void historicalRatesAnalysis(
SequenceStatistics& statistics,
std::vector<Date>& skippedDates,
std::vector<std::string>& skippedDatesErrorMessage,
const Date& startDate,
const Date& endDate,
const Period& step,
const std::vector<boost::shared_ptr<InterestRateIndex> >& indexes) {
skippedDates.clear();
skippedDatesErrorMessage.clear();
Size nRates = indexes.size();
statistics.reset(nRates);
std::vector<Rate> sample(nRates);
std::vector<Rate> prevSample(nRates);
std::vector<Rate> sampleDiff(nRates);
Calendar cal = indexes[0]->fixingCalendar();
// start with a valid business date
Date currentDate = cal.advance(startDate, 1*Days, Following);
bool isFirst = true;
// Loop over the historical dataset
for (; currentDate<=endDate;
currentDate = cal.advance(currentDate, step, Following)) {
try {
for (Size i=0; i<nRates; ++i) {
Rate fixing = indexes[i]->fixing(currentDate, false);
sample[i] = fixing;
}
} catch (std::exception& e) {
skippedDates.push_back(currentDate);
skippedDatesErrorMessage.push_back(e.what());
continue;
}
// From 2nd step onwards, calculate forward rate
// relative differences
if (!isFirst){
for (Size i=0; i<nRates; ++i)
sampleDiff[i] = sample[i]/prevSample[i] -1.0;
// add observation
statistics.add(sampleDiff.begin(), sampleDiff.end());
}
else
isFirst = false;
// Store last calculated forward rates
std::swap(prevSample, sample);
}
}
void handleKeyboard(int key) {
char cKey = (char)key;
// ESC
if(cKey == 27) {
b_running = false;
return;
}
// toggle mode
if(cKey == 'm') {
mode = (mode + 1) % 2;
std::stringstream ss;
ss << "mode: " << (mode == MODE_SAMPLES ? "samples" : "glint");
animator.setText(ss.str());
return;
}
if(cKey == 'd') { // delete sample
deleteSample();
bUpdateGraphics = true;
}
// see which mode
if(mode == MODE_SAMPLES) {
if(cKey == 'S') { // right arrow
nextSample();
bUpdateGraphics = true;
}
else if(cKey == 'Q') { // left arrow
prevSample();
bUpdateGraphics = true;
}
else if(cKey == 'R') { // up arrow
nextContainer();
bUpdateGraphics = true;
}
else if(cKey == 'T') { // down arrow
prevContainer();
bUpdateGraphics = true;
}
}
else if(mode == MODE_GLINT) {
calib::LEDCalibSample &sample = LEDContainers[indContainer].getSamples()[indSample];
if(cKey == 'S') { // right arrow
int sugg = sample.glint.x + 1;
if(sugg < 640) {
sample.glint.x = sugg;
}
bUpdateGraphics = true;
}
else if(cKey == 'Q') { // left arrow
int sugg = sample.glint.x - 1;
if(sugg >= 0) {
sample.glint.x = sugg;
}
bUpdateGraphics = true;
}
else if(cKey == 'R') { // up arrow
int sugg = sample.glint.y - 1;
if(sugg >= 0) {
sample.glint.y = sugg;
}
bUpdateGraphics = true;
}
else if(cKey == 'T') { // down arrow
int sugg = sample.glint.y + 1;
if(sugg < 480) {
sample.glint.y = sugg;
}
bUpdateGraphics = true;
}
}
}
