[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs, 1.8, 1.9

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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21337/b4_Business/a2_Strategies

Modified Files:
	SignedTicker.cs 
Log Message:
Dramatically changed: moved from a static string based approach to a OO oriented instance based scenario.
Several static methods have been left for legacy support, but classes using those methods should be patched to use the OO based approach.

Index: SignedTicker.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** SignedTicker.cs	24 Jun 2007 21:29:00 -0000	1.8
--- SignedTicker.cs	7 Aug 2007 16:48:12 -0000	1.9
***************
*** 52,55 ****
--- 52,100 ----
  			get { return this.positionType; }
  		}
+ 		public double Multiplier
+ 		{
+ 			get
+ 			{
+ 				double multiplier = 1;
+ 				if ( this.IsShort )
+ 					multiplier = -1;
+ 				return multiplier;
+ 			}
+ 		}
+ 		public bool IsShort
+ 		{
+ 			get
+ 			{
+ 				bool isShort = ( this.positionType == PositionType.Short );
+ 				return isShort;
+ 			}
+ 		}
+ 		public bool IsLong
+ 		{
+ 			get
+ 			{
+ 				return !this.IsShort;
+ 			}
+ 		}
+ 		public SignedTicker OppositeSignedTicker
+ 		{
+ 			get
+ 			{
+ 				SignedTicker oppositeSignedTicker =
+ 					new SignedTicker( this.Ticker ,
+ 					this.getOppositePositionType( this.PositionType ) );
+ 				return oppositeSignedTicker;
+ 			}
+ 		}
+ 		private PositionType getOppositePositionType( PositionType positionType )
+ 		{
+ 			PositionType oppositePositionType;
+ 			if ( this.IsLong )
+ 				oppositePositionType = PositionType.Short;
+ 			else
+ 				// this.IsShort
+ 				oppositePositionType = PositionType.Long;
+ 			return oppositePositionType;
+ 		}
  		public SignedTicker( string ticker , PositionType positionType )
  		{
***************
*** 57,60 ****
--- 102,158 ----
  			this.positionType = positionType;
  		}
+ 		public SignedTicker( string signedTicker )
+ 		{
+ 			this.signedTicker_checkParams( signedTicker );
+ 			this.ticker = this.getTicker( signedTicker );
+ 			this.positionType = this.getPositionType( signedTicker );
+ 		}
+ 		private bool isValidSignedTicker( string signedTicker )
+ 		{
+ 			bool isActuallyValidSignedTicker = false;
+ 			string firstCharacter = signedTicker.Substring( 0 , 1 );
+ 			if ( ( firstCharacter.CompareTo( "A" ) != - 1 ) &&
+ 				( ( firstCharacter.CompareTo( "Z" ) != 1 ) ) )
+ 				// the first signedTickers' character is an upcase letter
+ 				isActuallyValidSignedTicker = true;
+ 			if ( ( firstCharacter == "^" ) )
+ 				isActuallyValidSignedTicker = true;
+ 			if ( ( firstCharacter == "-" ) )
+ 				isActuallyValidSignedTicker = true;
+ 			return isActuallyValidSignedTicker;
+ 		}
+ 		private void signedTicker_checkParams( string signedTicker )
+ 		{
+ 			if ( !this.isValidSignedTicker( signedTicker ) )
+ 				throw new Exception( "signedTickers is not a valid string to " +
+ 					"identify and construct a new SignedTicker object!" );
+ 		}
+ 		private bool isStringForLongSignedTicker( string signedTicker )
+ 		{
+ 			return !(signedTicker.IndexOf( "-" ) == 0 );
+ 		}
+ 		private string getTicker( string signedTicker )
+ 		{
+ 			string ticker;
+ 			if ( this.isStringForLongSignedTicker( signedTicker ) )
+ 				ticker = signedTicker;
+ 			else
+ 				// signedTicker is a string for a short SignedTicker and
+ 				// signedTicker begins with a '-' sign
+ 				ticker = signedTicker.Substring( 1 );
+ 			return ticker;
+ 		}
+ 		private PositionType getPositionType( string signedTicker )
+ 		{
+ 			PositionType positionType;
+ 			if ( this.isStringForLongSignedTicker( signedTicker ) )
+ 				positionType = PositionType.Long;
+ 			else
+ 				// signedTicker is a string for a short SignedTicker and
+ 				// signedTicker begins with a '-' sign
+ 				positionType = PositionType.Short;
+ 			return positionType;
+ 		}
+ 		
  		public static string GetSignedTicker( Position position )
  		{
***************
*** 71,102 ****
  			return ticker;
  		}
! 		public static bool IsShort( string signedTicker )
! 		{
! 			return ( signedTicker.StartsWith( "-" ) );
! 		}
! 		public static bool IsLong( string signedTicker )
! 		{
! 			return ( !SignedTicker.IsShort( signedTicker ) );
! 		}
! 		public static string GetOppositeSignedTicker( string signedTicker )
! 		{
! 			string oppositeSignedTicker = "";
! 			if ( SignedTicker.IsShort( signedTicker ) )
! 				oppositeSignedTicker = SignedTicker.GetTicker( signedTicker );
! 			if ( SignedTicker.IsLong( signedTicker ) )
! 				oppositeSignedTicker = "-" + SignedTicker.GetTicker( signedTicker );
! 			return oppositeSignedTicker;
! 		}
! 		public static OrderType GetMarketOrderType( string signedTicker )
  		{
! 			OrderType orderType = OrderType.MarketBuy;
! 			if ( SignedTicker.IsShort( signedTicker ) )
! 				orderType = OrderType.MarketSellShort;
! 			return orderType;
  		}
! 		public static double GetCloseToCloseDailyReturn(
! 			string signedTicker , DateTime today )
  		{
! 			string ticker = SignedTicker.GetTicker( signedTicker );
  			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
--- 169,193 ----
  			return ticker;
  		}
! //		public static bool IsShort( string signedTicker )
! //		{
! //			return ( signedTicker.StartsWith( "-" ) );
! //		}
! //		public static bool IsLong( string signedTicker )
! //		{
! //			return ( !SignedTicker.IsShort( signedTicker ) );
! //		}
! 		public OrderType MarketOrderType
  		{
! 			get
! 			{
! 				OrderType orderType = OrderType.MarketBuy;
! 				if ( this.IsShort )
! 					orderType = OrderType.MarketSellShort;
! 				return orderType;
! 			}
  		}
! 		public double GetCloseToCloseDailyReturn( DateTime today )
  		{
! 			string ticker = this.Ticker;
  			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
***************
*** 113,117 ****
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
  			double dailyReturn;
! 			if ( SignedTicker.IsShort( signedTicker ) )
  				// signedTicker represents a short position
  				dailyReturn = - dalyReturnForLongPosition;
--- 204,208 ----
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
  			double dailyReturn;
! 			if ( this.IsShort )
  				// signedTicker represents a short position
  				dailyReturn = - dalyReturnForLongPosition;
***************
*** 155,160 ****
      #region getCloseToClosePortfolioReturn_setReturns
  
!     private static double getCloseToClosePortfolioReturn_setReturns_getReturn(int returnDay,
!                         string[] signedTickers,double[] tickersWeights,Quotes[] tickersQuotes )
      {
        double returnValue = 0.0;
--- 246,252 ----
      #region getCloseToClosePortfolioReturn_setReturns
  
!     private static double getCloseToClosePortfolioReturn_setReturns_getReturn(
! 			int returnDay, string[] signedTickers ,
! 			double[] tickersWeights, Quotes[] tickersQuotes )
      {
        double returnValue = 0.0;
***************
*** 162,166 ****
        for(int indexForTicker = 0; indexForTicker<signedTickers.Length; indexForTicker++)
        {
!         if(SignedTicker.IsLong(signedTickers[indexForTicker]))
            signOfTicker = 1.0f;
          else
--- 254,260 ----
        for(int indexForTicker = 0; indexForTicker<signedTickers.Length; indexForTicker++)
        {
! 				SignedTicker signedTicker =
! 					new SignedTicker( signedTickers[indexForTicker] );
!         if( signedTicker.IsLong )
            signOfTicker = 1.0f;
          else
***************
*** 250,276 ****
  		/// <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 )
! 		{
! 			const double initialEquity = 1.0;
! 			double equityValue = initialEquity;
! 			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++ )
! 				equityValue = 
! 							equityValue + equityValue * returns[i];
! 			
! 			return (equityValue - initialEquity)/initialEquity;
! 		}
! 		
  		/// <summary>
  		/// Gets portfolio's return, for the given tickers, considering only
--- 344,370 ----
  		/// <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 )
! //		{
! //			const double initialEquity = 1.0;
! //			double equityValue = initialEquity;
! //			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++ )
! //				equityValue = 
! //							equityValue + equityValue * returns[i];
! //			
! //			return (equityValue - initialEquity)/initialEquity;
! //		}
! //		
  		/// <summary>
  		/// Gets portfolio's return, for the given tickers, considering only
***************
*** 280,295 ****
  		/// <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 double getLastNightPortfolioReturn(float[] tickersLastNightReturns,
  		                                                  double[] tickersWeights)
--- 374,389 ----
  		/// <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 double getLastNightPortfolioReturn(float[] tickersLastNightReturns,
  		                                                  double[] tickersWeights)
***************
*** 373,406 ****
  			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 , SortedList 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 , 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(
! 					signedTickers , datesForReturnComputation , i );
! 			return closeToClosePortfolioReturns;
! 		}
  		private static double[] getCloseToClosePortfolioReturns(
  			ICollection signedTickers,	SortedList datesForReturnComputation )
--- 467,500 ----
  			return closeToCloseReturn;
  		}
! //		private static double getMultiplier( string signedTicker )
! //		{
! //			double multiplier;
! //			if ( IsShort( signedTicker ) )
! //				multiplier = -multiplier;
! //			return multiplier;
! //		}
! //		private static double getCloseToClosePortfolioReturn(
! //			string[] signedTickers , SortedList 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 , 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(
! //					signedTickers , datesForReturnComputation , i );
! //			return closeToClosePortfolioReturns;
! //		}
  		private static double[] getCloseToClosePortfolioReturns(
  			ICollection signedTickers,	SortedList datesForReturnComputation )
***************
*** 452,455 ****
--- 546,555 ----
        }
  		}
+ 		public static string GetOppositeSignedTicker( string stringForSignedTicker )
+ 		{
+ 			SignedTicker signedTicker = new SignedTicker( stringForSignedTicker );
+ 			SignedTicker oppositeSignedTicker = signedTicker.OppositeSignedTicker;
+ 			return oppositeSignedTicker.Ticker;
+ 		}
  	}
  }