public static void SumOfFrame()
{
var builder = new FrameBuilder.Columns <int, string>();
builder.Add("column1", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
builder.Add("column2", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
builder.Add("column3", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
builder.Add("column4", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
var df = builder.Frame;
var sum = df.Sum().GetAllValues().ToArray();
Assert.AreEqual(10.0, sum[0].Value);
Assert.AreEqual(10.0, sum[1].Value);
}
public static void FramesOrderedAfterBuild()
{
var builder = new FrameBuilder.Columns <int, string>();
builder.Add("column1", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
builder.Add("column2", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
builder.Add("column3", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
builder.Add("column4", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
var frame = builder.Frame;
Assert.AreEqual(
new[] { "column1", "column2", "column3", "column4" },
frame.ColumnKeys.ToArray()
);
}
//------------------------------------------------------------------------------------------------
public Frame<DateTime, string> computeFuturesSpreads()
//------------------------------------------------------------------------------------------------
{
Log_.InfoFormat("Computing spreads...");
CombinedStatic = SpreadSeriesBuilder.combineFuturesAndBondStatic(BondStatic,FuturesStatic);
var columns = FuturesPrices.Columns;
FrameBuilder.Columns<DateTime, string> frameblder = new FrameBuilder.Columns<DateTime, string>();
// Iterate over columns for prices
foreach (var col in FuturesPrices.ColumnKeys)
{
var series = columns[col].As<double>();
//series = series.Select(kvp => calcFuturesMeasure(SpreadMetric_, col, kvp.Value, kvp.Key));
var dte_idx = series.Keys.ToList();
SeriesBuilder<DateTime,double> sb = new SeriesBuilder<DateTime, double>();
Tuple<DateTime, double> prev = null;
/* THIS ABSOLUTELY HAS TO BE IN ASCENDING ORDER */
dte_idx.Sort();
foreach(var dte in dte_idx)
{
var res = series.TryGet(dte);
if (res.HasValue)
{
double price = res.Value;
var staticRow = CombinedStatic.Rows.TryGet(col).ValueOrDefault;
/* This section is to account for deficiencies in our database. */
// Quit if we don't have static
if (staticRow == null)
{
sb.Add(dte, double.NaN);
continue;
}
// Quit if we have a bad price
if (price == 0.0)
{
sb.Add(dte, double.NaN);
continue;
}
// Quit if contract isn't even trading
var firstTradeDate = staticRow.GetAs<DateTime>("fut_first_trade_dt");
var lastTradeDate = staticRow.GetAs<DateTime>("last_tradeable_dt");
if (dte > lastTradeDate || dte < firstTradeDate)
{
sb.Add(dte, double.NaN);
continue;
}
// Get price for AUD
if (Conv_.Country == BondAnalytics.Country.AU)
{
DateTime maturity = TimeSeriesUtilities.LazySafeTryGetAs(staticRow, "Maturity", DateTime.MinValue);
int tenor = (int)Math.Round((maturity - dte).Days / 365.25);
price = BondAnalytics.CalcAUDFuturesContractValue(price, tenor);
}
// ASSUMPTION: Our DB seems to front fill by default. Skip days where no data is present
/*if (prev != null && price == prev.Item2)
{
sb.Add(dte, double.NaN);
continue;
} */
double metric = calcFuturesMeasure(SpreadMetric_, col, price, dte, previous: prev);
prev = new Tuple<DateTime, double>(dte, price);
sb.Add(dte, metric);
}
else
{
sb.Add(dte, double.NaN);
}
}
frameblder.Add(col, sb.Series);
}
var output = frameblder.Frame;
Log_.InfoFormat("Complete:");
//output.Print();
return output.SortRowsByKey();
}
public static void FramesOrderedAfterBuild()
{
var builder = new FrameBuilder.Columns<int, string>();
builder.Add("column1", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
builder.Add("column2", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
builder.Add("column3", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
builder.Add("column4", new[] { 1, 2, 3, 4 }.ToOrdinalSeries());
var frame = builder.Frame;
Assert.AreEqual(
new[] { "column1", "column2", "column3", "column4" },
frame.ColumnKeys.ToArray()
);
}