[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WeightedPositions.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19348/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WeightedPositions.cs 
Log Message:
Added the Indexer construct, for an array-like access to the WeightedPositions' items.
Added GetOpenToCloseReturn method.

Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositions.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** WeightedPositions.cs	8 Aug 2007 18:31:35 -0000	1.8
--- WeightedPositions.cs	12 Aug 2007 19:09:41 -0000	1.9
***************
*** 153,156 ****
--- 153,168 ----
  			return (WeightedPosition)this.GetByIndex( i );
  		}
+ 		public WeightedPosition this[ int index ]  
+ 		{
+ 			get  
+ 			{
+ 				return (WeightedPosition)this.GetByIndex( index );
+ 			}
+ 			set  
+ 			{
+ 				this.SetByIndex( index, value );
+ 			}
+ 		}
+ 
  		#region GetEquityLine
  		/// <summary>
***************
*** 532,535 ****
--- 544,564 ----
  			return returns;
  		}
+ 		/// <summary>
+     /// Gets the Open To Close return for the current instance of WeightedPositions
+     /// </summary>
+     /// <param name="marketDate">Market date for which return has to be computed</param>
+     public double GetOpenToCloseReturn(DateTime marketDate)
+     {
+       Quotes[] tickersQuotes = new Quotes[this.Count];
+       for(int i = 0; i<this.Count; i++)
+ 				tickersQuotes[i] = new Quotes( this[i].Ticker,marketDate,marketDate );
+       double openToCloseReturn = 0.0;
+       for(int i = 0; i < this.Count ; i++)
+         	openToCloseReturn += 
+         		        		( (float)tickersQuotes[i].Rows[0]["quClose"] /
+         	  						(float)tickersQuotes[i].Rows[0]["quOpen"] - 1.0f ) *
+         	  						(float)this[i].Weight;
+       return openToCloseReturn;
+     }
  	}
  }