I have read the article on how you normalized, taking average and aligning pattern to spread article. I would like to understand more on the assumptions made on deriving the pattern.
For the 5 year chart pattern etc at a particular date, how do you derived the pattern for the particular date when some days at different years are at weekend or during irregular holiday date?
For example we just take 3 years:
For ZCZ12-ZCU12 Jul 20 is Friday, Jul 21 is Sat
For ZCZ13-ZCU13 Jul 20 and 21 is Sat and Sun,
For ZCZ14-ZCU14 JUl 20 is Sun, Jul 21 is Mon
So how do you get the value(or average normalized value) for Pattern 3y at Jul 21 (since for 2012 and 2013 it does not have the corresponding value or do you substitute both missing value with some other value)?