[Quantproject-developers] QuantProject/b4_Business/a2_Strategies WeightedPositions.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17652/b4_Business/a2_Strategies

Modified Files:
	WeightedPositions.cs 
Log Message:
Added to the class:
- new property "Tickers" (SignedTickers type);
- new constructor with only one parameter (SignedTicker signedTicker);
- instance methods GetLastNightReturn adn GetCloseToCloseReturn
 (they were static methods in SignedTicker class).


Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPositions.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WeightedPositions.cs	15 Aug 2007 19:24:26 -0000	1.3
--- WeightedPositions.cs	21 Aug 2007 22:05:34 -0000	1.4
***************
*** 30,33 ****
--- 30,34 ----
  using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Timing;
+ using QuantProject.Data;
  using QuantProject.Data.DataTables;
  
***************
*** 79,83 ****
  			}
  		}
! 			
  		
  		private void weightedPositions_default( double[] normalizedWeightValues ,
--- 80,97 ----
  			}
  		}
! 		
! 		public SignedTickers Tickers {
! 			get {
! 				string[] arrayOfTickersWithSign = new string[this.Count];
! 				for(int i = 0; i < this.Count; i++)
! 				{
! 					if(this[i].IsShort)
! 						arrayOfTickersWithSign[i] = "-" + this[i].Ticker;
! 					else
! 						arrayOfTickersWithSign[i] = this[i].Ticker;
! 				}
! 				return new SignedTickers(arrayOfTickersWithSign);
! 			}
! 		}
  		
  		private void weightedPositions_default( double[] normalizedWeightValues ,
***************
*** 117,120 ****
--- 131,153 ----
  		}
  		
+ 		/// <summary>
+ 		/// It creates a new instance with all equal weights for
+ 		/// the given SignedTickers object
+ 		/// </summary>
+ 		public WeightedPositions( SignedTickers signedTickers )
+ 		{
+ 			string[] unsignedTickers = new string [ signedTickers.Count ];
+ 			double[] allEqualSignedWeights = 
+ 				new double[ signedTickers.Count ];
+ 			for(int i = 0; i < signedTickers.Count; i++)
+ 			{
+ 				unsignedTickers[i] = signedTickers[i].Ticker;
+ 				allEqualSignedWeights[i] = 
+ 					signedTickers[i].Multiplier / (double)signedTickers.Count;
+ 			}
+ 			this.weightedPositions_default( allEqualSignedWeights,
+ 																			unsignedTickers );
+ 		}
+ 
  		#region checkParameters
  		private void checkParameters_checkDoubleTickers( string[] tickers )
***************
*** 561,564 ****
--- 594,679 ----
        return openToCloseReturn;
      }
+ 		
+     #region getLastNightReturn
+   	private double getLastNightReturn( float[] weightedPositionsLastNightReturns )
+ 		{
+ 			double returnValue = 0.0;
+ 			for(int i = 0; i<weightedPositionsLastNightReturns.Length; i++)
+ 				returnValue += weightedPositionsLastNightReturns[i]*((WeightedPosition)this[i]).Weight;
+ 			return returnValue;
+ 		}
+ 		private float getLastNightReturn_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     );
+ 		}
+ 		#endregion
+   	
+   	/// <summary>
+ 		/// Gets the last night return for the current instance
+ 		/// </summary>
+ 		/// <param name="lastMarketDay">The last market date before today</param>
+ 		/// <param name="today">today</param> 
+ 		public double GetLastNightReturn( DateTime lastMarketDay , DateTime today )
+ 		{
+ 			float[] weightedPositionsLastNightReturns = new float[this.Count];
+ 			for(int i = 0; i<this.Count; i++)
+ 				weightedPositionsLastNightReturns[i] = 
+ 					this.getLastNightReturn_getLastNightReturnForTicker(
+ 					((WeightedPosition)this[i]).Ticker, lastMarketDay, today );
+ 			return getLastNightReturn( weightedPositionsLastNightReturns );
+ 		}
+ 				
+ 		private double getCloseToCloseReturn_setReturns_getReturn(
+ 			int returnDayIndex, Quotes[] tickersQuotes )
+     {
+       double returnValue = 0.0;
+       for(int indexForTicker = 0; indexForTicker<this.Count; indexForTicker++)
+       	returnValue +=
+           ((float)tickersQuotes[indexForTicker].Rows[returnDayIndex][Quotes.AdjustedCloseToCloseRatio] - 1.0f)*
+         	(float)this[indexForTicker].Weight;
+       return returnValue;
+     }
+     private void getCloseToCloseReturn_setReturns( double[] returnsToSet,
+                                                    Quotes[] tickersQuotes )
+     {
+       for(int i = 0; i < returnsToSet.Length; i++)
+       {
+         returnsToSet[i] =
+           getCloseToCloseReturn_setReturns_getReturn(i,tickersQuotes);
+       }
+     }
+     /// <summary>
+     /// Gets portfolio's return for a given period, for the current instance
+     /// of weighted positions
+     /// </summary>
+     /// <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 double GetCloseToCloseReturn(DateTime startDate,DateTime endDate )
+     {
+       const double initialEquity = 1.0;
+       double equityValue = initialEquity;
+       Quotes[] tickersQuotes = new Quotes[this.Count];
+       for(int i = 0; i < this.Count; i++)
+       {
+       	tickersQuotes[i] = new Quotes( this[i].Ticker,startDate, endDate );
+         if(tickersQuotes[i].Rows.Count == 0)
+         //no quotes are available at the given period
+           throw new MissingQuotesException(this[i].Ticker,
+         	       													 startDate, endDate);
+       }
+       double[] returns = new double[tickersQuotes[0].Rows.Count];
+       getCloseToCloseReturn_setReturns(returns,tickersQuotes);
+       for(int i = 0; i < returns.Length; i++)
+         equityValue = 
+           equityValue + equityValue * returns[i];
+ 
+       return (equityValue - initialEquity)/initialEquity;
+     }
+ 		
  		/// <summary>
  		/// Reverse the sign of each weight for each position in the current instance: