[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29454/b4_Business/a2_Strategies

Modified Files:
	SignedTicker.cs 
Log Message:
Fixed bug in GetCloseToClosePortfolioReturn method. The portfolio return is properly computed now.

Index: SignedTicker.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** SignedTicker.cs	22 Jul 2006 20:50:16 -0000	1.5
--- SignedTicker.cs	17 Sep 2006 21:33:27 -0000	1.6
***************
*** 171,175 ****
                                                          DateTime endDate )
      {
!       double returnValue = 0.0;
        Quotes[] tickersQuotes = new Quotes[signedTickers.Length];
        for(int i = 0; i<signedTickers.Length; i++)
--- 171,176 ----
                                                          DateTime endDate )
      {
!       const double initialEquity = 1.0;
!       double equityValue = initialEquity;
        Quotes[] tickersQuotes = new Quotes[signedTickers.Length];
        for(int i = 0; i<signedTickers.Length; i++)
***************
*** 186,192 ****
                                                  tickersWeights, tickersQuotes);
        for(int i = 0; i < returns.Length; i++)
!         returnValue = (1.0+returnValue) * returns[i];
  
!       return returnValue;
      }
  		
--- 187,194 ----
                                                  tickersWeights, tickersQuotes);
        for(int i = 0; i < returns.Length; i++)
!         equityValue = 
!           equityValue + equityValue * returns[i];
  
!       return (equityValue - initialEquity)/initialEquity;
      }
  		
***************
*** 221,225 ****
  			SortedList commonMarketDays )
  		{
! 			double returnValue = 0.0;
  			Quotes[] tickersQuotes = new Quotes[ signedTickers.Length ];
  			for( int i = 0 ; i < signedTickers.Length ; i++ )
--- 223,228 ----
  			SortedList commonMarketDays )
  		{
! 			const double initialEquity = 1.0;
! 			double equityValue = initialEquity;
  			Quotes[] tickersQuotes = new Quotes[ signedTickers.Length ];
  			for( int i = 0 ; i < signedTickers.Length ; i++ )
***************
*** 233,239 ****
  				tickersWeights , tickersQuotes);
  			for( int i = 0 ; i < returns.Length ; i++ )
! 				returnValue = (1.0+returnValue) * returns[i];
! 
! 			return returnValue;
  		}
  		
--- 236,243 ----
  				tickersWeights , tickersQuotes);
  			for( int i = 0 ; i < returns.Length ; i++ )
! 				equityValue = 
! 							equityValue + equityValue * returns[i];
! 			
! 			return (equityValue - initialEquity)/initialEquity;
  		}