[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20407/b4_Business/a2_Strategies

Modified Files:
	SignedTicker.cs 
Log Message:
- the GetCloseToClosePortfolioReturns static method has been added
- the GetCloseToClosePortfolioReturn static method has been overloaded (to say the truth I don't remember if I ever tested this new method...)

Index: SignedTicker.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** SignedTicker.cs	14 May 2006 18:40:24 -0000	1.2
--- SignedTicker.cs	29 Jun 2006 17:51:31 -0000	1.3
***************
*** 22,25 ****
--- 22,26 ----
  
  using System;
+ using System.Collections;
  
  using QuantProject.Business.DataProviders;
***************
*** 190,213 ****
      }
  		
!     /// <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
--- 191,299 ----
      }
  		
! 		/// <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);
      	
! 		}
      
! 		private static string[] getSignedTickersArray( ICollection signedTickers )
! 		{
! 			string[] signedTickersArray = new string[ signedTickers.Count ];
! 			int i = 0;
! 			foreach( string signedTicker in signedTickers )
! 			{
! 				signedTickersArray[ i ] = signedTicker;
! 				i++;
! 			}
! 			return signedTickersArray;
! 		}
! 		private static string[] getSignedTickerArray ( ICollection signedTickers )
! 		{
! 			string[] signedTickerArray = new string[ signedTickers.Count ];
! 			int i = 0;
! 			foreach( string signedTicker in signedTickers )
! 			{
! 				signedTickerArray[ i ] = signedTicker;
! 				i++;
! 			}
! 			return signedTickerArray;
! 		}
! 		#region GetCloseToClosePortfolioReturns
! 		private static double getCloseToCloseReturn( string ticker ,
! 			DateTime[] datesForReturnComputation , int i )
! 		{
! 			DateTime previousDate = datesForReturnComputation[ i ];
! 			DateTime currentDate = datesForReturnComputation[ i + 1 ];
! 			HistoricalAdjustedQuoteProvider historicalQuoteProvider =
! 				new HistoricalAdjustedQuoteProvider();
! 			double previousQuote = historicalQuoteProvider.GetMarketValue( ticker ,
! 				new EndOfDayDateTime( previousDate , EndOfDaySpecificTime.MarketClose ) );
! 			double currentQuote = historicalQuoteProvider.GetMarketValue( ticker ,
! 				new EndOfDayDateTime( currentDate , EndOfDaySpecificTime.MarketClose ) );
! 			double closeToCloseReturn = currentQuote / previousQuote - 1.0;
! 			return closeToCloseReturn;
! 		}
! 		private static double getMultiplier( string signedTicker )
! 		{
! 			double multiplier = 1.0;
! 			if ( IsShort( signedTicker ) )
! 				multiplier = -multiplier;
! 			return multiplier;
! 		}
! 		private static double getCloseToClosePortfolioReturn(
! 			string[] signedTickers , DateTime[] datesForReturnComputation , int i )
! 		{
! 			double dailyReturn = 0.0;
! 			foreach ( String signedTicker in signedTickers )
! 				dailyReturn += getMultiplier( signedTicker ) *
! 					getCloseToCloseReturn( GetTicker( signedTicker ) ,
! 					datesForReturnComputation , i ) /
! 					signedTickers.Length;  // every position is considered with same weight
! 			return dailyReturn;
! 		}
! 		private static double[] getCloseToClosePortfolioReturns(
! 			string[] signedTickers , DateTime[] datesForReturnComputation )
! 		{
! 			// the return for first DateTime cannot be computed so the returned
! 			// array will have one element less the datesForReturnComputation
! 			double[] closeToClosePortfolioReturns =
! 				new double[ datesForReturnComputation.Length - 1 ];
! 			for ( int i=0 ; i < closeToClosePortfolioReturns.Length ; i++ )
! 				closeToClosePortfolioReturns[ i ] =	getCloseToClosePortfolioReturn(
! 					signedTickers , datesForReturnComputation , i );
! 			return closeToClosePortfolioReturns;
! 		}
! 		/// <summary>
! 		/// Gets portfolio's return for a given period, for given tickers
! 		/// </summary>
! 		/// <param name="signedTickers">ICollection 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[] GetCloseToClosePortfolioReturns(
! 			ICollection signedTickers,	DateTime firstDate,	DateTime lastDate )
! 		{
! 			string[] signedTickerArray =
! 				getSignedTickerArray( signedTickers );
! 			DateTime[] datesForReturnComputation = Quotes.GetMarketDays(
! 				GetTicker( signedTickerArray[ 0 ] ), firstDate , lastDate );
! 			return getCloseToClosePortfolioReturns( signedTickerArray ,
! 				datesForReturnComputation );
! 		}
! 		#endregion
!     
! 		/// <summary>
      /// Changes sign of each ticker contained in the given 
      /// array of signed tickers