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

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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7429/b4_Business/a2_Strategies

Modified Files:
	SignedTicker.cs 
Log Message:
- the GetCloseToClosePortfolioReturn method has been added, to compute the close to close portfolio return using a given a
SortedList commonMarketDays 
to select the dates to be used for the calculation
- the same method above has been overloaded to use weights also

Index: SignedTicker.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** SignedTicker.cs	2 Jul 2006 19:04:49 -0000	1.4
--- SignedTicker.cs	22 Jul 2006 20:50:16 -0000	1.5
***************
*** 197,213 ****
      /// <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 )
  		{
--- 197,260 ----
      /// <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>
+ 		/// 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 ,
+ 			SortedList commonMarketDays )
+ 		{
+ 			double returnValue = 0.0;
+ 			Quotes[] tickersQuotes = new Quotes[ signedTickers.Length ];
+ 			for( int i = 0 ; i < signedTickers.Length ; i++ )
+ 			{
+ 				tickersQuotes[ i ] =
+ 					new Quotes( SignedTicker.GetTicker( (string)signedTickers[ i ] ) ,
+ 					commonMarketDays );
+ 			}
+ 			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 the given tickers, considering only
+ 		/// the market days contained in commonMarketDays
+ 		/// </summary>
+ 		/// <param name="signedTickers"></param>
+ 		/// <param name="commonMarketDays"></param>
+ 		/// <returns></returns>
+ 		public static double GetCloseToClosePortfolioReturn(
+ 			string[] signedTickers,
+ 			SortedList commonMarketDays )
+ 		{
+ 			double[] tickersWeights = new double[signedTickers.Length];
+ 			for(int i = 0; i<signedTickers.Length; i++)
+ 				tickersWeights[i] = 1.0/signedTickers.Length;
+ 			
+ 			return GetCloseToClosePortfolioReturn(
+ 				signedTickers , tickersWeights , commonMarketDays );
+ 		}
+     
  		private static string[] getSignedTickersArray( ICollection signedTickers )
  		{
***************
*** 234,241 ****
  		#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();
--- 281,289 ----
  		#region GetCloseToClosePortfolioReturns
  		private static double getCloseToCloseReturn( string ticker ,
! 			SortedList datesForReturnComputation , int i )
  		{
! 			DateTime previousDate = (DateTime)datesForReturnComputation.GetByIndex( i );
! 			DateTime currentDate =
! 				(DateTime)datesForReturnComputation.GetByIndex( i + 1 );
  			HistoricalAdjustedQuoteProvider historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
***************
*** 255,259 ****
  		}
  		private static double getCloseToClosePortfolioReturn(
! 			string[] signedTickers , DateTime[] datesForReturnComputation , int i )
  		{
  			double dailyReturn = 0.0;
--- 303,307 ----
  		}
  		private static double getCloseToClosePortfolioReturn(
! 			string[] signedTickers , SortedList datesForReturnComputation , int i )
  		{
  			double dailyReturn = 0.0;
***************
*** 266,275 ****
  		}
  		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(
--- 314,323 ----
  		}
  		private static double[] getCloseToClosePortfolioReturns(
! 			string[] signedTickers , SortedList 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.Count - 1 ];
  			for ( int i=0 ; i < closeToClosePortfolioReturns.Length ; i++ )
  				closeToClosePortfolioReturns[ i ] =	getCloseToClosePortfolioReturn(
***************
*** 277,280 ****
--- 325,336 ----
  			return closeToClosePortfolioReturns;
  		}
+ 		private static double[] getCloseToClosePortfolioReturns(
+ 			ICollection signedTickers,	SortedList datesForReturnComputation )
+ 		{
+ 			string[] signedTickerArray =
+ 				getSignedTickerArray( signedTickers );
+ 			return getCloseToClosePortfolioReturns( signedTickerArray ,
+ 				datesForReturnComputation );
+ 		}
  		/// <summary>
  		/// Gets portfolio's return for a given period, for given tickers
***************
*** 286,295 ****
  			ICollection signedTickers,	DateTime firstDate,	DateTime lastDate )
  		{
! 			string[] signedTickerArray =
! 				getSignedTickerArray( signedTickers );
! 			DateTime[] datesForReturnComputation = Quotes.GetMarketDays(
! 				GetTicker( signedTickerArray[ 0 ] ), firstDate , lastDate );
! 			return getCloseToClosePortfolioReturns( signedTickerArray ,
! 				datesForReturnComputation );
  		}
  		#endregion
--- 342,362 ----
  			ICollection signedTickers,	DateTime firstDate,	DateTime lastDate )
  		{
! 			SortedList datesForReturnComputation = Quotes.GetCommonMarketDays(
! 				signedTickers , firstDate , lastDate );
! 			return GetCloseToClosePortfolioReturns(
! 				signedTickers , datesForReturnComputation );
! 		}
! 		/// <summary>
! 		/// Gets portfolio's return (for given signed tickers) computed on the
! 		/// market days contained in commonMarketDays
! 		/// </summary>
! 		/// <param name="signedTickers"></param>
! 		/// <param name="commonMarketDays">SortedList of DateTime objects</param>
! 		/// <returns></returns>
! 		public static double[] GetCloseToClosePortfolioReturns(
! 			ICollection signedTickers,	SortedList commonMarketDays )
! 		{
! 			return
! 				getCloseToClosePortfolioReturns( signedTickers , commonMarketDays );
  		}
  		#endregion