[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs, 1.9, 1.10
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[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs, 1.9, 1.10
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From: Marco M. <mi...@us...> - 2007-08-21 22:06:40
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18216/b4_Business/a2_Strategies Modified Files: SignedTicker.cs Log Message: The two public static methods GetLastNightReturn and GetCloseToCloseReturn have been moved to the WeightedPositions class (where now they are instance methods) Index: SignedTicker.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** SignedTicker.cs 7 Aug 2007 16:48:12 -0000 1.9 --- SignedTicker.cs 21 Aug 2007 22:06:35 -0000 1.10 *************** *** 244,339 **** // } // #endregion //GetCloseToCloseReturnsForUnsignedTicker - #region getCloseToClosePortfolioReturn_setReturns - - private static double getCloseToClosePortfolioReturn_setReturns_getReturn( - int returnDay, string[] signedTickers , - double[] tickersWeights, Quotes[] tickersQuotes ) - { - double returnValue = 0.0; - float signOfTicker = 1.0f; - for(int indexForTicker = 0; indexForTicker<signedTickers.Length; indexForTicker++) - { - SignedTicker signedTicker = - new SignedTicker( signedTickers[indexForTicker] ); - if( signedTicker.IsLong ) - signOfTicker = 1.0f; - else - signOfTicker = -1.0f; - - returnValue += - signOfTicker * - ((float)tickersQuotes[indexForTicker].Rows[returnDay][Quotes.AdjustedCloseToCloseRatio] - 1.0f)* - (float)tickersWeights[indexForTicker]; - } - return returnValue; - } - - private static void getCloseToClosePortfolioReturn_setReturns(double[] returnsToSet, - string[] signedTickers, - double[] tickersWeights, - Quotes[] tickersQuotes ) - { - for(int i = 0; i < returnsToSet.Length; i++) - { - returnsToSet[i] = - getCloseToClosePortfolioReturn_setReturns_getReturn( - i,signedTickers,tickersWeights,tickersQuotes); - } - } - #endregion - - /// <summary> - /// Gets portfolio's return for a given period, for 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="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, - DateTime startDate, - DateTime endDate ) - { - 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(signedTickers[i]), - startDate, endDate); - if(tickersQuotes[i].Rows.Count == 0) - //no quotes are available at the given period - throw new MissingQuotesException(SignedTicker.GetTicker(signedTickers[i]), - startDate, endDate); - } - 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 a given period, for the given tickers - /// </summary> - /// <param name="signedTickers">Array of signed tickers that compose the portfolio (each ticker has the same weight)</param> - /// <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, - DateTime startDate, - DateTime endDate ) - { - double[] tickersWeights = new double[signedTickers.Length]; - for(int i = 0; i<signedTickers.Length; i++) - tickersWeights[i] = 1.0/signedTickers.Length; - - return GetCloseToClosePortfolioReturn( - signedTickers,tickersWeights, startDate, endDate); - - } /// <summary> --- 244,248 ---- *************** *** 386,431 **** // } // - 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 ) --- 295,298 ---- |
