[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time CloseToCloseIntervals.cs, NONE, 1.1

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13365

Added Files:
	CloseToCloseIntervals.cs 
Log Message:
Close to close intervals to be used to compute close to close returns

--- NEW FILE: CloseToCloseIntervals.cs ---
/*
QuantProject - Quantitative Finance Library

CloseToCloseIntervals.cs
Copyright (C) 2007
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.ADT.Histories;
using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies.ReturnsManagement.Time
{
	/// <summary>
	/// Close to close intervals to be used to compute close to close returns
	/// </summary>
	public class CloseToCloseIntervals : ReturnIntervals
	{
		/// <summary>
		/// Creates the close to close intervals for the given benchmark, from
		/// the first EndOfDayDateTime to the last EndOfDayDateTime
		/// </summary>
		/// <param name="firstEndOfDayDateTime"></param>
		/// <param name="lastEndOfDayDateTime"></param>
		/// <param name="benchmark"></param>
		public CloseToCloseIntervals( EndOfDayDateTime firstEndOfDayDateTime ,
			EndOfDayDateTime lastEndOfDayDateTime , string benchmark ) :
			base( firstEndOfDayDateTime , lastEndOfDayDateTime , benchmark )
		{
		}
		#region setIntervals
		private void addInterval( History marketDaysForBenchmark , int i )
		{
			DateTime dateTimeForIntervalBegin =
				(DateTime)marketDaysForBenchmark.GetKey( i );
			DateTime dateTimeForIntervalEnd =
				(DateTime)marketDaysForBenchmark.GetKey( i + 1 );
			ReturnInterval returnInterval = new ReturnInterval(
				new EndOfDayDateTime( dateTimeForIntervalBegin ,
				EndOfDaySpecificTime.MarketClose ) ,
				new EndOfDayDateTime( dateTimeForIntervalEnd ,
				EndOfDaySpecificTime.MarketClose ) );
			this.Add( returnInterval );
		}
		private void setIntervals( History marketDaysForBenchmark )
		{
			for( int i = 0 ; i < marketDaysForBenchmark.Count - 1 ; i++ )
				this.addInterval( marketDaysForBenchmark , i );
		}
		protected override void setIntervals()
		{
			History marketDaysForBenchmark =
				QuantProject.Data.DataTables.Quotes.GetMarketDays( this.benchmark ,
				firstEndOfDayDateTime.DateTime , lastEndOfDayDateTime.DateTime );
			this.setIntervals( marketDaysForBenchmark );
		}
		#endregion setIntervals
//		private History getTimeLineForOptimization( EndOfDayDateTime now )
//		{
//			DateTime firstInSampleDateForDrivingPositions =
//				now.DateTime.AddDays(
//				-( this.NumberDaysForInSampleOptimization - 1 ) );
//			DateTime lastInSampleOptimizationDate =
//				now.DateTime;
//			return Quotes.GetMarketDays( this.benchmark ,
//				firstInSampleDateForDrivingPositions , lastInSampleOptimizationDate );
//		}
	}
}