Init

2024-02-23 06:53:16 -05:00
commit dbdccce727
1094 changed files with 57645 additions and 0 deletions
--- a/MarketDataLib/Numerics/Spline.cs
+++ b/MarketDataLib/Numerics/Spline.cs
@@ -0,0 +1,114 @@
+using System;
+using System.Collections;
+
+namespace MarketData.Numerical
+{
+// The column is the key, the row is the value.
+// For Time series elements put the date in the column and the value in the row
+  public class Element
+  {
+    private double row;
+    private double column;
+
+    public Element()
+    {
+    }
+    public Element(double column, double row)
+    {
+      this.column = column;
+      this.row = row;
+    }
+    public double Row
+    {
+      get { return row; }
+      set { row = value; }
+    }
+    public double Column
+    {
+      get { return column; }
+      set { column = value; }
+    }
+  }
+  public class CatmullRom
+  {
+    private CatmullRom()
+    {
+    }
+    public static bool PerformSpline(Element[] sourcePairs, Element[] destPairs)
+    {
+      double a0, a1, a2, a3;
+      double dx, dx1, dx2;
+      double dy, dy1, dy2;
+      double endPointOne;
+      double endPointTwo;
+      double resamplingPos;
+      double xPoint;
+      int clampOne, clampTwo;
+      int direction;
+      int destSize = destPairs.Length;
+      int sourceSize = sourcePairs.Length;
+      int inputIndex, index;
+
+      a0 = a1 = a2 = a3 = endPointOne = 0;
+      if (sourceSize < 2 || destSize < 1) return false;
+      if (((Element)sourcePairs[0]).Column < ((Element)sourcePairs[1]).Column)
+      {
+        if (((Element)destPairs[0]).Column < ((Element)sourcePairs[0]).Column ||
+          ((Element)destPairs[destSize - 1]).Column > ((Element)sourcePairs[sourceSize - 1]).Column)
+          direction = 0;
+        else direction = 1;
+      }
+      else
+      {
+        if (((Element)destPairs[0]).Column > ((Element)sourcePairs[0]).Column ||
+          ((Element)destPairs[destSize - 1]).Column < ((Element)sourcePairs[sourceSize - 1]).Column)
+          direction = 0;
+        else direction = -1;
+      }
+      if (0 == direction) return false;
+      if (1 == direction) endPointTwo = ((Element)destPairs[0]).Column - 1;
+      else endPointTwo = ((Element)destPairs[0]).Column + 1;
+      for (index = 0; index < destSize; index++)
+      {
+        resamplingPos = ((Element)destPairs[index]).Column;
+        if ((1 == direction && resamplingPos > endPointTwo) ||
+          (-1 == direction && resamplingPos < endPointTwo))
+        {
+          for (inputIndex = 0; inputIndex < sourceSize && resamplingPos > ((Element)sourcePairs[inputIndex]).Column; inputIndex++) ;
+          if (resamplingPos < ((Element)sourcePairs[inputIndex]).Column) inputIndex--;
+          if (inputIndex < 0) inputIndex = 0;
+          else if (inputIndex == sourceSize-1) inputIndex--;
+          endPointOne = ((Element)sourcePairs[inputIndex]).Column;
+          endPointTwo = ((Element)sourcePairs[inputIndex + 1]).Column;
+          clampOne = Math.Max(inputIndex - 1, 0);
+          clampTwo = Math.Min(inputIndex + 2, sourceSize - 1);
+          double clampOneValue = ((Element)sourcePairs[clampOne]).Column;
+          double clampTwoValue = ((Element)sourcePairs[clampTwo]).Column;
+          dx = 1.0 / ((endPointTwo - endPointOne)==0?1:(endPointTwo-endPointOne));
+          dx1 = 1.0 / ((endPointTwo - clampOneValue) == 0 ? 1 : (endPointTwo - clampOneValue));
+          dx2 = 1.0 / (clampTwoValue-endPointOne == 0 ? 1 : (clampTwoValue - endPointOne));
+          dy = (((Element)sourcePairs[inputIndex + 1]).Row - ((Element)sourcePairs[inputIndex]).Row) * dx;
+          dy1 = (((Element)sourcePairs[inputIndex + 1]).Row - ((Element)sourcePairs[clampOne]).Row) * dx1;
+          dy2 = (((Element)sourcePairs[clampTwo]).Row - ((Element)sourcePairs[inputIndex]).Row) * dx2;
+          a0 = ((Element)sourcePairs[inputIndex]).Row;
+          a1 = dy1;
+          a2 = dx * (3 * dy - 2 * dy1 - dy2);
+          a3 = dx * dx * (-2 * dy + dy1 + dy2);
+        }
+        xPoint = resamplingPos - endPointOne;
+        ((Element)destPairs[index]).Row = ((a3 * xPoint + a2) * xPoint + a1) * xPoint + a0;
+      }
+      return true;
+    }
+    public static Element[] CreateSplineSourceElements(double[] columns, double[] rows)
+    {
+      Element[] elements = new Element[columns.Length];
+      if (columns.Length != rows.Length) return null;
+      for (int index = 0; index < columns.Length; index++)
+      {
+        elements[index] = new Element(columns[index], rows[index]);
+      }
+      return elements;
+    }
+  }
+} // namespace