Fill | None Fill Forward - Uses the last valid value in the series
and copies it forward, eliminating the NaNs until the next
valid value occurs. Fill Backward - Uses the first valid value
after a run of NaNs and fills the value back in time to the
previous valid value. Fill Linear Interpolation - Creates synthetic
values for the span of NaN values based on the last known
value and the next known value by creating linear
interpolated values between them. Formula: x1 = last known value x2 = next known value w1 = # of days from x1 to the missing date w2 = # of days from x2 to the missing date Examples: Without Fill Interpolate
Linear: Date Day 1 09/02/2001 Sun 11.7500 09/03/2001 Mon NaN 09/04/2001 Tue NaN 09/05/2001 Wed NaN 09/06/2001 Thu NaN 09/07/2001 Fri 17.0000 With Fill Interpolate
Linear: Date Day 1 09/02/2001 Sun 11.7500 --- x1 09/03/2001 Mon 12.8000 09/04/2001 Tue 13.8500 09/05/2001 Wed 14.9000 09/06/2001 Thu 15.9500 09/07/2001 Fri 17.0000 --- x2 For 9/03/2001: x1 = 11.75 x2 = 17 w1 = 1 (# of days missing date is from
the first value) w2 = 4 (# of days missing date is from
the second value) 9/03/2001 = (11.75*4 + 17*1)/5 =
12.8 9/04/2001 = (11.75*3 + 17*2)/5 =
13.85
Fill Up - Fills from generated curve, same
position for a previous day/year. If value found at this
generated curve is NaN, MIMIC does not proceed to find a
value past four generated curves. This is the limit set. For
example, if there are forward curve values for June 20th,
the “fill up” value is the value found on June 19th. If a
NaN is in this location on June 19th, MIMIC generates the
curve for June 18th. We will go back 4 days only. The reason MIMIC limits the search for a non NaN value
is because we do not know how many days back we will have to
search for a non NaN value. Same is true for monthly and
quarterly values. If there is a NaN value for the January
2001 monthly average, MIMIC can fill upward from the January
2000 monthly average. If there is a first quarterly average
of 2001 that was a NaN value MIMIC can fill upward from the
first quarterly average of 2000. The value MIMIC retrieves
several days/years ago may not have any meaning to this
curve and therefore a limit of four curve generations is in
place.
Fill Down - Fills from a generated curve, same
position for the next day/year. If the value found at this
generated curve is NaN, MIMIC does not proceed to find a
value past four generated curves. There is a limit set. For
example, if there are forward curve values for June 20th,
the Fill Down value is the
value found on June 21st. If a NaN is present, users can
look up to June 24th, but then stop if we cannot find a
value. The reason it is necessary to limit the search for a
non-NaN value is because it is not evident how many days
forward you will have to search for a non-NaN value. Same is
true for monthly and quarterly values. If there is a NaN
value for the January 2001 monthly average, users can fill
downward from the January 2002 monthly average. If users
have the first quarterly average of 2001 that was a NaN
value, users can fill downward from the first quarterly
average of 2002. The value users retrieve several days/years
ago may not have any meaning to this curve, and, therefore,
a limit of four curve generations is in place.
Fill Vertical Interpolation - Takes an average
from two generated curves to fill in the missing data for
our curve. If users look at a NaN value in our forward curve
for Wednesday June 20th at 10:00am which has a M-F trading
pattern, users take the average of the values stored on the
forward curves of up to Thursday June 14th and Tuesday June
26th. If one of these values is a NaN, then MIMIC stores the
non-NaN value in the generated forward curve. If both values are a NaN, users can leave the
generated forward curve with a NaN value since MIMIC was
unable to generate a value. Same is true for monthly and
quarterly values. If there is a NaN value for January 2001,
users can take the average of the January 2000 and January
2002 results. If there is a first quarter average of 2001
and it was a NaN, users can generate a result from the first
quarter average of 2000 and 2002.
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Offset | Number of offsets (using list) Minutes, hours, days, weeks, months, quarters,
years Later, ago, before
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