.Format("{0} fit will be generated on cycle {1}", m_cml.Market, m_applyCycleNumber), typeof(SmoothCurveCalculator));
#endif
m_updateOnCalcEvent = updateOnCalcEvent_;
subscribeToCentralEvent();
// if the curve build settings change then want to recalc everything
settings_.PropertyChanged += (a, b) =>
{
Logger.Debug(string.Format("Args changed - recalcing {0} fit", m_valueField), typeof (SmoothCurveCalculator));
RebuildCurveAndApplyResults();
};
if (updateOnMinusOffsetChange_)
{
m_updateOnMinusOffsetChange = true;
GlobalSettings.Instance().PropertyChanged += (a, b) =>
{
if (String.Compare(b.PropertyName, "MinusOffset", StringComparison.OrdinalIgnoreCase) == 0)
{
// this will mean this will get updated on the next cycle
subscribeToCentralEvent(true);
}
};
}
foreach (var bond in m_bondList)
bond.PropertyChanged += (x, y) =>
{
if (String.Compare("IncludeInFit", y.PropertyName, StringComparison.OrdinalIgnoreCase) == 0)
{
RebuildCurve(reReadSetup_: true);
ApplyBuildResults();
}
};
;
}
