public List <IndexForecast> ComputeIndexForecast()
{
List <IndexForecast> indexForecast = new List <IndexForecast>();
var statisticalInputs = GetStatisticalInputData();
var principalData = ComputeScenarioPrincipalComponents(statisticalInputs);
double indexStandardDeviation = ComputeHistoricIndexStandardDeviation();
double indexMean = ComputeHistoricIndexMean();
var cp = new Macro_Processor().GetMacroResult_Statistics(this._eclId, this._eclType);
var engenValues = statisticalInputs.Where(o => o.Mode == StatisticalInputsRowKeys.Eigenvalues).Select(p => p.MacroEconomicValue).ToList();
for (int i = 0; i < engenValues.Count; i++)
{
if (i == 0)
{
cp.IndexWeight1 = engenValues[i] / engenValues.Take(2).Sum();
}
if (i == 1)
{
cp.IndexWeight2 = engenValues[i] / engenValues.Take(2).Sum();
}
if (i == 2)
{
cp.IndexWeight3 = 0;// engenValues[i] / engenValues.Take(3).Sum();
}
if (i == 3)
{
cp.IndexWeight4 = 0;// engenValues[i] / engenValues.Take(4).Sum();
}
}
foreach (var itm in principalData)
{
double actual = (itm.Principal1 * cp.IndexWeight1.Value) + (itm.Principal2 * cp.IndexWeight2.Value) + (itm.Principal3 * cp.IndexWeight3.Value) + (itm.Principal4 * cp.IndexWeight4.Value);
var dr = new IndexForecast();
dr.Date = itm.Date;
dr.Actual = actual;
dr.Standardised = indexStandardDeviation == 0 ? 0 : (actual - indexMean) / indexStandardDeviation;
indexForecast.Add(dr);
}
return(indexForecast);
}
protected List <IndexForecast> ComputeScenarioStandardisedData(List <PDI_StatisticalInputs> statisticalInputs)
{
List <IndexForecast> standardisedData = new List <IndexForecast>();
//var statisticalInputs = GetStatisticalInputData();
var originalData = GetScenarioProjectionOriginalData();
//double macroeconomicStandardDeviation = ComputeHistoricIndexStandardDeviation();
//double macroeconomicMean = ComputeHistoricIndexMean();
foreach (var row in originalData)
{
var macroeconomicMean = statisticalInputs.FirstOrDefault(o => o.MacroEconomicVariableId == row.MacroEconomicVariableId && o.Mode == StatisticalInputsRowKeys.Mean);
var macroeconomicStandardDeviation = statisticalInputs.FirstOrDefault(o => o.MacroEconomicVariableId == row.MacroEconomicVariableId && o.Mode == StatisticalInputsRowKeys.StandardDeviation);
//****************************************
if (macroeconomicMean == null)
{
macroeconomicMean = new PDI_StatisticalInputs {
MacroEconomicValue = 0, MacroEconomicVariableId = 0
}
}
;
if (macroeconomicStandardDeviation == null)
{
macroeconomicStandardDeviation = new PDI_StatisticalInputs {
MacroEconomicValue = 0, MacroEconomicVariableId = 0
}
}
;
var dr = new IndexForecast();
dr.Date = row.Date;
dr.MacroEconomicVariableId = row.MacroEconomicVariableId;
if (macroeconomicStandardDeviation.MacroEconomicValue == 0)
{
macroeconomicStandardDeviation.MacroEconomicValue = 1;
}
dr.MacroEconomicValue = (row.MacroEconomicValue - macroeconomicMean.MacroEconomicValue) / macroeconomicStandardDeviation.MacroEconomicValue;
standardisedData.Add(dr);
//Log4Net.Log.Info($"{dr.Date},{dr.MacroEconomicVariableId},{dr.MacroEconomicValue},{this._Scenario.ToString()}++++++");
}
return(standardisedData);
}
protected List <IndexForecast> GetScenarioProjectionOriginalData()
{
var originalData = new List <IndexForecast>();
var projections = GetScenarioProjectionData();
//originalData = projections.AsEnumerable()
// .Where(row => row.Field<DateTime>(MacroeconomicProjectionColumns.Date) > TempEclData.ReportDate)
// .CopyToDataTable();
var qry = Queries.Get_AffiliateId(this._eclId, this._eclType);
var dt = DataAccess.i.GetData(qry);
var affiliateId = Convert.ToInt32(dt.Rows[0][0]);
qry = Queries.Get_AffiliateMEVBackDateValues(this._eclId, this._eclType);
dt = DataAccess.i.GetData(qry);
var MEVBackDate = new List <AffiliateMEVBackDateValues>();
foreach (DataRow dr in dt.Rows)
{
MEVBackDate.Add(DataAccess.i.ParseDataToObject(new AffiliateMEVBackDateValues(), dr));
}
var lastMacroVariableId = MEVBackDate.Select(o => o.MicroEconomicId).Distinct().Last();
projections = projections.OrderByDescending(o => o.Date).ToList();
for (int i = 0; i < projections.Count; i++)
{
if (1 != 1)//(affiliateId == 5 || affiliateId == 46 || affiliateId == 47) && projections[i].MacroEconomicVariableId == lastMacroVariableId)
{
var prevItm = projections.FirstOrDefault(o => o.MacroEconomicVariableId == lastMacroVariableId && o.Date < projections[i].Date);
if (prevItm != null)
{
projections[i].BestEstimateMacroEconomicValue = projections[i].BestEstimateMacroEconomicValue - prevItm.BestEstimateMacroEconomicValue;
projections[i].OptimisticMacroEconomicValue = projections[i].OptimisticMacroEconomicValue - prevItm.OptimisticMacroEconomicValue;
projections[i].DownturnMacroEconomicValue = projections[i].DownturnMacroEconomicValue - prevItm.DownturnMacroEconomicValue;
}
else
{
projections[i].BestEstimateMacroEconomicValue = 0;
projections[i].OptimisticMacroEconomicValue = 0;
projections[i].DownturnMacroEconomicValue = 0;
}
}
}
var reportingDate = GetReportingDate(_eclType, _eclId);
//Log4Net.Log.Info("=================");
for (int i = 0; i < projections.Count; i++)
{
if (projections[i].Date > reportingDate)// && i > 3
{
var itm = projections[i];
var bdate = MEVBackDate.FirstOrDefault(o => o.MicroEconomicId == itm.MacroEconomicVariableId);
var _bdate = 0;
if (bdate != null)
{
//if (bdate.BackDateQuarters == 1)
//{
// bdate.BackDateQuarters = bdate.BackDateQuarters;
//}
_bdate = bdate.BackDateQuarters * 3;
}
var _dt = itm.Date.AddMonths(-_bdate);
var _itm = projections.OrderBy(p => p.Date).FirstOrDefault(o => o.MacroEconomicVariableId == itm.MacroEconomicVariableId && o.Date.Month == _dt.Month && o.Date.Year == _dt.Year); // == GetLastDayOfMonth(itm.Date.AddMonths(-_bdate))
if (_itm == null)
{
if (projections.Count > 0)
{
_itm = projections.Last();
}
}
var dr = new IndexForecast();
dr.Date = itm.Date;
dr.MacroEconomicVariableId = itm.MacroEconomicVariableId;
if (this._Scenario == ECL_Scenario.Best)
{
dr.MacroEconomicValue = _itm.BestEstimateMacroEconomicValue;
}
if (this._Scenario == ECL_Scenario.Downturn)
{
dr.MacroEconomicValue = _itm.DownturnMacroEconomicValue;
}
if (this._Scenario == ECL_Scenario.Optimistic)
{
dr.MacroEconomicValue = _itm.OptimisticMacroEconomicValue;
}
originalData.Add(dr);
//Log4Net.Log.Info($"{dr.Date},{dr.MacroEconomicVariableId},{dr.MacroEconomicValue},{this._Scenario.ToString()}");
}
}
return(originalData);
}
