Seasonality

A deterministic annual seasonality function for a commodity log-forward curve: a sum of harmonics of the yearly cycle,

f(t) = sum_{k=1}^{K} ( aCos_k cos(2 pi k t) + aSin_k sin(2 pi k t) )

with t in years. Add f(t) to a model's log-forward; the coefficients are fitted once to the observed forward curve on the host and then held fixed (not differentiated).

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Record components

aCos: double[]
aSin: double[]

Methods

int harmonics()

double value(double t)

static Seasonality fit(double[] times, double[] values, int harmonics)

Least-squares fit of harmonics harmonics to (times, values) by the normal equations. values are the seasonal residuals of the log-forward curve (curve minus its smooth trend).