[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement ReturnsManager.cs, 1.9, 1.10

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16161/returnsManagement

Modified Files:
	ReturnsManager.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: ReturnsManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/ReturnsManager.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** ReturnsManager.cs	13 Nov 2007 19:10:28 -0000	1.9
--- ReturnsManager.cs	29 Sep 2008 21:17:39 -0000	1.10
***************
*** 39,46 ****
  	/// by in sample optimizations)
  	/// </summary>
  	public class ReturnsManager
  	{
  		private ReturnIntervals returnIntervals; // a return for each interval
! 		private IHistoricalQuoteProvider historicalQuoteProvider; 
  		
  		private Set tickersMissingQuotes;
--- 39,47 ----
  	/// by in sample optimizations)
  	/// </summary>
+ 	[Serializable]
  	public class ReturnsManager
  	{
  		private ReturnIntervals returnIntervals; // a return for each interval
! 		private HistoricalMarketValueProvider historicalMarketValueProvider; 
  		
  		private Set tickersMissingQuotes;
***************
*** 78,87 ****
  		/// n-1 elements</param>
  		public ReturnsManager( ReturnIntervals returnIntervals ,
! 			IHistoricalQuoteProvider historicalQuoteProvider )
  		{
  			// TO DO: let WFLagEligibleTickers use this class also!!!
  			this.returnIntervals = returnIntervals;
  			this.commonInitialization();
! 			this.historicalQuoteProvider = historicalQuoteProvider;
  		}
  		private void commonInitialization()
--- 79,88 ----
  		/// n-1 elements</param>
  		public ReturnsManager( ReturnIntervals returnIntervals ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider )
  		{
  			// TO DO: let WFLagEligibleTickers use this class also!!!
  			this.returnIntervals = returnIntervals;
  			this.commonInitialization();
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
  		}
  		private void commonInitialization()
***************
*** 102,118 ****
  			return this.tickersReturns.ContainsKey( ticker );
  		}
  		#region setReturns
  		private float selectReturnWithRespectToTheGivenIterval(
! 			EndOfDayHistory endOfDayQuotes , int i )
  		{
  			ReturnInterval returnInterval =
  				this.returnIntervals[ i ];
! 			double firstQuote = (double)endOfDayQuotes[ returnInterval.Begin ];
! 			double lastQuote = (double)endOfDayQuotes[ returnInterval.End ];
  			float intervalReturn = Convert.ToSingle( lastQuote / firstQuote - 1 );
  			return intervalReturn;
  		}
  		private float[] selectReturnsWithRespectToTheGivenIntervals(
! 			EndOfDayHistory endOfDayQuotes )
  		{
  			// TO DO: this method is n log n, it could be implemented to
--- 103,120 ----
  			return this.tickersReturns.ContainsKey( ticker );
  		}
+ 		
  		#region setReturns
  		private float selectReturnWithRespectToTheGivenIterval(
! 			History marketValues , int i )
  		{
  			ReturnInterval returnInterval =
  				this.returnIntervals[ i ];
! 			double firstQuote = (double)marketValues[ returnInterval.Begin ];
! 			double lastQuote = (double)marketValues[ returnInterval.End ];
  			float intervalReturn = Convert.ToSingle( lastQuote / firstQuote - 1 );
  			return intervalReturn;
  		}
  		private float[] selectReturnsWithRespectToTheGivenIntervals(
! 			History marketValues )
  		{
  			// TO DO: this method is n log n, it could be implemented to
***************
*** 122,141 ****
  			for ( int i = 0 ; i < this.returnIntervals.Count ; i++ )
  				returnsWithRespectToTheGivenIntervals[ i ] =
! 					this.selectReturnWithRespectToTheGivenIterval( endOfDayQuotes , i );
  			return returnsWithRespectToTheGivenIntervals;
  		}
  		private void setReturnsActually( string ticker ,
! 			EndOfDayHistory endOfDayQuotes )
  		{
  			float[] arrayOfReturns =
! 				this.selectReturnsWithRespectToTheGivenIntervals( endOfDayQuotes );
  			this.tickersReturns.Add( ticker , arrayOfReturns );
  		}
  		private void setReturns( string ticker ,
! 			EndOfDayHistory endOfDayQuotes )
  		{
  			if ( this.returnIntervals.AreIntervalBordersAllCoveredBy(
! 				endOfDayQuotes ) )
! 				this.setReturnsActually( ticker , endOfDayQuotes );
  			else
  				this.tickersMissingQuotes.Add( ticker );
--- 124,143 ----
  			for ( int i = 0 ; i < this.returnIntervals.Count ; i++ )
  				returnsWithRespectToTheGivenIntervals[ i ] =
! 					this.selectReturnWithRespectToTheGivenIterval( marketValues , i );
  			return returnsWithRespectToTheGivenIntervals;
  		}
  		private void setReturnsActually( string ticker ,
! 			History marketValues )
  		{
  			float[] arrayOfReturns =
! 				this.selectReturnsWithRespectToTheGivenIntervals( marketValues );
  			this.tickersReturns.Add( ticker , arrayOfReturns );
  		}
  		private void setReturns( string ticker ,
! 			History marketValues )
  		{
  			if ( this.returnIntervals.AreIntervalBordersAllCoveredBy(
! 				marketValues ) )
! 				this.setReturnsActually( ticker , marketValues );
  			else
  				this.tickersMissingQuotes.Add( ticker );
***************
*** 143,152 ****
  		private void setReturns( string ticker )
  		{
! 			EndOfDayHistory endOfDayQuotes =
! 				this.historicalQuoteProvider.GetEndOfDayQuotes( ticker ,
! 				this.returnIntervals.BordersHistory );
! 			this.setReturns( ticker , endOfDayQuotes );
  		}
  		#endregion setReturns
  		private float[] getAlreadySetReturns( string ticker )
  		{
--- 145,156 ----
  		private void setReturns( string ticker )
  		{
! 			History marketValues =
! 				this.historicalMarketValueProvider.GetMarketValues(
! 					ticker ,
! 					this.returnIntervals.BordersHistory );
! 			this.setReturns( ticker , marketValues );
  		}
  		#endregion setReturns
+ 		
  		private float[] getAlreadySetReturns( string ticker )
  		{
***************
*** 164,167 ****
--- 168,172 ----
  		}
  		#endregion GetReturns
+ 		
  		#region GetReturn
  		/// <summary>