[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a4_Fundamentals/RatioProviders AverageAndDebtAdjustedGrowthRateProvider.cs, NONE, 1.1 LastAvailableGrowthRateProvider.cs, NONE, 1.1 LastAvailablePEProvider.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals/RatioProviders
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv16924

Added Files:
	AverageAndDebtAdjustedGrowthRateProvider.cs 
	LastAvailableGrowthRateProvider.cs LastAvailablePEProvider.cs 
Log Message:
Added classes implementing IGrowthProvider and IRatioProvider_PE interfaces

--- NEW FILE: AverageAndDebtAdjustedGrowthRateProvider.cs ---
/*
QuantProject - Quantitative Finance Library

AverageAndDebtAdjustedGrowthRateProvider.cs
Copyright (C) 2011
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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;
using QuantProject.DataAccess.Tables;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Fundamentals;
using QuantProject.Business.Financial.Fundamentals.RatioProviders;


namespace QuantProject.Business.Financial.Fundamentals.RatioProviders
{
	/// <summary>
	/// Class implementing IGrowthRateProvider Interface
	/// It provides an average growth rate, based on past
	/// incomes and then adjusted by the long term ratio level
	/// </summary>
	[Serializable]
	public class AverageAndDebtAdjustedGrowthRateProvider : 
							 FundamentalDataProvider,
							 IGrowthRateProvider													         
	{
		
		protected double optimalDebtEquityRatio;
		protected int maximumNumberOfGrowthRatesToTakeIntoAccount;
									 	
		public AverageAndDebtAdjustedGrowthRateProvider( int daysForAvailabilityOfData,
		                                                 int maximumNumberOfGrowthRatesToTakeIntoAccount,
							 	                                     double optimalDebtEquityRatio) :
																	 			  base( daysForAvailabilityOfData )
		{
			this.optimalDebtEquityRatio = optimalDebtEquityRatio;
			this.maximumNumberOfGrowthRatesToTakeIntoAccount = 
				maximumNumberOfGrowthRatesToTakeIntoAccount;
		}
		
		
		private double getGrowthRate_getLastAvailableDebtEquityRatio( string ticker , DateTime atDate )
		{
			double returnValue = this.optimalDebtEquityRatio;
			//if not available the given optimalDebtEquityRatio is returned,
			//so not to bias the estimated average growth rate
			DateTime limitDateForEndingPeriodDate = 
				atDate.AddDays(- this.daysForAvailabilityOfData);
		  DataTable tableOfDebtEquityRatios =
				FinancialValues.GetLastFinancialValuesForTicker(
					ticker, 64, 12, limitDateForEndingPeriodDate);//64 CODE FOR DEBT EQUITY RATIO
			int numOfRows = tableOfDebtEquityRatios.Rows.Count;
			if( numOfRows > 0)
				returnValue = 
					Math.Abs((double)tableOfDebtEquityRatios.Rows[ numOfRows - 1 ]["fvValue"]);
			
			return returnValue;
		}
		
		private double[] getGrowthRate_getAverageGrowthRate_getGrowthRates( double[] allAvailableGrowthRates )
		{
			int numOfAvailableGrowthRates = allAvailableGrowthRates.Length;
			int numOfRatesToTakeIntoAccount =
				Math.Min(numOfAvailableGrowthRates, this.maximumNumberOfGrowthRatesToTakeIntoAccount);
			double[] returnValue = new double[numOfRatesToTakeIntoAccount];
			for(int i = 0; i < numOfRatesToTakeIntoAccount; i++)
			{
				returnValue[i] = 
					allAvailableGrowthRates[numOfAvailableGrowthRates - (numOfRatesToTakeIntoAccount - i)];
			}
			
			return returnValue;
		}
		
		private double getGrowthRate_getAverageGrowthRate( DataTable tableOfEarnings )
		{
			double returnValue;
			int numOfRows = tableOfEarnings.Rows.Count;
			double[] growthRates = new double[ numOfRows - 1 ];
			for(int i = 0; i < growthRates.Length ; i++)
			{
				growthRates[i] = 
					( (double)tableOfEarnings.Rows[ i + 1 ]["fvValue"] -
					  (double)tableOfEarnings.Rows[ i ]["fvValue"] ) /
					  (double)tableOfEarnings.Rows[ i ]["fvValue"];
			}
			double[] growthRatesToTakeIntoAccount =
				this.getGrowthRate_getAverageGrowthRate_getGrowthRates(growthRates);
			returnValue = ADT.Statistics.BasicFunctions.SimpleAverage(growthRatesToTakeIntoAccount);
			
			return returnValue;
		}
		
		public double GetGrowthRate( string ticker , DateTime atDate )
		{
			double returnValue;
			DateTime limitDateForEndingPeriodDate = 
				atDate.AddDays(- this.daysForAvailabilityOfData);
			//40 financial code for "net income"
			DataTable tableOfEarnings =
				FinancialValues.GetLastFinancialValuesForTicker(
					ticker, 40, 12, limitDateForEndingPeriodDate);
			double averageGrowthRate = 
				this.getGrowthRate_getAverageGrowthRate(tableOfEarnings);
			double lastAvailableDebtEquityRatio =
				this.getGrowthRate_getLastAvailableDebtEquityRatio(ticker, atDate);
			
			returnValue = averageGrowthRate * 
									 	Math.Min(1.0,	(this.optimalDebtEquityRatio /
				               			       lastAvailableDebtEquityRatio ) );
			return returnValue;
		}
	}
}

--- NEW FILE: LastAvailablePEProvider.cs ---
/*
QuantProject - Quantitative Finance Library

LastAvailablePEProvider.cs
Copyright (C) 2010
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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 QuantProject.DataAccess.Tables;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Fundamentals;
using QuantProject.Business.Financial.Fundamentals.RatioProviders;


namespace QuantProject.Business.Financial.Fundamentals.RatioProviders
{
	/// <summary>
	/// Class implementing IRatioProvider_PE Interface
	/// It provides the last available PE, using the last available price
	/// and the last available Earnings.
	/// Instead of the last available price, 
	/// the average of the last available prices can be used 
	/// (it depends on how the class has been instatiated)
	/// </summary>
	[Serializable]
	public class LastAvailablePEProvider : FundamentalDataProvider,
																				 IRatioProvider_PE
	{
		private HistoricalMarketValueProvider historicalmarketValueProvider;
		
		public LastAvailablePEProvider(HistoricalMarketValueProvider historicalmarketValueProvider,
		                               int daysForAvailabilityOfData) : 
																	 base(daysForAvailabilityOfData)
		{
			this.historicalmarketValueProvider = historicalmarketValueProvider;
		}
		
		private double getPERatio_getLastAvailableEarningsPerShare(string ticker , DateTime atDate)
		{
			double returnValue;
			DateTime limitDateForEndingPeriodDate = 
				atDate.AddDays(- this.daysForAvailabilityOfData);
			//56 code for EPS; 12 months = length of period financial value refers to
			returnValue = 
				FinancialValues.GetLastFinancialValueForTicker(ticker, 56, 12,
			                                    limitDateForEndingPeriodDate);
			return returnValue;
		}
		
		public double GetPERatio( string ticker , DateTime atDate )
		{
			double returnValue;
			double priceAtDate = 
				this.historicalmarketValueProvider.GetMarketValue(ticker,
			 	                                            atDate);
			double earningsPerShareAtDate =
				this.getPERatio_getLastAvailableEarningsPerShare(ticker , atDate);
			
			returnValue = priceAtDate / earningsPerShareAtDate;
			
			return returnValue;
		}
	}
}

--- NEW FILE: LastAvailableGrowthRateProvider.cs ---
/*
QuantProject - Quantitative Finance Library

LastAvailableGrowthRateProvider.cs
Copyright (C) 2010
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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;
using QuantProject.DataAccess.Tables;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Fundamentals;
using QuantProject.Business.Financial.Fundamentals.RatioProviders;


namespace QuantProject.Business.Financial.Fundamentals.RatioProviders
{
	/// <summary>
	/// Class implementing IGrowthRateProvider Interface
	/// It provides the last available growth rate (of earnings)
	/// </summary>
	[Serializable]
	public class LastAvailableGrowthRateProvider : 
							 FundamentalDataProvider,
							 IGrowthRateProvider													         
	{
		
		public LastAvailableGrowthRateProvider( int daysForAvailabilityOfData ) : 
																	 			  base( daysForAvailabilityOfData )
		{
		}
				
		public double GetGrowthRate( string ticker , DateTime atDate )
		{
			double returnValue;
			double lastEarnings;
			double previousEarnings;
			DateTime limitDateForEndingPeriodDate = 
				atDate.AddDays(- this.daysForAvailabilityOfData);
			//40 financial code for "net income"
			DataTable tableOfEarnings =
				FinancialValues.GetLastFinancialValuesForTicker(
					ticker, 40, 12, limitDateForEndingPeriodDate);
			int numOfRows = tableOfEarnings.Rows.Count;
			previousEarnings = (double)tableOfEarnings.Rows[numOfRows - 2]["fvValue"];
			lastEarnings = (double)tableOfEarnings.Rows[numOfRows - 1]["fvValue"];
			returnValue = (lastEarnings - previousEarnings)/previousEarnings;
			return returnValue;
		}
	}
}