Initial Commit

MarketData/MarketDataLib/MarketDataModel/Decay.cs

@@ -0,0 +1,122 @@
+using System;
+using System.Text;
+
+// Filename: Decay.cs
+// Author:Sean Kessler
+// Date:06/2003
+//      11/2003 modified as Per W. Stanzl to alleviate problem with potential loss of precision
+
+namespace MarketData.MarketDataModel
+{
+/// <summary>Decay - decay utility class</summary>
+  public class Decay
+  {
+    private int days;
+		private int applyDays;
+    private float[] decays;
+    private float seed;
+    private const float SEED=.0116F; 
+
+		public Decay(int days, float factor, int applyDays)
+		{
+			CreateDecay(factor, days, applyDays);
+		}
+	  public Decay(int days,float factor)
+	  {
+	    CreateDecay(factor,days, days);
+	  }
+    public Decay(int days)
+    {
+      CreateDecay(SEED,days, days);      
+    }
+    public float this[int day]
+    {
+      get{return decays[day];}
+      set{decays[day]=value;}
+    }
+    public int Count
+    {
+      get{return decays.Length;}
+    }
+    public void Reverse()
+    {
+      float[] inverted=new float[this.decays.Length];
+      for(int index=0;index<this.decays.Length;index++)
+      {
+        inverted[index]=this.decays[this.decays.Length-index-1];
+      }
+      decays=inverted;
+    }
+    public double[] ToDoubleReverse()
+    {
+      double[] decays=new double[this.decays.Length];
+      for(int index=0;index<this.decays.Length;index++)
+        decays[index]=this.decays[this.decays.Length-index-1];
+      return decays;
+    }
+    public void CreateDecay(int days)
+    {
+      CreateDecay(seed,days);
+    }
+    public void CreateDecay(float seed,int days)
+    {
+			CreateDecay(seed, days, applyDays);
+    }
+		public void CreateDecay(float seed,int days, int applyDays)
+		{
+			this.seed=seed;
+			this.days=days;
+			this.applyDays=applyDays;
+			decays=new float[days];
+
+			if (days > 0)
+			{
+				decays[0] = 1F;
+				if (applyDays > 0) decays[0] -= seed;
+			
+				for(int index=1;index<days;index++)
+				{
+					if (index < applyDays)
+						decays[index]=(1.00F-seed)*decays[index-1]; 
+					else
+						decays[index] = decays[index-1];
+				}
+			}
+			PostProcess();
+		}
+    public virtual void PostProcess()
+    {
+      return;
+    }
+    public float Seed
+    {
+      get{return seed;}
+    }
+    public int Days
+    {
+      get
+      {
+        return days;
+      }
+    }
+		public int ApplyDays
+		{
+			get
+			{
+				return applyDays;
+			}
+		}
+    public new string ToString()
+    {
+      StringBuilder sb=new StringBuilder();
+      int length=Count;
+      char[] crlf={'\r','\n'};
+
+      for(int day=0;day<length;day++)
+      {
+        sb.Append(this[day].ToString()).Append(crlf);
+      }
+      return sb.ToString();
+    }
+  }
+}