[Quantproject-developers] QuantProject/b4_Business/a2_Strategies WeightedPositions.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2682/b4_Business/a2_Strategies

Modified Files:
	WeightedPositions.cs 
Log Message:
The
GetReturns( ReturnsManager returnsManager )
method has been speed up (about 6 times faster now): several nested method calls have been replaced by a longer method, performing direct fast operations on arrays.

Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPositions.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** WeightedPositions.cs	23 Sep 2007 21:54:57 -0000	1.9
--- WeightedPositions.cs	7 Oct 2007 13:20:37 -0000	1.10
***************
*** 394,414 ****
  		#endregion
  		#region GetBalancedWeights
! 		private static float[][] getTickerCloseToCloseReturnsForSignedTickers(
! 			string[] signedTickers , DateTime firstDate , DateTime lastDate )
! 		{
! 			float[][] tickerReturns = new float[ signedTickers.Length ][];
! 			for ( int i = 0 ;	i < signedTickers.Length ; i++ )
! 			{
! 				string ticker = SignedTicker.GetTicker( signedTickers[ i ] );
! 				tickerReturns[ i ] = Quotes.GetArrayOfCloseToCloseRatios(
! 					ticker , firstDate , lastDate );
! 			}
! 			return tickerReturns;
! 		}
  		private static float getTickerReturnsStandardDeviations( int tickerIndex ,
  			SignedTickers signedTickers , ReturnsManager returnsManager )
  		{
  			string ticker = signedTickers[ tickerIndex ].Ticker;
! 			return returnsManager.GetReturnsStandardDeviation( ticker );
  		}
  		private static float[] getTickersReturnsStandardDeviations(
--- 394,416 ----
  		#endregion
  		#region GetBalancedWeights
! //		private static float[][] getTickerCloseToCloseReturnsForSignedTickers(
! //			string[] signedTickers , DateTime firstDate , DateTime lastDate )
! //		{
! //			float[][] tickerReturns = new float[ signedTickers.Length ][];
! //			for ( int i = 0 ;	i < signedTickers.Length ; i++ )
! //			{
! //				string ticker = SignedTicker.GetTicker( signedTickers[ i ] );
! //				tickerReturns[ i ] = Quotes.GetArrayOfCloseToCloseRatios(
! //					ticker , firstDate , lastDate );
! //			}
! //			return tickerReturns;
! //		}
  		private static float getTickerReturnsStandardDeviations( int tickerIndex ,
  			SignedTickers signedTickers , ReturnsManager returnsManager )
  		{
  			string ticker = signedTickers[ tickerIndex ].Ticker;
! 			float returnsStandardDeviation =
! 				returnsManager.GetReturnsStandardDeviation( ticker );
! 			return returnsStandardDeviation;
  		}
  		private static float[] getTickersReturnsStandardDeviations(
***************
*** 519,544 ****
  			return tickerReturn * Convert.ToSingle( weightedPosition.Weight );
  
- 
- //			int numberOfWeightedPositions = weightedPositions.Count;
- //			string[] tickers = this.getTickers( weightedPositions );
- //			float[] multipliers = this.getMultipliers( weightedPositions );
- //			// arrays of close to close returns, one for each signed ticker
- //			float[][] tickersReturns =
- //				this.wFLagCandidates.GetTickersReturns( tickers );
- //			Aggiungi!!! weightedPositions.GetReturns( this.closeToCloseReturnsManager )
- //								double[] linearCombinationReturns =
- //									new double[ tickersReturns[ 0 ].Length ];
- //			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
- //				// computes linearCombinationReturns[ i ]
- //			{
- //				linearCombinationReturns[ i ] = 0;
- //				for ( int j=0 ; j < weightedPositions.Count ; j++ )
- //				{
- //					double weightedPositionReturn =
- //						tickersReturns[ j ][ i ] * multipliers[ j ];
- //					linearCombinationReturns[ i ] += weightedPositionReturn;
- //				}
- //			}
- //			return linearCombinationReturns;
  		}
  		private float getReturnActually( int i , ReturnsManager returnsManager )
--- 521,524 ----
***************
*** 560,564 ****
  		{
  			this.getReturnCheckParameters( i , returnsManager );
! 			return getReturnActually( i , returnsManager );
  		}
  		#endregion GetReturn
--- 540,545 ----
  		{
  			this.getReturnCheckParameters( i , returnsManager );
! 			float currentReturn = this.getReturnActually( i , returnsManager );
! 			return currentReturn;
  		}
  		#endregion GetReturn
***************
*** 573,578 ****
  			float[] returns = new float[
  				returnsManager.ReturnIntervals.Count ];
! 			for ( int i = 0 ; i < returnsManager.NumberOfReturns ; i++ )
! 				returns[ i ] = this.GetReturn( i , returnsManager );
  			return returns;
  		}
--- 554,580 ----
  			float[] returns = new float[
  				returnsManager.ReturnIntervals.Count ];
! 
! 
! 			// weights[] is set to avoid several double to float conversions
! 			float[] weights = new float[ this.Count ];
! 			float[][] tickersReturns = new float[ this.Count ][];
! 			for ( int positionIndex = 0 ; positionIndex < this.Count ; positionIndex++ )
! 			{
! 				weights[ positionIndex ] =
! 					Convert.ToSingle( ((WeightedPosition)(this[ positionIndex ])).Weight );
! 				tickersReturns[ positionIndex ] = returnsManager.GetReturns(
! 					((WeightedPosition)(this[ positionIndex ])).Ticker );
! 			}
! 
! 			for ( int intervalIndex = 0 ;
! 				intervalIndex < returnsManager.NumberOfReturns ; intervalIndex++ )
! 			{
! 				returns[ intervalIndex ] = 0;
! 				for ( int positionIndex = 0 ; positionIndex < this.Count ;
! 					positionIndex++ )
! 					returns[ intervalIndex ] +=
! 						tickersReturns[ positionIndex ][ intervalIndex ] *
! 						weights[ positionIndex ];
! 			}
  			return returns;
  		}