[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships CorrelationP

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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12665/b4_Business/a2_Strategies/TickersRelationships

Modified Files:
	CorrelationProvider.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: CorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/CorrelationProvider.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** CorrelationProvider.cs	8 Apr 2008 21:47:28 -0000	1.4
--- CorrelationProvider.cs	18 Aug 2008 21:13:19 -0000	1.5
***************
*** 3,7 ****
  
  CorrelationProvider.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  CorrelationProvider.cs
! Copyright (C) 2008
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 34,44 ****
  namespace QuantProject.Business.Strategies.TickersRelationships
  {
!   /// <summary>
!   /// Abstract class that provides correlation's indexes two by two within a 
!   /// given set of tickers
!   /// </summary>
!   [Serializable]
!   public abstract class CorrelationProvider
!   {
  		protected ReturnsManager returnsManager;
  		protected string[] tickers;
--- 34,44 ----
  namespace QuantProject.Business.Strategies.TickersRelationships
  {
! 	/// <summary>
! 	/// Abstract class that provides correlation's indexes two by two within a
! 	/// given set of tickers
! 	/// </summary>
! 	[Serializable]
! 	public abstract class CorrelationProvider
! 	{
  		protected ReturnsManager returnsManager;
  		protected string[] tickers;
***************
*** 53,57 ****
  		
  		private void correlationProvider_commonInitialization(string[] tickersToAnalyze,
! 			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue)
  		{
  			this.tickers = tickersToAnalyze;
--- 53,57 ----
  		
  		private void correlationProvider_commonInitialization(string[] tickersToAnalyze,
! 		                                                      float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue)
  		{
  			this.tickers = tickersToAnalyze;
***************
*** 79,101 ****
  		/// <param name="benchmark">The benchmark used for computation
  		/// 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;
--- 79,101 ----
  		/// <param name="benchmark">The benchmark used for computation
  		/// 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;
***************
*** 114,126 ****
  		/// have to be less than maximumAbsoluteReturnValue</param>
  		public CorrelationProvider( string[] tickersToAnalyze,
! 			ReturnsManager returnsManager,
! 			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue )
  		{
  			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 				minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
  			this.returnsManager = returnsManager;
  		}
  		
! 	
  
  		protected abstract void setEndOfDayDatesTime(DateTime startDate, DateTime endDate);
--- 114,126 ----
  		/// have to be less than maximumAbsoluteReturnValue</param>
  		public CorrelationProvider( string[] tickersToAnalyze,
! 		                           ReturnsManager returnsManager,
! 		                           float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue )
  		{
  			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 			                                              minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
  			this.returnsManager = returnsManager;
  		}
  		
! 		
  
  		protected abstract void setEndOfDayDatesTime(DateTime startDate, DateTime endDate);
***************
*** 135,163 ****
  			for(int i = 0; i<firstTickerReturns.Length; i++)
  				if( Math.Abs(firstTickerReturns[i]) >= this.minimumAbsoluteReturnValue &&
! 				    Math.Abs(firstTickerReturns[i]) <= this.maximumAbsoluteReturnValue &&
! 						Math.Abs(secondTickerReturns[i]) >= this.minimumAbsoluteReturnValue && 
! 						Math.Abs(secondTickerReturns[i]) <= this.maximumAbsoluteReturnValue )
! 				{
! 					countSignificantReturns++;
! 					tempReturnValue[ countSignificantReturns - 1 ] = firstTickerReturns[ i ];
! 				}
  			returnValue = new float[countSignificantReturns];
!       Array.Copy(tempReturnValue, 0, returnValue, 0, countSignificantReturns);
  			return returnValue;
  		}
  
  		protected double getOrderedTickersPearsonCorrelations_setCorrelations_getValue(
! 			             int indexOfFirstTicker, int indexOfSecondTicker)
  		{
  			double returnValue;
! 			float[] firstTickerSignificantReturns = 
  				this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
! 				this.returnsManager.GetReturns(this.tickers[indexOfFirstTicker]),
! 				this.returnsManager.GetReturns(this.tickers[indexOfSecondTicker]) );
  			
! 			float[] secondTickerSignificantReturns = 
  				this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
! 				this.returnsManager.GetReturns(this.tickers[indexOfSecondTicker]),
! 				this.returnsManager.GetReturns(this.tickers[indexOfFirstTicker]) );
  			
  			returnValue = BasicFunctions.PearsonCorrelationCoefficient(
--- 135,163 ----
  			for(int i = 0; i<firstTickerReturns.Length; i++)
  				if( Math.Abs(firstTickerReturns[i]) >= this.minimumAbsoluteReturnValue &&
! 				   Math.Abs(firstTickerReturns[i]) <= this.maximumAbsoluteReturnValue &&
! 				   Math.Abs(secondTickerReturns[i]) >= this.minimumAbsoluteReturnValue &&
! 				   Math.Abs(secondTickerReturns[i]) <= this.maximumAbsoluteReturnValue )
! 			{
! 				countSignificantReturns++;
! 				tempReturnValue[ countSignificantReturns - 1 ] = firstTickerReturns[ i ];
! 			}
  			returnValue = new float[countSignificantReturns];
! 			Array.Copy(tempReturnValue, 0, returnValue, 0, countSignificantReturns);
  			return returnValue;
  		}
  
  		protected double getOrderedTickersPearsonCorrelations_setCorrelations_getValue(
! 			int indexOfFirstTicker, int indexOfSecondTicker)
  		{
  			double returnValue;
! 			float[] firstTickerSignificantReturns =
  				this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
! 					this.returnsManager.GetReturns(this.tickers[indexOfFirstTicker]),
! 					this.returnsManager.GetReturns(this.tickers[indexOfSecondTicker]) );
  			
! 			float[] secondTickerSignificantReturns =
  				this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
! 					this.returnsManager.GetReturns(this.tickers[indexOfSecondTicker]),
! 					this.returnsManager.GetReturns(this.tickers[indexOfFirstTicker]) );
  			
  			returnValue = BasicFunctions.PearsonCorrelationCoefficient(
***************
*** 167,171 ****
  			if ( Double.IsNaN(returnValue) || Double.IsInfinity(returnValue) )
  				throw new MissingCorrelationException(this.tickers[indexOfFirstTicker],
! 														this.tickers[indexOfSecondTicker]);
  
  			return returnValue;
--- 167,171 ----
  			if ( Double.IsNaN(returnValue) || Double.IsInfinity(returnValue) )
  				throw new MissingCorrelationException(this.tickers[indexOfFirstTicker],
! 				                                      this.tickers[indexOfSecondTicker]);
  
  			return returnValue;
***************
*** 176,194 ****
  			if(this.returnsManager == null)
  				this.setReturnsManager();
! 			this.pearsonCorrelations = 
  				new TickersPearsonCorrelation[ this.numOfCombinationTwoByTwo ];
  			int index = 0;
  			for (int i = 0; i < this.tickers.Length; i++)
  				for (int j = i + 1; j < this.tickers.Length; j++)
! 				{	
! 					try{
! 						this.pearsonCorrelations[index] = 
! 							new TickersPearsonCorrelation( this.tickers[i], this.tickers[j],
! 							this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue( i , j) );
! 					}
! 					catch(MissingCorrelationException ex)
! 					{ex=ex;}
! 					index++;
! 				} 
  			Array.Sort(this.pearsonCorrelations);
  		}
--- 176,196 ----
  			if(this.returnsManager == null)
  				this.setReturnsManager();
! 			this.pearsonCorrelations =
  				new TickersPearsonCorrelation[ this.numOfCombinationTwoByTwo ];
  			int index = 0;
  			for (int i = 0; i < this.tickers.Length; i++)
  				for (int j = i + 1; j < this.tickers.Length; j++)
! 			{
! 				try{
! 					this.pearsonCorrelations[index] =
! 						new TickersPearsonCorrelation( this.tickers[i], this.tickers[j],
! 						                              this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue( i , j) );
! 				}
! 				catch(MissingCorrelationException ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				}
! 				index++;
! 			}
  			Array.Sort(this.pearsonCorrelations);
  		}
***************
*** 202,212 ****
  			for(int i = 0; i < this.pearsonCorrelations.Length; i++)
  				System.Console.WriteLine(this.pearsonCorrelations[i].FirstTicker + " " +
! 																 this.pearsonCorrelations[i].SecondTicker + " " +
! 																 this.pearsonCorrelations[i].CorrelationValue.ToString() );
  		}
  
  		public TickersPearsonCorrelation[] GetOrderedTickersPearsonCorrelations()
  		{
!     	if( this.pearsonCorrelations == null )
  				this.getOrderedTickersPearsonCorrelations_setCorrelations();
  			this.showOutputToConsole();
--- 204,214 ----
  			for(int i = 0; i < this.pearsonCorrelations.Length; i++)
  				System.Console.WriteLine(this.pearsonCorrelations[i].FirstTicker + " " +
! 				                         this.pearsonCorrelations[i].SecondTicker + " " +
! 				                         this.pearsonCorrelations[i].CorrelationValue.ToString() );
  		}
  
  		public TickersPearsonCorrelation[] GetOrderedTickersPearsonCorrelations()
  		{
! 			if( this.pearsonCorrelations == null )
  				this.getOrderedTickersPearsonCorrelations_setCorrelations();
  			this.showOutputToConsole();
***************
*** 216,235 ****
  		public double GetPearsonCorrelation(string firstTicker, string secondTicker)
  		{
!     	double returnValue = double.NaN;
  			if( this.pearsonCorrelations == null )
  				this.getOrderedTickersPearsonCorrelations_setCorrelations();
  			
!     	for(int i = 0; i<this.pearsonCorrelations.Length; i++)
!     	{
!     		if( (this.pearsonCorrelations[i].FirstTicker == firstTicker &&
!     		     this.pearsonCorrelations[i].SecondTicker == secondTicker) ||
!     		     (this.pearsonCorrelations[i].FirstTicker == secondTicker &&
!     		      this.pearsonCorrelations[i].SecondTicker == firstTicker) )
!     		{
  					returnValue = this.pearsonCorrelations[i].CorrelationValue;
  					i = this.pearsonCorrelations.Length;//exit from for
  				}
!     	}
!     	if( double.IsNaN(returnValue) )
  				throw new MissingCorrelationException(firstTicker, secondTicker);
  			
--- 218,237 ----
  		public double GetPearsonCorrelation(string firstTicker, string secondTicker)
  		{
! 			double returnValue = double.NaN;
  			if( this.pearsonCorrelations == null )
  				this.getOrderedTickersPearsonCorrelations_setCorrelations();
  			
! 			for(int i = 0; i<this.pearsonCorrelations.Length; i++)
! 			{
! 				if( (this.pearsonCorrelations[i].FirstTicker == firstTicker &&
! 				     this.pearsonCorrelations[i].SecondTicker == secondTicker) ||
! 				   (this.pearsonCorrelations[i].FirstTicker == secondTicker &&
! 				    this.pearsonCorrelations[i].SecondTicker == firstTicker) )
! 				{
  					returnValue = this.pearsonCorrelations[i].CorrelationValue;
  					i = this.pearsonCorrelations.Length;//exit from for
  				}
! 			}
! 			if( double.IsNaN(returnValue) )
  				throw new MissingCorrelationException(firstTicker, secondTicker);
  			
***************
*** 237,240 ****
  		}
  
!   } // end of class
  }
--- 239,242 ----
  		}
  
! 	} // end of class
  }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships CorrelationP

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships CorrelationProvider.cs, 1.4, 1.5