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io.sqooba.oss.timeseries

TimeSeriesMerger

object TimeSeriesMerger

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  12. def mergeEntries[A, B, C](a: Seq[TSEntry[A]], b: Seq[TSEntry[B]], compress: Boolean = true)(op: (Option[A], Option[B]) => Option[C]): Seq[TSEntry[C]]

    Merge two time series together, using the provided merge operator.

    Merge two time series together, using the provided merge operator.

    The passed TSEntry sequences will be merged according to the merge operator, which will always be applied to one of the following:

    • two defined TSEntries with exactly the same domain of definition
    • a defined entry from A and None from B
    • a defined entry from B and None from A
    • No defined entry from A nor B.

    Overlapping TSEntries in the sequences a and b are trimmed to fit one of the aforementioned cases before being passed to the merge function.

    For example,

    • if 'x' and '-' respectively represent the undefined and defined parts of a TSEntry
    • '|' delimits the moment on the time axis where a change in definition occurs either in the present entry or in the one with which it is currently being merged
    • 'result' is the sequence resulting from the merge

    We apply the merge function in the following way:

    a_i: xxx|---|---|xxx|xxx b_j: xxx|xxx|---|---|xxx

    result: (1) (2) (3) (4) (5)

    (1),(5) : op(None, None) (2) : op(Some(a_i.value), None) (3) : op(Some(a_i.value), Some(b_j.value)) (4) : op(None, Some(b_j.value))

    Assumes a and b to be ORDERED!

    compress

    specifies whether the entries should be validated and compressed by a TSEntryFitter. This should only be omitted if the entries will be passed to a TimeSeriesBuilder subsequently.

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