[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6069/b4_Business/a2_Strategies

Modified Files:
	SignedTicker.cs 
Log Message:
Added GetCloseToClosePortfolioReturn and ChangeSignOfEachTicker static methods

Index: SignedTicker.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** SignedTicker.cs	8 Apr 2006 18:18:47 -0000	1.1
--- SignedTicker.cs	14 May 2006 18:40:24 -0000	1.2
***************
*** 27,30 ****
--- 27,33 ----
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Timing;
+ using QuantProject.Data;
+ using QuantProject.Data.DataTables;
+ 
  
  namespace QuantProject.Business.Strategies
***************
*** 117,120 ****
--- 120,221 ----
  			return dailyReturn;
  		}
+     
+     #region getCloseToClosePortfolioReturn_setReturns
+ 
+     private static double getCloseToClosePortfolioReturn_setReturns_getReturn(int returnDay,
+                         string[] signedTickers,double[] tickersWeights,Quotes[] tickersQuotes )
+     {
+       double returnValue = 0.0;
+       float signOfTicker = 1.0f;
+       for(int indexForTicker = 0; indexForTicker<signedTickers.Length; indexForTicker++)
+       {
+         if(SignedTicker.IsLong(signedTickers[indexForTicker]))
+           signOfTicker = 1.0f;
+         else
+           signOfTicker = -1.0f;
+       	
+         returnValue +=
+           signOfTicker *
+           ((float)tickersQuotes[indexForTicker].Rows[returnDay][Quotes.AdjustedCloseToCloseRatio] - 1.0f)*
+           (float)tickersWeights[indexForTicker];
+       }
+       return returnValue;
+     }
+ 
+     private static void getCloseToClosePortfolioReturn_setReturns(double[] returnsToSet,
+                                                                   string[] signedTickers,
+                                                                   double[] tickersWeights,
+                                                                   Quotes[] tickersQuotes )
+     {
+       for(int i = 0; i < returnsToSet.Length; i++)
+       {
+         returnsToSet[i] =
+           getCloseToClosePortfolioReturn_setReturns_getReturn(
+              i,signedTickers,tickersWeights,tickersQuotes);
+       }
+     }
+     
+     #endregion
+ 
+     /// <summary>
+     /// Gets portfolio's return for a given period, for given tickers
+     /// </summary>
+     /// <param name="signedTickers">Array of signed tickers that compose the portfolio</param>
+     /// <param name="tickersWeights">Array of weights for tickers - the same order has to be provided!</param>
+     /// <param name="startDate">Start date for the period for which return has to be computed</param>
+     /// <param name="endDate">End date for the period for which return has to be computed</param>
+     public static double GetCloseToClosePortfolioReturn(string[] signedTickers,
+                                                         double[] tickersWeights,
+                                                         DateTime startDate,
+                                                         DateTime endDate )
+     {
+       double returnValue = 0.0;
+       Quotes[] tickersQuotes = new Quotes[signedTickers.Length];
+       for(int i = 0; i<signedTickers.Length; i++)
+       {
+         tickersQuotes[i] = new Quotes(SignedTicker.GetTicker(signedTickers[i]),
+                                       startDate, endDate);
+         if(tickersQuotes[i].Rows.Count == 0)
+         //no quotes are available at the given period
+           throw new MissingQuotesException(SignedTicker.GetTicker(signedTickers[i]),
+         	       													 startDate, endDate);
+       }
+       double[] returns = new double[tickersQuotes[0].Rows.Count];
+       getCloseToClosePortfolioReturn_setReturns(returns,signedTickers,
+                                                 tickersWeights, tickersQuotes);
+       for(int i = 0; i < returns.Length; i++)
+         returnValue = (1.0+returnValue) * returns[i];
+ 
+       return returnValue;
+     }
+ 		
+     /// <summary>
+     /// Gets portfolio's return for a given period, for given tickers
+     /// </summary>
+     /// <param name="signedTickers">Array of signed tickers that compose the portfolio (each ticker has the same weight)</param>
+     /// <param name="startDate">Start date for the period for which return has to be computed</param>
+     /// <param name="endDate">End date for the period for which return has to be computed</param>
+     public static double GetCloseToClosePortfolioReturn(string[] signedTickers,
+                                                         DateTime startDate,
+                                                         DateTime endDate )
+     {
+     	double[] tickersWeights = new double[signedTickers.Length];
+     	for(int i = 0; i<signedTickers.Length; i++)
+     		tickersWeights[i] = 1.0/signedTickers.Length;
+     	
+     	return GetCloseToClosePortfolioReturn(
+     	        signedTickers,tickersWeights, startDate, endDate);
+     	
+     }
+     
+     /// <summary>
+     /// Changes sign of each ticker contained in the given 
+     /// array of signed tickers
+     /// </summary>
+     public static void ChangeSignOfEachTicker( string[] signedTickers )
+ 		{
+     	for(int i = 0; i<signedTickers.Length; i++)
+     		signedTickers[i] = GetOppositeSignedTicker(signedTickers[i]);
+ 		}
  	}
  }