public void PairMarketDataRegressionMainTest()
{
const int kRegressionSec = 10;
const int kMinDataCount = 5;
const int kBufferSize = 10;
IPairMarketDataRegressionPolicy policy = new RegressionPolicyDefault();
PairMarketDataRegression regression = new PairMarketDataRegression(
kRegressionSec, kMinDataCount, kBufferSize, policy);
PairMarketDataRegression_Accessor acc = new PairMarketDataRegression_Accessor(
new PrivateObject(regression));
EmptyTest(acc);
OneDataTest(acc);
TwoDataTest(acc);
FiveDataTest(acc);
TenDataTest(acc);
ChangeSlopeTest(acc);
}
void LoadPeriodicMarketData(DateTime targetDate)
{
String KTB_SPOT_PATH = String.Format("{0}{1}_38000_ktb_spot_market_data_{2}_period.txt",
PATH,
targetDate.ToString("yyyy_MM_dd"),
SPOT_10YR);
String KTB_FUTURE_PATH = String.Format("{0}{1}_25412_future_market_data_{2}_period.txt",
PATH,
targetDate.ToString("yyyy_MM_dd"),
FUTURE_10YR);
_dataSpot10yr = new PeriodicMarketDataCollection(KTB_SPOT_PATH);
_dataFuture10yr = new PeriodicMarketDataCollection(KTB_FUTURE_PATH);
_regression = new PairMarketDataRegression(
60 * 60 * 6,
1000,
60 * 60 * 6 * 3,
new RegressionPolicyDefault());
}
public void Register(PairMarketDataRegression regression, ref RawMarketData rmdY, ref RawMarketData rmdX)
{
Datum datum = new Datum(regression, rmdY, rmdX);
_data.Add(datum);
}
public Datum(PairMarketDataRegression regression,
RawMarketData rmdY, RawMarketData rmdX)
{
this.Regression = regression;
this.RmdY = rmdY;
this.RmdX = rmdX;
}
