[Quantproject-developers] QuantProject/b4_Business/a2_Strategies WeightedPositions.cs, 1.12, 1.13

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16409/b4_Business/a2_Strategies

Modified Files:
	WeightedPositions.cs 
Log Message:
Added methods:
- HasTheSameSignedTickersAs;
- HasTheOppositeSignedTickersAs


Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPositions.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** WeightedPositions.cs	4 Nov 2007 18:59:19 -0000	1.12
--- WeightedPositions.cs	14 Jan 2008 23:27:26 -0000	1.13
***************
*** 605,626 ****
      }
  		
!     #region getLastNightReturn
!   	private double getLastNightReturn( float[] weightedPositionsLastNightReturns )
! 		{
! 			double returnValue = 0.0;
! 			for(int i = 0; i<weightedPositionsLastNightReturns.Length; i++)
! 				returnValue += weightedPositionsLastNightReturns[i] * this[i].Weight;
! 			return returnValue;
! 		}
! 		private float getLastNightReturn_getLastNightReturnForTicker(string ticker,
! 			DateTime lastMarketDay, DateTime today)
! 		{
! 			Quotes tickerQuotes = new Quotes(ticker, lastMarketDay, today);
! 			return 	(  ( (float)tickerQuotes.Rows[1]["quOpen"] *
! 									(float)tickerQuotes.Rows[1]["quAdjustedClose"] /
! 									(float)tickerQuotes.Rows[1]["quClose"]            ) /
! 								(float)tickerQuotes.Rows[0]["quAdjustedClose"]  - 1     );
! 		}
! 		#endregion
    	
    	/// <summary>
--- 605,625 ----
      }
  		
! //    private double getLastNightReturn( float[] weightedPositionsLastNightReturns )
! //		{
! //			double returnValue = 0.0;
! //			for(int i = 0; i<weightedPositionsLastNightReturns.Length; i++)
! //				returnValue += weightedPositionsLastNightReturns[i] * this[i].Weight;
! //			return returnValue;
! //		}
! //		private float getLastNightReturn_getLastNightReturnForTicker(string ticker,
! //			DateTime lastMarketDay, DateTime today)
! //		{
! //			Quotes tickerQuotes = new Quotes(ticker, lastMarketDay, today);
! //			return 	(  ( (float)tickerQuotes.Rows[1]["quOpen"] *
! //									(float)tickerQuotes.Rows[1]["quAdjustedClose"] /
! //									(float)tickerQuotes.Rows[1]["quClose"]            ) /
! //								(float)tickerQuotes.Rows[0]["quAdjustedClose"]  - 1     );
! //		}
! 		
    	
    	/// <summary>
***************
*** 629,641 ****
  		/// <param name="lastMarketDay">The last market date before today</param>
  		/// <param name="today">today</param> 
! 		public double GetLastNightReturn( DateTime lastMarketDay , DateTime today )
! 		{
! 			float[] weightedPositionsLastNightReturns = new float[this.Count];
! 			for(int i = 0; i<this.Count; i++)
! 				weightedPositionsLastNightReturns[i] = 
! 					this.getLastNightReturn_getLastNightReturnForTicker(
! 						this[i].Ticker, lastMarketDay, today );
! 			return getLastNightReturn( weightedPositionsLastNightReturns );
! 		}
  				
  		private double getCloseToCloseReturn_setReturns_getReturn(
--- 628,640 ----
  		/// <param name="lastMarketDay">The last market date before today</param>
  		/// <param name="today">today</param> 
! //		public double GetLastNightReturn( DateTime lastMarketDay , DateTime today )
! //		{
! //			float[] weightedPositionsLastNightReturns = new float[this.Count];
! //			for(int i = 0; i<this.Count; i++)
! //				weightedPositionsLastNightReturns[i] = 
! //					this.getLastNightReturn_getLastNightReturnForTicker(
! //						this[i].Ticker, lastMarketDay, today );
! //			return getLastNightReturn( weightedPositionsLastNightReturns );
! //		}
  				
  		private double getCloseToCloseReturn_setReturns_getReturn(
***************
*** 707,710 ****
--- 706,749 ----
  			return toString;
  		}
+ 
+ 		public bool HasTheSameSignedTickersAs(WeightedPositions weightedPositions) 
+ 		{
+ 			//Check for null and compare run-time types and compare length of the weightedPositions
+ 			if (weightedPositions.Count != this.Count)
+ 				return false;
+ 			int numOfEquals = 0;
+ 			//WeightedPositions can't contain the same ticker twice:
+ 			//so, if at the end of the nested cycle
+ 			//numOfEquals is equal to the number of
+ 			//positions, the two instances represent
+ 			//portfolios that contain the same signed tickers
+ 			for (int i = 0; i<this.Count; i++)
+ 				for (int j = 0; j<this.Count; j++)
+ 				if ( this[i].HasTheSameSignedTickerAs(weightedPositions[j]) )
+ 						numOfEquals++;
+ 					
+ 			return numOfEquals == this.Count;
+ 		}
+ 
+ 		public bool HasTheOppositeSignedTickersAs(WeightedPositions weightedPositions) 
+ 		{
+ 			//Check for null and compare run-time types and compare length of the weightedPositions
+ 			if (weightedPositions.Count != this.Count)
+ 				return false;
+ 			int numOfEqualsWithOppositeSign = 0;
+ 			//WeightedPositions can't contain the same ticker twice:
+ 			//so, if at the end of the nested cycle
+ 			//numOfEqualsWithOppositeSign is equal to the number of
+ 			//positions, the two instances represent
+ 			//portfolios that contain the same signed tickers with
+ 			//opposite signs
+ 			for (int i = 0; i<this.Count; i++)
+ 				for (int j = 0; j<this.Count; j++)
+ 				if ( this[i].HasTheOppositeSignedTickerAs(weightedPositions[j]) )
+ 						numOfEqualsWithOppositeSign++;
+ 					
+ 			return numOfEqualsWithOppositeSign == this.Count;
+ 		}
+ 		
  	}
  }