[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships CloseToCloseCorrelationProvider.cs, 1.1, 1.2 CorrelationProvider.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1509/a2_Strategies/TickersRelationships

Modified Files:
	CloseToCloseCorrelationProvider.cs CorrelationProvider.cs 
Log Message:
Fixed minor bug in CorrelationProvider objects

Index: CloseToCloseCorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/CloseToCloseCorrelationProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** CloseToCloseCorrelationProvider.cs	14 Jan 2008 23:02:30 -0000	1.1
--- CloseToCloseCorrelationProvider.cs	12 Mar 2008 21:56:07 -0000	1.2
***************
*** 62,66 ****
  					 string benchmark) :
  					 base(tickersToAnalyze,
! 					 startDate, endDate,
  					 minimumAbsoluteReturnValue, maximumAbsoluteReturnValue,
  					 benchmark)
--- 62,66 ----
  					 string benchmark) :
  					 base(tickersToAnalyze,
! 					 startDate, endDate, closeToCloseIntervalLength,
  					 minimumAbsoluteReturnValue, maximumAbsoluteReturnValue,
  					 benchmark)

Index: CorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/CorrelationProvider.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** CorrelationProvider.cs	30 Jan 2008 23:11:32 -0000	1.2
--- CorrelationProvider.cs	12 Mar 2008 21:56:08 -0000	1.3
***************
*** 49,54 ****
--- 49,67 ----
  		protected EndOfDayDateTime firstEndOfDayDateTime;
  		protected EndOfDayDateTime lastEndOfDayDateTime;
+ 		protected int returnIntervalLength;
  		protected string benchmark;
  
+ 
+ 		private void correlationProvider_commonInitialization(string[] tickersToAnalyze,
+ 			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue)
+ 		{
+ 			this.tickers = tickersToAnalyze;
+ 			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
+ 			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
+ 			this.numOfCombinationTwoByTwo =
+ 				(int)((Math.Pow(this.tickers.Length, 2) - this.tickers.Length ) / 2);
+ 		}
+ 
+ 
  		/// <summary>
  		/// Creates the correlation provider
***************
*** 65,83 ****
  		/// of returns</param>
      public CorrelationProvider(string[] tickersToAnalyze,
! 					 DateTime startDate, DateTime endDate,
  					 float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
  					 string benchmark)
      {
! 			this.tickers = tickersToAnalyze;
! 			this.setEndOfDayDatesTime(startDate, endDate);
! 			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
! 			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
  			this.benchmark = benchmark;
- 			
- 			this.numOfCombinationTwoByTwo =
- 				(int)((Math.Pow(this.tickers.Length, 2) - this.tickers.Length ) / 2);
- 			this.setReturnsManager();
      }
  
  		/// <summary>
  		/// Creates the correlation provider
--- 78,104 ----
  		/// of returns</param>
      public CorrelationProvider(string[] tickersToAnalyze,
! 					 DateTime startDate, DateTime endDate, int returnIntervalLength,
  					 float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
  					 string benchmark)
      {
! 			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 					 minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
! 			this.setEndOfDayDatesTime(startDate,endDate);
! 			this.returnIntervalLength = returnIntervalLength;
  			this.benchmark = benchmark;
      }
  
+ 		public CorrelationProvider(string[] tickersToAnalyze,
+ 			DateTime startDate, DateTime endDate, 
+ 			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
+ 			string benchmark)
+ 		{
+ 			this.correlationProvider_commonInitialization(tickersToAnalyze,
+ 				minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
+ 			this.setEndOfDayDatesTime(startDate,endDate);
+ 			this.returnIntervalLength = 1;
+ 			this.benchmark = benchmark;
+ 		}
+ 
  		/// <summary>
  		/// Creates the correlation provider
***************
*** 94,106 ****
  			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue )
  		{
! 			this.tickers = tickersToAnalyze;
  			this.returnsManager = returnsManager;
- 			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
- 			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
- 						
- 			this.numOfCombinationTwoByTwo = 
- 				(int)((Math.Pow(this.tickers.Length, 2) - this.tickers.Length ) / 2);
  		}
! 			
  		protected abstract void setEndOfDayDatesTime(DateTime startDate, DateTime endDate);
  		protected abstract void setReturnsManager();
--- 115,125 ----
  			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue )
  		{
! 			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 				minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
  			this.returnsManager = returnsManager;
  		}
! 		
! 	
! 
  		protected abstract void setEndOfDayDatesTime(DateTime startDate, DateTime endDate);
  		protected abstract void setReturnsManager();
***************
*** 154,157 ****
--- 173,178 ----
  		protected void getOrderedTickersPearsonCorrelations_setCorrelations()
  		{
+ 			if(this.returnsManager == null)
+ 				this.setReturnsManager();
  			this.pearsonCorrelations = 
  				new TickersPearsonCorrelation[ this.numOfCombinationTwoByTwo ];