@Override
protected LocalDateDoubleTimeSeries getReturnSeries(
LocalDateDoubleTimeSeries ts, ValueRequirement desiredValue) {
LocalDateDoubleTimeSeries differenceSeries = super.getReturnSeries(ts, desiredValue);
double lambda =
Double.parseDouble(
desiredValue.getConstraint(
VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
TimeSeriesWeightedVolatilityOperator weightedVol =
new TimeSeriesWeightedVolatilityOperator(lambda);
LocalDateDoubleTimeSeries weightedVolSeries =
(LocalDateDoubleTimeSeries) weightedVol.evaluate(ts);
int n = weightedVolSeries.size();
double endDateWeightedVol = weightedVolSeries.getLatestValueFast();
double[] volWeightedDifferences = new double[n];
for (int i = 0; i < n; i++) {
System.out.println(
differenceSeries.getTimeAtIndex(i)
+ ","
+ differenceSeries.getValueAtIndexFast(i)
+ ","
+ weightedVolSeries.getValueAtIndexFast(i));
volWeightedDifferences[i] =
differenceSeries.getValueAtIndexFast(i)
* endDateWeightedVol
/ weightedVolSeries.getValueAtIndexFast(i);
}
LocalDateDoubleTimeSeries volWeightedDifferenceSeries =
ImmutableLocalDateDoubleTimeSeries.of(
weightedVolSeries.timesArrayFast(), volWeightedDifferences);
return volWeightedDifferenceSeries;
}
