[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9357/b4_Business/a2_Strategies

Modified Files:
	SignedTicker.cs 
Log Message:
Added GetLastNightPortfolioReturn method

Index: SignedTicker.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** SignedTicker.cs	17 Sep 2006 21:33:27 -0000	1.6
--- SignedTicker.cs	27 Feb 2007 22:57:20 -0000	1.7
***************
*** 261,264 ****
--- 261,307 ----
  		}
      
+ 		private static double getLastNightPortfolioReturn(float[] tickersLastNightReturns,
+ 		                                                  double[] tickersWeights)
+     {
+       double returnValue = 0.0;
+       for(int i = 0; i<tickersLastNightReturns.Length; i++)
+       	returnValue += tickersLastNightReturns[i]*(float)tickersWeights[i];
+       
+       return returnValue;
+     }
+ 		
+ 		private static float getLastNightPortfolioReturn_getLastNightReturnForTicker(string ticker,
+ 		                                            DateTime lastMarketDay, DateTime today)
+     {
+       Quotes tickerQuotes = new Quotes(ticker, lastMarketDay, today);
+       return 	  ( (float)tickerQuotes.Rows[1]["quOpen"] *
+             				(float)tickerQuotes.Rows[1]["quAdjustedClose"]/
+             				(float)tickerQuotes.Rows[1]["quClose"] ) /
+             		  (float)tickerQuotes.Rows[0]["quAdjustedClose"]  - 1;
+     }
+ 		
+ 		
+ 		/// <summary>
+     /// Gets portfolio's last night return for the 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="lastMarketDay">The last market date before today</param>
+     /// <param name="today">today</param> 
+     public static double GetLastNightPortfolioReturn(string[] signedTickers,
+                                                      double[] tickersWeights,
+                                                      DateTime lastMarketDay,
+                                                      DateTime today)
+     {
+     	float[] tickersLastNightReturns = new float[signedTickers.Length];
+     	for(int i = 0; i<signedTickers.Length; i++)
+       {
+     		tickersLastNightReturns[i] = 
+     			getLastNightPortfolioReturn_getLastNightReturnForTicker(
+     			          SignedTicker.GetTicker(signedTickers[i]), lastMarketDay, today );
+       }
+     	return getLastNightPortfolioReturn(tickersLastNightReturns, tickersWeights);
+     }
+ 		
  		private static string[] getSignedTickersArray( ICollection signedTickers )
  		{