Calculating the Hodrick-Prescott Filter Method

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<dates>

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                                 "k" : "0",
                                 "id" : "MyOutputVavable|A",
                                 "n" : "MyOutputVavable|A",
                                 "vis" : "1",
                                 "variableKey" : "1",
                                 "stubKey" : "89671",
                                 "selections" : 
                                  {
                                   "its" : 
                                    {
                                     "Item" : 
                                      {
                                       "id" : 
                                        {
                                         "id" : "89683"
                                        },
                                       "variant" : "2"
                                      }
                                    }
                                  },
                                 "aggregator" : "None",
                                 "parametrizedDimensions" : 
                                  {
                                   "its" : 
                                    {
                                     "Item" : 
                                      {
                                       "dimension" : "0",
                                       "parameter" : "0"
                                      }
                                    }
                                  },
                                 "unitInfo" : 
                                  {
                                   "unit" : "4294967295",
                                   "measure" : "4294967295",
                                   "baseUnit" : "4294967295",
                                   "unitsDimensionKey" : "0"
                                  },
                                 "level" : "Year"
                                }
                              }
                            },
                           "variableStubKey" : "89671",
                           "parameterID" : "",
                           "kind" : "Stub",
                           "attributeId" : "",
                           "attributeType" : "Series"
                          }
                        }
                      },
                     "formulaCount" : "1",
                     "formulas" : 
                      {
                       "its" : 
                        {
                         "it" : 
                          [
                            {
                             "k" : "0",
                             "kind" : "HodrickPrescottFilter",
                             "method" : 
                              {
                               "hodrickPrescottFilter" : 
                                {
                                 "missingData" : 
                                  {
                                   "specifiedVector" : "",
                                   "method" : "None",
                                   "methodParameter" : "5",
                                   "specifiedValue" : "0",
                                   "specifiedTerm" : 
                                    {
                                     "k" : "4294967295"
                                    }
                                  },
                                 "smoothingParameter" : "100",
                                 "smoothingParameterMode" : "EditDirectly",
                                 "power" : "2",
                                 "smSmoothingParameter" : "100",
                                 "explained" : 
                                  {
                                   "slice" : 
                                    {
                                     "k" : "0",
                                     "id" : "MyOutputVavable|A",
                                     "n" : "MyOutputVavable|A",
                                     "vis" : "1",
                                     "variableKey" : "1",
                                     "stubKey" : "89671",
                                     "selections" : 
                                      {
                                       "its" : 
                                        {
                                         "Item" : 
                                          {
                                           "id" : 
                                            {
                                             "id" : "89683"
                                            },
                                           "variant" : "2"
                                          }
                                        }
                                      },
                                     "aggregator" : "None",
                                     "parametrizedDimensions" : 
                                      {
                                       "its" : 
                                        {
                                         "Item" : 
                                          {
                                           "dimension" : "0",
                                           "parameter" : "0"
                                          }
                                        }
                                      },
                                     "unitInfo" : 
                                      {
                                       "unit" : "4294967295",
                                       "measure" : "4294967295",
                                       "baseUnit" : "4294967295",
                                       "unitsDimensionKey" : "0"
                                      },
                                     "level" : "Year"
                                    },
                                   "lag" : "",
                                   "key" : "0",
                                   "termToText" : "{MyOutputVavable|A[t]}",
                                   "termToInnerText" : "@_1:0[]",
                                   "termInfo" : 
                                    {
                                     "k" : "4294967295",
                                     "lag" : "0",
                                     "inversion" : 
                                      {
                                       "type" : "None",
                                       "lag" : "PrecidingValue",
                                       "previousLag" : "-1",
                                       "seasonality" : "None",
                                       "dependence" : "Linear",
                                       "K" : "3"
                                      },
                                     "slice" : 
                                      {
                                       "k" : "0",
                                       "id" : "MyOutputVavable|A",
                                       "n" : "MyOutputVavable|A",
                                       "vis" : "1",
                                       "variableKey" : "1",
                                       "stubKey" : "89671",
                                       "selections" : 
                                        {
                                         "its" : 
                                          {
                                           "Item" : 
                                            {
                                             "id" : 
                                              {
                                               "id" : "89683"
                                              },
                                             "variant" : "2"
                                            }
                                          }
                                        },
                                       "aggregator" : "None",
                                       "parametrizedDimensions" : 
                                        {
                                         "its" : 
                                          {
                                           "Item" : 
                                            {
                                             "dimension" : "0",
                                             "parameter" : "0"
                                            }
                                          }
                                        },
                                       "unitInfo" : 
                                        {
                                         "unit" : "4294967295",
                                         "measure" : "4294967295",
                                         "baseUnit" : "4294967295",
                                         "unitsDimensionKey" : "0"
                                        },
                                       "level" : "Year"
                                      },
                                     "date" : "1899-12-30"
                                    },
                                   "unitInfo" : 
                                    {
                                     "unit" : "4294967295",
                                     "measure" : "4294967295",
                                     "baseUnit" : "4294967295",
                                     "unitsDimensionKey" : "0"
                                    },
                                   "included" : "0"
                                  }
                                },
                               "name" : "HPFilter(X, Lambda = 100.000)",
                               "series" : 
                                {
                                 "input" : 
                                  {
                                   "k" : "4294967295",
                                   "lag" : "0",
                                   "inversion" : 
                                    {
                                     "type" : "None",
                                     "lag" : "PrecidingValue",
                                     "previousLag" : "-1",
                                     "seasonality" : "None",
                                     "dependence" : "Linear",
                                     "K" : "3"
                                    },
                                   "slice" : 
                                    {
                                     "k" : "0",
                                     "id" : "1",
                                     "n" : "MyInputVavable",
                                     "vis" : "1",
                                     "variableKey" : "2",
                                     "stubKey" : "89671",
                                     "selections" : 
                                      {
                                       "its" : 
                                        {
                                         "Item" : 
                                          {
                                           "id" : 
                                            {
                                             "id" : "89683"
                                            },
                                           "variant" : "1"
                                          }
                                        }
                                      },
                                     "aggregator" : "None",
                                     "parametrizedDimensions" : 
                                      {
                                       "its" : 
                                        {
                                         "Item" : 
                                          {
                                           "dimension" : "0",
                                           "parameter" : "0"
                                          }
                                        }
                                      },
                                     "unitInfo" : 
                                      {
                                       "unit" : "4294967295",
                                       "measure" : "4294967295",
                                       "baseUnit" : "4294967295",
                                       "unitsDimensionKey" : "0"
                                      },
                                     "level" : "Year"
                                    },
                                   "date" : "1899-12-30"
                                  }
                                },
                               "evaluateSeries" : 
                                {
                                 "its" : 
                                  {
                                   "Item" : 
                                    {
                                     "scenarioKey" : "4294967295",
                                     "fact" : 
                                      {
                                       "d" : 
                                        [
                                          "1",
                                          "4",
                                          "2",
                                          "7",
                                          "7.5",
                                          "9.1",
                                          "10.7",
                                          "12.3",
                                          "13.9",
                                          "15.5",
                                          "17.1",
                                          "18.7",
                                          "20.3",
                                          "21.9",
                                          "23.5",
                                          "25.1",
                                          "26.7",
                                          "28.3",
                                          "29.9",
                                          "31.5",
                                          "33.1",
                                          "34.7",
                                          "36.3",
                                          "37.9",
                                          "39.5",
                                          "41.1",
                                          "NaN",
                                          "NaN",
                                          "NaN"
                                        ]
                                      },
                                     "modelling" : 
                                      {
                                       "d" : 
                                        [
                                          "1.110301648779354",
                                          "2.702470023930953",
                                          "4.293535382594759",
                                          "5.895370008043668",
                                          "7.496910829724635",
                                          "9.098141077004177",
                                          "10.69907487095158",
                                          "12.29974492186606",
                                          "13.90019319133736",
                                          "15.50046419173652",
                                          "17.10060050352123",
                                          "18.70064006523181",
                                          "20.30061481037338",
                                          "21.90055027179873",
                                          "23.50046583425696",
                                          "25.10037537977917",
                                          "26.70028813205387",
                                          "28.30020956097182",
                                          "29.90014225510319",
                                          "31.50008670740845",
                                          "33.10004198829701",
                                          "34.7000063011042",
                                          "36.29997742928238",
                                          "37.89995309327283",
                                          "39.49993123922401",
                                          "41.09991028235167",
                                          "NaN",
                                          "NaN",
                                          "NaN"
                                        ]
                                      },
                                     "residuals" : 
                                      {
                                       "d" : 
                                        [
                                          "-0.1103016487793536",
                                          "1.297529976069047",
                                          "-2.293535382594759",
                                          "1.104629991956332",
                                          "0.003089170275365483",
                                          "0.001858922995822354",
                                          "0.0009251290484222352",
                                          "0.0002550781339358821",
                                          "-0.000193191337361398",
                                          "-0.0004641917365209025",
                                          "-0.0006005035212304222",
                                          "-0.0006400652318099276",
                                          "-0.0006148103733742971",
                                          "-0.0005502717987297956",
                                          "-0.0004658342569570095",
                                          "-0.0003753797791645752",
                                          "-0.00028813205387479",
                                          "-0.0002095609718217872",
                                          "-0.0001422551031957653",
                                          "-8.670740845317937e-05",
                                          "-4.198829700641227e-05",
                                          "-6.301104193084939e-06",
                                          "2.257071761846419e-05",
                                          "4.690672717089228e-05",
                                          "6.876077598860775e-05",
                                          "8.971764832921281e-05",
                                          "NaN",
                                          "NaN",
                                          "NaN"
                                        ]
                                      },
                                     "input" : 
                                      {
                                       "d" : 
                                        [
                                          "3",
                                          "7",
                                          "2",
                                          "6",
                                          "4",
                                          "1",
                                          "5",
                                          "3.42857143",
                                          "3.28571429",
                                          "3.14285714",
                                          "3",
                                          "2.85714286",
                                          "2.71428571",
                                          "2.57142857",
                                          "2.42857143",
                                          "2.28571429",
                                          "2.14285714",
                                          "2",
                                          "1.85714286",
                                          "1.71428571",
                                          "1.57142857",
                                          "1.42857143",
                                          "1.28571429",
                                          "1.14285714",
                                          "1",
                                          "0.85714286",
                                          "0.71428571",
                                          "0.57142857",
                                          "NaN",
                                          "NaN",
                                          "NaN"
                                        ]
                                      },
                                     "indicators" : 
                                      {
                                       "its" : ""
                                      }
                                    }
                                  },
                                 "dates" : 
                                  {
                                   "it" : 
                                    [
                                      "1990A1",
                                      "1991A1",
                                      "1992A1",
                                      "1993A1",
                                      "1994A1",
                                      "1995A1",
                                      "1996A1",
                                      "1997A1",
                                      "1998A1",
                                      "1999A1",
                                      "2000A1",
                                      "2001A1",
                                      "2002A1",
                                      "2003A1",
                                      "2004A1",
                                      "2005A1",
                                      "2006A1",
                                      "2007A1",
                                      "2008A1",
                                      "2009A1",
                                      "2010A1",
                                      "2011A1",
                                      "2012A1",
                                      "2013A1",
                                      "2014A1",
                                      "2015A1",
                                      "2016A1",
                                      "2017A1",
                                      "2018A1",
                                      "2019A1",
                                      "2020A1"
                                    ]
                                  }
                                },
                               "inversionInfo" : 
                                {
                                 "type" : "None",
                                 "lag" : "PrecidingValue",
                                 "previousLag" : "-1",
                                 "seasonality" : "None",
                                 "dependence" : "Linear",
                                 "K" : "3"
                                },
                               "doUseR" : "0",
                               "supportsR" : "1"
                              },
                             "calendarLevel" : "Year",
                             "outputSliceKey" : "0"
                            }
                          ]
                        }
                      },
                     "displayId" : "0",
                     "series" : 
                      {
                       "its" : ""
                      },
                     "kind" : "Simple",
                     "displaySettings" : 
                      {
                       "displayTermsAs" : "Derive"
                      },
                     "additionalAttributes" : "",
                     "calculationType" : "Serie",
                     "calculationDirection" : "Forward"
                    },
                   "stochastic" : "0",
                   "calculationPeriod" : "Forecast",
                   "useModelPeriod" : "1",
                   "useExistingData" : "0",
                   "treatNullsAsZeros" : "0",
                   "autoName" : "1",
                   "period" : 
                    {
                     "identificationStartDate" : "1990-01-01",
                     "identificationEndDate" : "2018-04-24",
                     "forecastStartDate" : "2018-04-25",
                     "forecastEndDate" : "2020-01-01",
                     "identificationStartDateParamID" : "",
                     "identificationEndDateParamID" : "",
                     "forecastStartDateParamID" : "",
                     "forecastEndDateParamID" : "",
                     "autoPeriod" : "28672",
                     "identificationStartOffset" : "0",
                     "identificationEndOffset" : "0",
                     "forecastEndOffset" : "0",
                     "isIdentStartCorrect" : "1",
                     "isIdentEndCorrect" : "1",
                     "isForecastEndCorrect" : "1"
                    },
                   "isExclusive" : "1",
                   "useAutoPeriod" : "1",
                   "generatedName" : "MyOutputVavable|A[t] = HPFilter(MyInputVavable[t], Lambda = 100.000)",
                   "warnings" : "",
                   "readOnly" : "0"
                  }
                }
              }
            },
           "visualController" : 
            {
             "userRPath" : "",
             "isRExist" : "0"
            },
           "suppressEmptyFilter" : 
            {
             "suppressEmpty" : "0",
             "suppressEmptyArea" : "SerieBounds"
            },
           "readOnly" : "0",
           "variableTestUseR" : "0",
           "calculateIdentOnFact" : "0"
          },
         "useScenarios" : "0",
         "readOnly" : "0"
        }
      }
    }
  }
}

public static MsCalculationChainEntry GetMsHpf(MsId ms, ulong modelKey, ulong eqKey)
{
    var getMsOp = new GetMs();
    // Set operation execution parameters
    getMsOp.tMs = ms;
    getMsOp.tArg = new GetMsArg()
    {  // Set data getting pattern
        pattern = new MsMdPattern()
        {
            obInst = false,
            all = false,
            item = new MsItemPattern()
            {  // Specify calculated model key
                key = modelKey,
                problem = new MsProblemPattern()
                {
                    metamodel = new MsMetaModelPattern()
                    {
                        calculationChain = ListOperation.Get,
                        calcChainPattern = new MsCalculationChainPattern()
                        {
                            // Specify calculated equation key
                            entryKeys = new long[] { (long)eqKey },
                            modelPattern = new MsModelPattern()
                            {
                                autoName = true,
                                calculationPeriod = true,
                                generatedName = true,
                                isExclusive = true,
                                period = true,
                                stochastic = true,
                                treatNullsAsZeros = true,
                                useAutoPeriod = true,
                                useExistingData = true,
                                useModelPeriod = true,
                                transform = new MsFormulaTransformPattern()
                                {
                                    additionalAttributes = true,
                                    calculationDirection = true,
                                    calculationType = true,
                                    displayId = true,
                                    displaySettings = true,
                                    formulaCount = true,
                                    outputs = ListOperation.Get,
                                    series = ListOperation.Get,
                                    kind = true,
                                    formulas = new TsFormulaPattern()
                                    {
                                        method = new TsMethodPattern()
                                        {
                                            series = true
                                        }
                                    },
                                    equationsFormula = new TsFormulaPattern()
                                    {
                                        method = new TsMethodPattern() { }
                                    },
                                    transformVariable = new MsFormulaTransformVariablePattern()
                                    {
                                        slices = ListOperation.Get,
                                        transformSlice = new MsFormulaTransformSlicePattern()
                                        {
                                            selection = ListOperation.Get
                                        }
                                    }
                                }
                            }
                        }
                    }
                }
            }
        }, // Set equation calculation parameters
        execParams = new MsMdExecParams()
        {
            k = 0,
            execMethod = true,
            execEvaluateSeries = true,
            scenarioKeys = new long[] { },
            modelKeys = new long[] { (long)eqKey }
        }
    };
    // Create a proxy object for operation calculation
    var somClient = new SomPortTypeClient();
    GetMsResult getMsResult = somClient.GetMs(getMsOp);
    MsMetaModel meta = getMsResult.meta.item.problemMd.metamodel;
    MsCalculationChainEntry chainEntry = meta.calculationChain.its.GetValue(0) as MsCalculationChainEntry;
    // Display errors and warnings
    MsModel eq = chainEntry.model;
    if (eq.warnings != null)
    {
        Console.WriteLine("-- Warnings --");
        Console.WriteLine("".PadRight(3) + printArray(eq.warnings));
    }
    if (eq.error == null) //Check if errors occurred on equation calculation
    {   // Equation is calculated without errors 
        // Get calculation results   
        TsFormula formula = eq.transform.formulas.its.GetValue(0) as TsFormula;
        TsHodrickPrescottFilterMethod hpf = formula.method.hodrickPrescottFilter;
        // Get smoothing parameter value and display into console window
        Console.WriteLine("-- Smoothing parameter --");
        Console.WriteLine(hpf.smSmoothingParameter);
        // Get calculated values and display into console window
        MsEvaluateSeriesResult seriesRes = formula.method.evaluateSeries;
        printSeries(seriesRes);
    }
    else // Errors occurred on equation calculation
    {
        Console.WriteLine("-- Errors --");
        Console.WriteLine(eq.error);
    }
    // Return the model that contains equation
    return chainEntry;
}