quantproject-developers

[Quantproject-developers] QuantProject/t5_Testing QPTesting.csproj, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv15447/t5_Testing

Modified Files:
	QPTesting.csproj 
Log Message:
b1_ADT\Econometrics\LinearRegressionWithoutCovarianceMatrix.cs has been added
b1_ADT\LinearAlgebra\TestCholeskyDecomposition.cs has been added
b1_ADT\LinearAlgebra\TestLowerTriangular.cs has been added
b1_ADT\LinearAlgebra\TestMatrix.cs has been added
b1_ADT\LinearAlgebra\TestPositiveDefiniteMatrix.cs has been added

Index: QPTesting.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/t5_Testing/QPTesting.csproj,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** QPTesting.csproj	28 Mar 2010 17:23:06 -0000	1.3
--- QPTesting.csproj	6 Jan 2011 18:42:04 -0000	1.4
***************
*** 39,44 ****
--- 39,49 ----
      <Compile Include="a5_FakeImplementations\FakeHistoricalMarketValueProvider.cs" />
      <Compile Include="AssemblyInfo.cs" />
+     <Compile Include="b1_ADT\Econometrics\LinearRegressionWithoutCovarianceMatrix.cs" />
      <Compile Include="b1_ADT\Econometrics\TestLinearRegression.cs" />
+     <Compile Include="b1_ADT\LinearAlgebra\TestCholeskyDecomposition.cs" />
      <Compile Include="b1_ADT\LinearAlgebra\TestLinearSystemSolver.cs" />
+     <Compile Include="b1_ADT\LinearAlgebra\TestLowerTriangular.cs" />
+     <Compile Include="b1_ADT\LinearAlgebra\TestMatrix.cs" />
+     <Compile Include="b1_ADT\LinearAlgebra\TestPositiveDefiniteMatrix.cs" />
      <Compile Include="b1_ADT\Sum.cs" />
      <Compile Include="b3_data\Selectors\TestTickerSelector.cs" />

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT/LinearAlgebra TestPositiveDefiniteMatrix.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv14717

Added Files:
	TestPositiveDefiniteMatrix.cs 
Log Message:
Test for the class QuantProject.ADT.LinearAlgebra.PositiveDefiniteMatrix

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

TestPositiveDefiniteMatrix.cs
Copyright (C) 2011
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 NUnit.Framework;

using QuantProject.ADT.LinearAlgebra;

namespace QuantTesting.ADT.LinearAlgebra
{
	[TestFixture]
	/// <summary>
	/// Test for the class QuantProject.ADT.LinearAlgebra.PositiveDefiniteMatrix
	/// </summary>
	public class TestPositiveDefiniteMatrix
	{
		public TestPositiveDefiniteMatrix()
		{
		}
		[Test]
		public void TestGetInverse()
		{
			double[,] positiveDefiniteMatrix = new double[ 3 , 3 ] {
				{ 9 , -6 , 12 } ,
				{ -6 , 5 , -11 } ,
				{ 12 , -11 , 29 } };

			double[,] inverse = PositiveDefiniteMatrix.GetInverse( positiveDefiniteMatrix );

			// the inverse is
			//	2/3		7/6		1/6
			//	7/6		13/4	3/4
			//	1/6		3/4		1/4			
			Assert.AreEqual( 3 , inverse.GetLength( 0 ) );
			Assert.AreEqual( 3 , inverse.GetLength( 1 ) );
			Assert.AreEqual( 2.0/3.0 , inverse[ 0 , 0 ] , 0.00000001 );
			Assert.AreEqual( 7.0/6.0 , inverse[ 0 , 1 ] , 0.00000001);
			Assert.AreEqual( 1.0/6.0 , inverse[ 0 , 2 ] , 0.00000001 );
			Assert.AreEqual( 7.0/6.0 , inverse[ 1 , 0 ] , 0.00000001 );
			Assert.AreEqual( 13.0/4.0 , inverse[ 1 , 1 ] );
			Assert.AreEqual( 3.0/4.0 , inverse[ 1 , 2 ] );
			Assert.AreEqual( 1.0/6.0 , inverse[ 2 , 0 ] , 0.00000001 );
			Assert.AreEqual( 3.0/4.0 , inverse[ 2 , 1 ] );
			Assert.AreEqual( 1.0/4.0 , inverse[ 2 , 2 ] );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT/LinearAlgebra TestMatrix.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv14127

Added Files:
	TestMatrix.cs 
Log Message:
Test for the class QuantProject.ADT.LinearAlgebra.Matrix

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

TestLinearSystemSolver.cs
Copyright (C) 2011
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 NUnit.Framework;

using QuantProject.ADT.LinearAlgebra;

namespace QuantTesting.ADT.LinearAlgebra
{
	[TestFixture]
	/// <summary>
	/// Test for the class QuantProject.ADT.LinearAlgebra.Matrix
	/// </summary>
	public class TestMatrix
	{
		public TestMatrix()
		{
		}
		[Test]
		public void TestProductMatrixTimesVector()
		{
			double[,] x = new double[ 3 , 2 ] {
				{ 1 , 2 } ,
				{ 3 , 4 } ,
				{ 5 , 6 } };
			double[] y = new double[ 2 ] { 2 , 3 };
			
			double[] product = Matrix.Multiply( x , y );
			
			Assert.AreEqual( 8 , product[ 0 ] );
			Assert.AreEqual( 18 , product[ 1 ] );
			Assert.AreEqual( 28 , product[ 2 ] );
		}
		
		[Test]
		public void TestTransposeTheFirstMatrixAndMultiply()
		{
			double[,] x = new double[ 2 , 3 ] {
				{ 1 , 2 , 3 } ,
				{ 4 , 5 , 6 } };
			double[,] y = new double[ 2 , 2 ] {
				{ 1 , 2 } ,
				{ 3 , 4 } };
			
			double[,] product = Matrix.TransposeTheFirstMatrixAndMultiply( x , y );
			
			Assert.AreEqual( 3 , product.GetLength( 0 ) );
			Assert.AreEqual( 2 , product.GetLength( 1 ) );
			Assert.AreEqual( 13 , product[ 0 , 0 ] );
			Assert.AreEqual( 18 , product[ 0 , 1 ] );
			Assert.AreEqual( 17 , product[ 1 , 0 ] );
			Assert.AreEqual( 24 , product[ 1 , 1 ] );
			Assert.AreEqual( 21 , product[ 2 , 0 ] );
			Assert.AreEqual( 30 , product[ 2 , 1 ] );
		}
		
		[Test]
		public void TestTransposeTheSecondMatrixAndMultiply()
		{
			double[,] x = new double[ 2 , 2 ] {
				{ 1 , 2 } ,
				{ -3 , 4 } };
			double[,] y = new double[ 3 , 2 ] {
				{ -1 , 5 } ,
				{ 3 , 2 } ,
				{ -1 , 6 } };
			
			double[,] product = Matrix.TransposeTheSecondMatrixAndMultiply( x , y );
			
			Assert.AreEqual( 2 , product.GetLength( 0 ) );
			Assert.AreEqual( 3 , product.GetLength( 1 ) );
			Assert.AreEqual( 9 , product[ 0 , 0 ] );
			Assert.AreEqual( 7 , product[ 0 , 1 ] );
			Assert.AreEqual( 11 , product[ 0 , 2 ] );
			Assert.AreEqual( 23 , product[ 1 , 0 ] );
			Assert.AreEqual( -1 , product[ 1 , 1 ] );
			Assert.AreEqual( 27 , product[ 1 , 2 ] );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT/LinearAlgebra TestLowerTriangular.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv14028

Added Files:
	TestLowerTriangular.cs 
Log Message:
Test for the class QuantProject.ADT.LinearAlgebra.LowerTriangular

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

TestLowerTriangular.cs
Copyright (C) 2011
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 NUnit.Framework;

using QuantProject.ADT.LinearAlgebra;

namespace QuantTesting.ADT.LinearAlgebra
{
	[TestFixture]
	/// <summary>
	/// Test for the class QuantProject.ADT.LinearAlgebra.LowerTriangular
	/// </summary>
	public class TestLowerTriangular
	{
		public TestLowerTriangular()
		{
		}
		[Test]
		public void TestGetInverse()
		{
			double[,] lowerTriangular = new double[ 3 , 3 ] {
				{ 3 , 0 , 0 } ,
				{ -2 , 2 , 0 } ,
				{ 4 , -3 , 1 } };

			double[,] inverse = LowerTriangular.GetInverse( lowerTriangular );

			// the inverse is
			//	1/3		0		0
			//	1/3		1/2		0
			//	-1/3	3/2		1			
			Assert.AreEqual( 3 , inverse.GetLength( 0 ) );
			Assert.AreEqual( 3 , inverse.GetLength( 1 ) );
			Assert.AreEqual( 0.33333333 , inverse[ 0 , 0 ] , 0.00000001 );
			Assert.AreEqual( 0 , inverse[ 0 , 1 ] );
			Assert.AreEqual( 0 , inverse[ 0 , 2 ] );
			Assert.AreEqual( 0.33333333 , inverse[ 1 , 0 ] , 0.00000001 );
			Assert.AreEqual( 0.5 , inverse[ 1 , 1 ] );
			Assert.AreEqual( 0 , inverse[ 1 , 2 ] );
			Assert.AreEqual( -0.33333333 , inverse[ 2 , 0 ] , 0.00000001 );
			Assert.AreEqual( 1.5 , inverse[ 2 , 1 ] );
			Assert.AreEqual( 1 , inverse[ 2 , 2 ] );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT/LinearAlgebra TestCholeskyDecomposition.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv14000

Added Files:
	TestCholeskyDecomposition.cs 
Log Message:
Test for the class QuantProject.ADT.LinearAlgebra.CholeskyDecomposition

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

TestCholeskyDecomposition.cs
Copyright (C) 2011
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 NUnit.Framework;

using QuantProject.ADT.LinearAlgebra;

namespace QuantTesting.ADT.LinearAlgebra
{
	[TestFixture]
	/// <summary>
	/// Test for the class QuantProject.ADT.LinearAlgebra.CholeskyDecomposition
	/// </summary>
	public class TestCholeskyDecomposition
	{
		public TestCholeskyDecomposition()
		{
		}
		[Test]
		public void TestGetLowerTriangular()
		{
			double[,] positiveDefiniteMatrix = new double[ 3 , 3 ] {
				{ 9 , -6 , 12 } ,
				{ -6 , 5 , -11 } ,
				{ 12 , -11 , 29 } };

			double[,] lowerTriangular = CholeskyDecomposition.GetLowerTriangular( positiveDefiniteMatrix );

			// the cholescky decomposition is
			//	3	0	0
			//	-2	1	0
			//	4	-3	2			
			Assert.AreEqual( 3 , lowerTriangular.GetLength( 0 ) );
			Assert.AreEqual( 3 , lowerTriangular.GetLength( 1 ) );
			Assert.AreEqual( 3 , lowerTriangular[ 0 , 0 ] );
			Assert.AreEqual( 0 , lowerTriangular[ 0 , 1 ] );
			Assert.AreEqual( 0 , lowerTriangular[ 0 , 2 ] );
			Assert.AreEqual( -2 , lowerTriangular[ 1 , 0 ] );
			Assert.AreEqual( 1 , lowerTriangular[ 1 , 1 ] );
			Assert.AreEqual( 0 , lowerTriangular[ 1 , 2 ] );
			Assert.AreEqual( 4 , lowerTriangular[ 2 , 0 ] );
			Assert.AreEqual( -3 , lowerTriangular[ 2 , 1 ] );
			Assert.AreEqual( 2 , lowerTriangular[ 2 , 2 ] );
		}
	}
}

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT/Econometrics LinearRegressionWithoutCovarianceMatrix.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/Econometrics
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv13911

Added Files:
	LinearRegressionWithoutCovarianceMatrix.cs 
Log Message:
Test for the class QuantProject.ADT.Econometrics.LinearRegressionWithoutCovarianceMatrix

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

TestLinearRegressionWithoutCovarianceMatrix.cs
Copyright (C) 2010
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 NUnit.Framework;

using QuantProject.ADT.Econometrics;

namespace QuantTesting.ADT.Econometrics
{
	[TestFixture]
	/// <summary>
	/// Test for the class QuantProject.ADT.Econometrics.LinearRegressionWithoutCovarianceMatrix
	/// </summary>
	public class TestLinearRegressionWithoutCovarianceMatrix
	{
		[Test]
		public void TestMethod()
		{
			double[] y = new double[] { 20.10 , 13.30 , 24.40 , 24.95 };

			double[,] X = new double[,] {
				{ 1 , 1 , 4 } ,
				{ 1 , 3 , 1 } ,
				{ 1 , 5 , 3 } ,
				{ 1 , 7 , 2 } };

//			double[,] X = new double[,] {
//				{ 1 , 1 , 1 , 1 } ,
//				{ 1 , 3 , 5 , 7 } ,
//				{ 4 , 1 , 3 , 2 } };

//			double[] weights = new double[] { 1 , 1 , 1 , 1 };

			LinearRegressionWithoutCovarianceMatrix linearRegression = new LinearRegressionWithoutCovarianceMatrix();
			linearRegression.RunRegression( y , X );
			
			Assert.AreEqual( 3.728571429 , linearRegression.EstimatedCoefficients[ 0 ] , 0.00000001 );
			Assert.AreEqual( 1.999404762 , linearRegression.EstimatedCoefficients[ 1 ] , 0.00000001 );
			Assert.AreEqual( 3.58452381 , linearRegression.EstimatedCoefficients[ 2 ] , 0.00000001 );
			
			Assert.AreEqual( 0.999876323 , linearRegression.CenteredRSquare , 0.0000000001 );
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.43, 1.44

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv13605

Modified Files:
	Scripts_SD.csproj 
Log Message:
WalkForwardTesting\LinearRegression\Logging\VirtualReturns\IVirtualReturnComputer.cs has been added
WalkForwardTesting\LinearRegression\Logging\VirtualReturns\ReturnPredictor.cs has been added
WalkForwardTesting\LinearRegression\Logging\VirtualReturns\PortfolioReturnComputer.cs has been added

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.43
retrieving revision 1.44
diff -C2 -d -r1.43 -r1.44
*** Scripts_SD.csproj	28 Mar 2010 16:19:56 -0000	1.43
--- Scripts_SD.csproj	6 Jan 2011 18:37:26 -0000	1.44
***************
*** 165,168 ****
--- 165,171 ----
      <Compile Include="WalkForwardTesting\LinearRegression\Logging\AnalyzerForLinearRegressionTestingPositions.cs" />
      <Compile Include="WalkForwardTesting\LinearRegression\Logging\LinearRegressionLogItem.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\Logging\VirtualReturns\IVirtualReturnComputer.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\Logging\VirtualReturns\ReturnPredictor.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\Logging\VirtualReturns\PortfolioReturnComputer.cs" />
      <Compile Include="WalkForwardTesting\LinearRegression\ReturnIntervals\ShiftedTimeIntervalSelectorForSignaling.cs" />
      <Compile Include="WalkForwardTesting\LinearRegression\ReturnIntervals\SingleDayIntervalsSelector.cs" />
***************
*** 378,381 ****
--- 381,385 ----
      <Folder Include="WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation" />
      <Folder Include="WalkForwardTesting\LinearRegression\Logging" />
+     <Folder Include="WalkForwardTesting\LinearRegression\Logging\VirtualReturns" />
      <Folder Include="WalkForwardTesting\LinearRegression\ReturnIntervals" />
      <Folder Include="WalkForwardTesting\LinearRegression\Strategies" />

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/VirtualReturns ReturnPredictor.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/VirtualReturns
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv13178/WalkForwardTesting/LinearRegression/Logging/VirtualReturns

Added Files:
	ReturnPredictor.cs 
Log Message:
Predicts a return using a linear regression estimated parameters

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

ReturnPredictor.cs
Copyright (C) 2010
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.Econometrics;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Predicts a return using a linear regression estimated parameters
	/// </summary>
	public class ReturnPredictor : IVirtualReturnComputer
	{
		private LinearRegressionTestingPositions linearRegressionTestingPositions;
		private IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling;
		private IHistoricalMarketValueProvider historicalMarketValueProvider;
		
		public ReturnPredictor(
			LinearRegressionTestingPositions linearRegressionTestingPositions ,
			IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling ,
			IHistoricalMarketValueProvider historicalMarketValueProvider
		)
		{
			this.linearRegressionTestingPositions = linearRegressionTestingPositions;
			this.returnIntervalSelectorForSignaling = returnIntervalSelectorForSignaling;
			this.historicalMarketValueProvider = historicalMarketValueProvider;
		}
		
		#region ComputeReturn
		
		#region computeReturn
		
		#region getWeightedReturn
		
		#region getReturn
		private double getReturn(
			WeightedPositions signalingPortfolio , ReturnInterval signalingInterval )
		{
			ReturnsManager returnsManager = new ReturnsManager(
				new ReturnIntervals( signalingInterval ) ,
				this.historicalMarketValueProvider );
			double portfolioReturn = signalingPortfolio.GetReturn( 0 , returnsManager );
			return portfolioReturn;
		}
		#endregion getReturn
		
		private double getWeightedReturn(
			int signalingPortfolioIndex , WeightedPositions signalingPortfolio ,
			ReturnInterval signalingInterval )
		{
			double coefficient =
				this.linearRegressionTestingPositions.LinearRegression.EstimatedCoefficients[
					signalingPortfolioIndex + 1 ];
			double portfolioReturn = this.getReturn( signalingPortfolio , signalingInterval );
			double weightedReturn = coefficient * portfolioReturn;
			return weightedReturn;
		}
		#endregion getWeightedReturn
		
		private double computeReturn( ReturnInterval signalingInterval )
		{
			QuantProject.ADT.Econometrics.ILinearRegression linearRegression =
				this.linearRegressionTestingPositions.LinearRegression;
			WeightedPositions[] signalingPortfolios =
				this.linearRegressionTestingPositions.SignalingPortfolios;
//			double predictedReturn = linearRegression.EstimatedCoefficients[ 0 ];
			double predictedReturn = 0;
			for( int i = 0 ; i < linearRegressionTestingPositions.SignalingPortfolios.Length ; i++ )
				predictedReturn += this.getWeightedReturn(
					i , signalingPortfolios[ i ] , signalingInterval );
			return predictedReturn;
		}
		
		#endregion computeReturn
		
		public double ComputeReturn( ReturnInterval returnInterval )
		{
			ReturnInterval signalingInterval =
				this.returnIntervalSelectorForSignaling.GetReturnIntervalUsedForSignaling(
					returnInterval );
			double predictedReturn = this.computeReturn( signalingInterval );
			return predictedReturn;
		}
		#endregion ComputeReturn
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/VirtualReturns PortfolioReturnComputer.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/VirtualReturns
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv13148/WalkForwardTesting/LinearRegression/Logging/VirtualReturns

Added Files:
	PortfolioReturnComputer.cs 
Log Message:
Computes a return for a given portfolio

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

PortfolioReturnComputer.cs
Copyright (C) 2010
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.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.DataProviders;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Computes a return for a given portfolio
	/// </summary>
	public class PortfolioReturnComputer : IVirtualReturnComputer
	{
		private WeightedPositions portfolio;
		private IHistoricalMarketValueProvider historicalMarketValueProvider;
		
		public PortfolioReturnComputer(
			WeightedPositions portfolio ,
			IHistoricalMarketValueProvider historicalMarketValueProvider )
		{
			this.portfolio = portfolio;
			this.historicalMarketValueProvider = historicalMarketValueProvider;
		}
		
		#region ComputeReturn
		private ReturnsManager getReturnsManager( ReturnInterval returnInterval )
		{
			ReturnIntervals returnIntervals = new ReturnIntervals( returnInterval );
			ReturnsManager returnsManager = new ReturnsManager(
				returnIntervals , this.historicalMarketValueProvider );
			return returnsManager;
		}
		public double ComputeReturn( ReturnInterval returnInterval )
		{
			ReturnsManager returnsManager = this.getReturnsManager( returnInterval );
			double predictedReturn = this.portfolio.GetReturn( 0 , returnsManager );
			return predictedReturn;
		}
		#endregion ComputeReturn
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/VirtualReturns IVirtualReturnComputer.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/VirtualReturns
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv12696

Added Files:
	IVirtualReturnComputer.cs 
Log Message:
Interface to be implemented by those classes that compute a virtual return for a portfolio, a model, etc.

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

IVirtualReturnComputer.cs
Copyright (C) 2010
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.Business.Strategies.ReturnsManagement.Time;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Interface to be implemented by those classes that compute a
	/// virtual return for a portfolio, a model, etc.
	/// </summary>
	public interface IVirtualReturnComputer
	{
		double ComputeReturn( ReturnInterval returnInterval );
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/VirtualReturns - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/VirtualReturns
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv12442/VirtualReturns

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging/VirtualReturns added to the repository

[Quantproject-developers] QuantProject/b1_ADT/Econometrics LinearRegression.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Econometrics
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv12057/b1_ADT/Econometrics

Modified Files:
	LinearRegression.cs 
Log Message:
Computes a Linear Regression with covariance matrix and ANOVA (ANalysis Of VAriance)

Index: LinearRegression.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Econometrics/LinearRegression.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** LinearRegression.cs	27 Mar 2010 17:06:57 -0000	1.1
--- LinearRegression.cs	6 Jan 2011 18:31:18 -0000	1.2
***************
*** 3,7 ****
  
  LinearRegression.cs
! Copyright (C) 2010
  Glauco Siliprandi
  
--- 3,7 ----
  
  LinearRegression.cs
! Copyright (C) 2011
  Glauco Siliprandi
  
***************
*** 28,36 ****
  {
  	/// <summary>
! 	/// Computes a Linear Regression
  	/// </summary>
  	[Serializable]
  	public class LinearRegression : ILinearRegression
  	{
  		private double sumOfSquareResiduals;
  		private double centeredTotalSumOfSquares;
--- 28,38 ----
  {
  	/// <summary>
! 	/// Computes a Linear Regression with covariance matrix
! 	/// and ANOVA (ANalysis Of VAriance)
  	/// </summary>
  	[Serializable]
  	public class LinearRegression : ILinearRegression
  	{
+ 		private double[,] covarianceMatrix;		// (XTransposeX)^-1
  		private double sumOfSquareResiduals;
  		private double centeredTotalSumOfSquares;
***************
*** 81,97 ****
  			return xTransposeX;
  		}
! 		private double[] getXtransposeY( double[] y , double[,] X )
! 		{
! 			int n = y.Length;
! 			int k = X.GetLength( 1 );
! 			double[] xTransposeY = new double[ k ];
! 			for( int j = 0 ; j < k ; j++ )
! 			{
! 				xTransposeY[ j ] = 0;
! 				for( int t = 0 ; t < n ; t++ )
! 					xTransposeY[ j ] += X[ t , j ] * y[ t ];
! 			}
! 			return xTransposeY;
! 		}
  		
  		#region computeRSquare
--- 83,99 ----
  			return xTransposeX;
  		}
! //		private double[] getXtransposeY( double[] y , double[,] X )
! //		{
! //			int n = y.Length;
! //			int k = X.GetLength( 1 );
! //			double[] xTransposeY = new double[ k ];
! //			for( int j = 0 ; j < k ; j++ )
! //			{
! //				xTransposeY[ j ] = 0;
! //				for( int t = 0 ; t < n ; t++ )
! //					xTransposeY[ j ] += X[ t , j ] * y[ t ];
! //			}
! //			return xTransposeY;
! //		}
  		
  		#region computeRSquare
***************
*** 158,164 ****
  			this.runRegression_checkParameters( regressand , regressors );
  			double[,] xTransposeX = this.getXtransposeX( regressors );
! 			double[] xTransposeY = this.getXtransposeY( regressand , regressors );
! 			this.estimatedCoefficients = LinearSystemSolver.FindSolution(
! 				xTransposeX , xTransposeY );
  			this.computeCenteredRSquare( regressand , regressors );
  		}
--- 160,168 ----
  			this.runRegression_checkParameters( regressand , regressors );
  			double[,] xTransposeX = this.getXtransposeX( regressors );
! 			this.covarianceMatrix = PositiveDefiniteMatrix.GetInverse( xTransposeX );
! 			double[,] xTransposeXInverseXTranspose =
! 				Matrix.TransposeTheSecondMatrixAndMultiply( this.covarianceMatrix , regressors );
! //			double[] xTransposeY = this.getXtransposeY( regressand , regressors );
! 			this.estimatedCoefficients = Matrix.Multiply( xTransposeXInverseXTranspose , regressand );
  			this.computeCenteredRSquare( regressand , regressors );
  		}

[Quantproject-developers] QuantProject/b1_ADT ADT_SD.csproj, 1.14, 1.15

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv11989/b1_ADT

Modified Files:
	ADT_SD.csproj 
Log Message:
Econometrics\LinearRegressionWithoutCovarianceMatrix.cs has been added
LinearAlgebra\CholeskyDecomposition.cs has been added
LinearAlgebra\LowerTriangular.cs has been added
LinearAlgebra\Matrix.cs has been added
LinearAlgebra\PositiveDefiniteMatrix.cs has been added

Index: ADT_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT_SD.csproj,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** ADT_SD.csproj	27 Mar 2010 17:10:32 -0000	1.14
--- ADT_SD.csproj	6 Jan 2011 18:30:30 -0000	1.15
***************
*** 50,58 ****
--- 50,63 ----
      <Compile Include="ConstantsProvider.cs" />
      <Compile Include="Econometrics\ILinearRegression.cs" />
+     <Compile Include="Econometrics\LinearRegressionWithoutCovarianceMatrix.cs" />
      <Compile Include="Econometrics\LinearRegression.cs" />
      <Compile Include="ExtendedDataTable.cs" />
      <Compile Include="ExtendedDateTime.cs" />
      <Compile Include="HashProvider.cs" />
+     <Compile Include="LinearAlgebra\CholeskyDecomposition.cs" />
      <Compile Include="LinearAlgebra\LinearSystemSolver.cs" />
+     <Compile Include="LinearAlgebra\LowerTriangular.cs" />
+     <Compile Include="LinearAlgebra\Matrix.cs" />
+     <Compile Include="LinearAlgebra\PositiveDefiniteMatrix.cs" />
      <Compile Include="Optimizing\BruteForce\BestParametersManager.cs" />
      <Compile Include="Optimizing\BruteForce\ParametersManagers\BruteForceOptimizableParametersManagerWithoutEquivalentsAsTopBestParameters.cs" />

[Quantproject-developers] QuantProject/b1_ADT/LinearAlgebra PositiveDefiniteMatrix.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv10786

Added Files:
	PositiveDefiniteMatrix.cs 
Log Message:
Provides static methods for positive definite matrices

--- NEW FILE: PositiveDefiniteMatrix.cs ---
/*
 * Created by SharpDevelop.
 * User: Glauco
 * Date: 30/12/2010
 * Time: 19.05
 * 
 * To change this template use Tools | Options | Coding | Edit Standard Headers.
 */

using System;

namespace QuantProject.ADT.LinearAlgebra
{
	/// <summary>
	/// Provides static methods for positive definite matrices
	/// </summary>
	public class PositiveDefiniteMatrix
	{
		public PositiveDefiniteMatrix()
		{
		}
		
		#region Invert
		private static double[,] getInverse( double[,] lowerTriangular )
		{
			double[,] lowerTriangularInverse = LowerTriangular.GetInverse( lowerTriangular );
			double[,] inverse = Matrix.TransposeTheFirstMatrixAndMultiply( lowerTriangularInverse , lowerTriangularInverse );
			return inverse;
		}
	
		/// <summary>
		/// inverts a positive definite matrix
		/// </summary>
		/// <param name="positiveDefiniteMatrix"></param>
		/// <returns></returns>
		public static double[,] GetInverse( double[,] positiveDefiniteMatrix )
		{
			double[,] lowerTriangular = CholeskyDecomposition.GetLowerTriangular(
				positiveDefiniteMatrix );
			
			double[,] inverse = PositiveDefiniteMatrix.getInverse( lowerTriangular );
			return inverse;
		}
		#endregion Invert
	}
}

[Quantproject-developers] QuantProject/b1_ADT/LinearAlgebra Matrix.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv10310

Added Files:
	Matrix.cs 
Log Message:
Provides methods for matrix algebra

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

Matrix.cs
Copyright (C) 2011
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;

namespace QuantProject.ADT.LinearAlgebra
{
	/// <summary>
	/// Provides methods for matrix algebra
	/// </summary>
	public class Matrix
	{
		public Matrix()
		{
		}
		
		#region Multiply
		/// <summary>
		/// multiplies a matrix times a vector, and returns a vector
		/// </summary>
		/// <param name="x"></param>
		/// <param name="y"></param>
		/// <returns></returns>
		public static double[] Multiply( double[,] x , double[] y )
		{
			if ( x.GetLength( 1 ) != y.Length )
				throw new Exception( "x and y are not conformable!" );
			int n = y.Length;
			int k = x.GetLength( 0 );
			double[] xTimesY = new double[ k ];
			for( int j = 0 ; j < k ; j++ )
			{
				xTimesY[ j ] = 0;
				for( int t = 0 ; t < n ; t++ )
					xTimesY[ j ] += x[ j , t ] * y[ t ];
			}
			return xTimesY;
		}
		#endregion Multiply
		
		/// <summary>
		/// returns xTranspose times y
		/// </summary>
		/// <param name="x">its transpose multiplies y</param>
		/// <param name="y">it's tpremultiplied by x transpose</param>
		/// <returns></returns>
		public static double[,] TransposeTheFirstMatrixAndMultiply( double[,] x , double [,] y )
		{
			if ( x.GetLength( 0 ) != y.GetLength( 0 ) )
				throw new Exception( "x and y are not conformable!" );
			// x is k x m, y is k x n
			int m = x.GetLength( 1 );
			int k = x.GetLength( 0 );
			int n = y.GetLength( 1 );
			double[,] xTransposeTimesY = new double[ m , n ];
			for( int i = 0 ; i < m ; i++ )
				for( int j = 0 ; j < n ; j++ )
			{
				double innerProduct = 0;
				for( int t = 0 ; t < k ; t++ )
					innerProduct += x[ t , i ] * y[ t , j ];
				xTransposeTimesY[ i , j ] = innerProduct;
			}
			return xTransposeTimesY;
		}
		
		/// <summary>
		/// returns x times yTranspose
		/// </summary>
		/// <param name="x">multiplies the transpose of y</param>
		/// <param name="y">it's transposed and then premultiplied by x</param>
		/// <returns></returns>
		public static double[,] TransposeTheSecondMatrixAndMultiply( double[,] x , double [,] y )
		{
			if ( x.GetLength( 1 ) != y.GetLength( 1 ) )
				throw new Exception( "x and y are not conformable!" );
			// x is m x k, y is n x k
			int m = x.GetLength( 0 );
			int k = x.GetLength( 1 );
			int n = y.GetLength( 0 );
			double[,] xTimesYTranspose = new double[ m , n ];
			for( int i = 0 ; i < m ; i++ )
				for( int j = 0 ; j < n ; j++ )
			{
				double innerProduct = 0;
				for( int t = 0 ; t < k ; t++ )
					innerProduct += x[ i , t ] * y[ j , t ];
				xTimesYTranspose[ i , j ] = innerProduct;
			}
			return xTimesYTranspose;
		}
	}
}

[Quantproject-developers] QuantProject/b1_ADT/LinearAlgebra LowerTriangular.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv10182

Added Files:
	LowerTriangular.cs 
Log Message:
Provides static methods for lower triangular matrices

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

LowerTriangular.cs
Copyright (C) 2011
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;

namespace QuantProject.ADT.LinearAlgebra
{
	/// <summary>
	/// Provides static methods for lower triangular matrices
	/// </summary>
	public class LowerTriangular
	{
		public LowerTriangular()
		{
		}
		
		#region GetInverse
		/// <summary>
		/// returnes the inverse of the given lower kxk triangular matrix
		/// </summary>
		/// <param name="lowerTriangular"></param>
		static public double[,] GetInverse( double[,] lowerTriangular )
		{
			int k = lowerTriangular.GetLength( 0 );
			double[,] inverse = new double[ k , k ];
			for( int column = 0 ; column < k ; column++ )
			{
				if ( lowerTriangular[ column , column ] == 0 )
					throw new Exception( "lowerTriangular is a singular matrix!" );
				inverse[ column , column ] = 1 / lowerTriangular[ column , column ];
				for( int row = column + 1 ; row < k ; row++ )
				{
					double numerator = 0;
					for( int h = column ; h < row ; h++ )
						numerator += lowerTriangular[ row , h ] * inverse[ h , column ];
					if ( lowerTriangular[ row , row ] == 0 )
						throw new Exception( "lowerTriangular is a singular matrix!" );
					inverse[ row , column ] = - numerator / lowerTriangular[ row , row ];
				}
			}
			return inverse;
		}
		#endregion GetInverse
	}
}

[Quantproject-developers] QuantProject/b1_ADT/LinearAlgebra CholeskyDecomposition.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv10127

Added Files:
	CholeskyDecomposition.cs 
Log Message:
Takes a positive definite matrix and returns it's decomposition in the form LL^T,
with L lower triangular

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

CholeskyDecomposition.cs
Copyright (C) 2011
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;

namespace QuantProject.ADT.LinearAlgebra
{
	/// <summary>
	/// Takes a positive definite matrix and returns it's decomposition in the form LL^T,
	/// with L lower triangular
	/// </summary>
	public class CholeskyDecomposition
	{
		public CholeskyDecomposition()
		{
		}
		
		#region GetLowerTriangular
		public static double[,] GetLowerTriangular( double[,] positiveDefiniteMatrix )
		{
			int k = positiveDefiniteMatrix.GetLength( 0 );
			double[,] lowerTriangular = new double[ k , k ];
			for( int column = 0 ; column < k ; column++ )
			{
				// computes lowerTriangular[ column , column ]
				double partialSum = 0;
				for( int j = 0 ; j < column ; j++ )
					partialSum += lowerTriangular[ column , j ] * lowerTriangular[ column , j ];
				double numberToBeRootSquared = positiveDefiniteMatrix[ column , column ] - partialSum;
				if ( numberToBeRootSquared <= 0 )
					throw new Exception( "positiveDefiniteMatrix is actually not positive definite" );
				lowerTriangular[ column , column ] = Math.Sqrt( numberToBeRootSquared );
				
				// computes entries below lowerTriangular[ column , column ]
				for( int i = column + 1 ; i < k ; i++ )
				{
					double partialSumB = 0;
					for( int j = 0 ; j < column ; j++ )
						partialSumB += lowerTriangular[ i , j ] * lowerTriangular[ column , j ];
					lowerTriangular[ i , column ] =
						( positiveDefiniteMatrix[ i , column ] - partialSumB ) /
						lowerTriangular[ column , column ];
				}
			}
			return lowerTriangular;			
		}
		#endregion GetLowerTriangular
	}
}

[Quantproject-developers] QuantProject/b1_ADT/Econometrics LinearRegressionWithoutCovarianceMatrix.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Econometrics
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv8973

Added Files:
	LinearRegressionWithoutCovarianceMatrix.cs 
Log Message:
Deprecated version of Linear Regression estimator (in the future, it will probably be removed from the project)

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

LinearRegressionWithoutCovarianceMatrix.cs
Copyright (C) 2010
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.LinearAlgebra;

namespace QuantProject.ADT.Econometrics
{
	/// <summary>
	/// Computes a Linear Regression, but it doesn't provide ANOVA (ANalysis Of VAriance)
	/// </summary>
	[Serializable]
	public class LinearRegressionWithoutCovarianceMatrix : ILinearRegression
	{
		private double sumOfSquareResiduals;
		private double centeredTotalSumOfSquares;

		private double[] estimatedCoefficients;
		
		public double[] EstimatedCoefficients {
			get
			{
				if ( this.estimatedCoefficients == null )
					throw new Exception(
						"The method RunRegression() must be invoked before " +
						"reading this property!" );
				return this.estimatedCoefficients;
			}
		}
		
		private double centeredRSquare;
		
		public double CenteredRSquare {
			get { return this.centeredRSquare; }
		}
		
		public LinearRegressionWithoutCovarianceMatrix()
		{
		}
		
		#region RunRegression
		private void runRegression_checkParameters( double[] regressand , double[,] regressors )
		{
			if ( regressand.Length != regressors.GetLength( 0 ) )
				throw new Exception(
					"The regressand doesn't have the same number of observations as " +
					"the regressors!" );
		}
		private double[,] getXtransposeX( double[,] X )
		{
			int n = X.GetLength( 0 );
			int k = X.GetLength( 1 );
			double[,] xTransposeX = new double[ k , k ];
			for( int i = 0 ; i < k ; i++ )
				for( int j = 0 ; j < k ; j++ )
			{
				xTransposeX[ i , j ] = 0;
				for( int t = 0 ; t < n ; t++ )
					xTransposeX[ i , j ] += X[ t , i ] * X[ t , j ];
			}
			return xTransposeX;
		}
		private double[] getXtransposeY( double[] y , double[,] X )
		{
			int n = y.Length;
			int k = X.GetLength( 1 );
			double[] xTransposeY = new double[ k ];
			for( int j = 0 ; j < k ; j++ )
			{
				xTransposeY[ j ] = 0;
				for( int t = 0 ; t < n ; t++ )
					xTransposeY[ j ] += X[ t , j ] * y[ t ];
			}
			return xTransposeY;
		}
		
		#region computeRSquare
		private double getYBar( double[] regressand )
		{
			double yBar = 0;
			for( int i = 0 ; i < regressand.Length ; i++ )
				yBar += regressand[ i ];
			yBar = yBar / regressand.Length;
			return yBar;
		}
		
		#region getYHat
		private double getYHat( double[] regressand , double[,] regressors , int i )
		{
			double returnValue = 0;
			for( int j = 0 ; j < regressors.GetLength( 1 ) ; j++ )
				returnValue += this.estimatedCoefficients[ j ] * regressors[ i , j ];
			return returnValue;
		}
		
		private double[] getYHat( double[] regressand , double[,] regressors )
		{
			double[] yHat = new double[ regressand.Length ];
			for( int i = 0 ; i < regressand.Length ; i++ )
				yHat[ i ] = this.getYHat( regressand , regressors , i );
			return yHat;
		}
		#endregion getYHat
		
		private void setSumOfSquareResidualsAndCenteredTotalSumOfSquares(
			double[] regressand , double[,] regressors , double yBar , double[] yHat )
		{
			this.sumOfSquareResiduals = 0;
			this.centeredTotalSumOfSquares = 0;
			for( int i = 0 ; i < regressand.Length ; i++ )
			{
				this.sumOfSquareResiduals +=
					( yHat[ i ] - regressand[ i ] ) * ( yHat[ i ] - regressand[ i ] );
				this.centeredTotalSumOfSquares +=
					( regressand[ i ] - yBar ) * ( regressand[ i ] - yBar );
			}
		}
		private void setSumOfSquareResidualsAndCenteredTotalSumOfSquares(
			double[] regressand , double[,] regressors )
		{
			double yBar = this.getYBar( regressand );
			double[] yHat = this.getYHat( regressand , regressors );
			this.setSumOfSquareResidualsAndCenteredTotalSumOfSquares(
				regressand , regressors , yBar , yHat );
		}
		private void computeCenteredRSquare(
			double[] regressand , double[,] regressors )
		{
			this.setSumOfSquareResidualsAndCenteredTotalSumOfSquares(
				regressand , regressors);
			this.centeredRSquare =
				1 - this.sumOfSquareResiduals / this.centeredTotalSumOfSquares;
		}
		#endregion computeRSquare
		
		public void RunRegression( double[] regressand , double[,] regressors )
		{
			this.runRegression_checkParameters( regressand , regressors );
			double[,] xTransposeX = this.getXtransposeX( regressors );
			double[] xTransposeY = this.getXtransposeY( regressand , regressors );
			this.estimatedCoefficients = LinearSystemSolver.FindSolution(
				xTransposeX , xTransposeY );
			this.computeCenteredRSquare( regressand , regressors );
		}
		#endregion RunRegression
	}
}

[Quantproject-developers] QuantProject/b2_DataAccess/Tables FinancialValues.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv28321

Added Files:
	FinancialValues.cs 
Log Message:
Added FinancialValues class, for accessing the FinancialValues table in DB

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

FinancialValues.cs
Copyright (C) 2010
Marco Milletti

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 System.Data;
using QuantProject.DataAccess;


namespace QuantProject.DataAccess.Tables
{
	/// <summary>
	/// Class to access the financialValues table
	/// </summary>
	public class FinancialValues
	{
		
		private DataTable financialValues;
		
		/// <summary>
		/// Gets the ticker whose financials are contained into the FinancialValues object
		/// </summary>
		/// <returns></returns>
		public string Ticker
		{
			get{ return ((string)this.financialValues.Rows[ 0 ][ "fvTiTicker" ]); }
		}

		public FinancialValues( string ticker, int periodLengthInMonths)
		{
			this.financialValues = FinancialValues.GetTickerFinancialValues( ticker, periodLengthInMonths );
		}
		
		/// <summary>
		/// It provides addition of the given financial values into table "financial values"
		/// </summary>
		public static void Add( string ticker, int financialDataCode, int sourceCode,
		                        DateTime endingPeriodDate, int periodLengthInMonths,
		                        double financialValue, 
		                        DateTime downloadDate)
		{
			try
			{
				SqlExecutor.ExecuteNonQuery("INSERT INTO financialValues(fvTiTicker, fvFdId, fvFsId, " +
				                            "fvEndingPeriodDate, fvPeriodLengthInMonths, " +
				                            "fvValue, fvDownloadDate) " +
				                            "VALUES('" + ticker + "', " + financialDataCode + ", " + sourceCode + ", " +
				                             SQLBuilder.GetDateConstant(endingPeriodDate) + ", " + periodLengthInMonths + ", " +
				                            financialValue + ", " + 
				                            SQLBuilder.GetDateConstant(downloadDate) + ")");
			}
			catch(Exception ex)
			{
				string notUsed = ex.ToString();
			}
		}
				
		/// <summary>
		/// returns the financial values DataTable for the given ticker
		/// </summary>
		public static DataTable GetTickerFinancialValues( string instrumentKey,
		                                                  int periodLengthInMonths )
		{
			string sql = "select * from financialValues where fvTiTicker='" + instrumentKey + "' " +
				"and fvPeriodLengthInMonths= " + periodLengthInMonths + " order by fvEndingPeriodDate";
			return SqlExecutor.GetDataTable( sql );
		}

		#region SetDataTable for tickerList
//		private static string setDataTable_getTickerListWhereClause_getSingleTickerWhereClause(
//			string ticker )
//		{
//			return "(" + FinancialValues.TickerFieldName + "='" + ticker + "')";
//		}
//		private static string setDataTable_getTickerListWhereClause( ICollection tickerCollection )
//		{
//			string returnValue = "";
//			foreach (string ticker in tickerCollection)
//				if ( returnValue == "" )
//				// this is the first ticker to handle
//				returnValue += setDataTable_getTickerListWhereClause_getSingleTickerWhereClause( ticker );
//			else
//				// this is not the first ticker to handle
//				returnValue += " or " +
//					setDataTable_getTickerListWhereClause_getSingleTickerWhereClause( ticker );
//			return "( " + returnValue + " )";
//		}
//		/// <summary>
//		/// Builds a Quotes data table containing a row for each ticker in the
//		/// collection, with the quotes for the given DateTime
//		/// </summary>
//		/// <param name="tickerCollection">Tickers whose quotes are to be fetched</param>
//		/// <param name="dateTime">Date for the quotes to be fetched</param>
//		/// <param name="dataTable">Output parameter</param>
//		public static void SetDataTable( ICollection tickerCollection , DateTime dateTime , DataTable dataTable)
//		{
//			string sql;
//			sql =	"select * from quotes " +
//				"where " + setDataTable_getTickerListWhereClause( tickerCollection ) +
//				" and " + FinancialValues.Date + "=" + SQLBuilder.GetDateConstant( dateTime ) + " " +
//				"order by " + FinancialValues.TickerFieldName;
//			
//			SqlExecutor.SetDataTable( sql , dataTable );
//		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles EligibleTickers.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv27726/Eligibles

Modified Files:
	EligibleTickers.cs 
Log Message:
Added SourceDataTable property, for providing the data Table used for getting the current EligibleTickers istance

Index: EligibleTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/EligibleTickers.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EligibleTickers.cs	28 Mar 2010 14:12:36 -0000	1.4
--- EligibleTickers.cs	20 Nov 2010 18:59:15 -0000	1.5
***************
*** 47,51 ****
  			}
  		}
! 		
  		public EligibleTickers( ICollection<string> tickers )
  		{
--- 47,62 ----
  			}
  		}
! 		private DataTable sourceDataTable;
! 		/// <summary>
! 		/// Returns the dataTable that has been used for
! 		/// the construction of the given instance
! 		/// </summary>
! 		public DataTable SourceDataTable
! 		{
! 			get  
! 			{
! 				return this.sourceDataTable;
! 			}
! 		}
  		public EligibleTickers( ICollection<string> tickers )
  		{
***************
*** 61,64 ****
--- 72,76 ----
  		public EligibleTickers( DataTable dtTickers )
  		{
+ 			this.sourceDataTable = dtTickers;
  			this.addTickers( dtTickers );
  		}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EquityEvaluation Variance.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv27491/EquityEvaluation

Added Files:
	Variance.cs 
Log Message:
Added Variance class. It evaluates equity just through variance

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

Variance.cs
Copyright (C) 2010
Marco Milletti

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.Statistics;

namespace QuantProject.Business.Strategies.EquityEvaluation
{
	/// <summary>
	/// Equity line evaluator, simply measuring the variance
	/// </summary>
	[Serializable]
	public class Variance : IEquityEvaluator
	{
		public string Description
		{
			get
			{
				return "EqEvltr_Var";
			}
		}

		public Variance()
		{
			//
			// TODO: Add constructor logic here
			//
		}
		public float GetReturnsEvaluation( float[] returns )
		{
			return Convert.ToSingle( BasicFunctions.Variance( returns ) );
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByMostDiscountedPrices.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv27344/Eligibles

Added Files:
	ByMostDiscountedPrices.cs 
Log Message:
Added ByMostDiscountedPrices. It implements IEligiblesSelector in order to retrieve tickers that have the most discounted prices with respect to a given IFairValueProvider (based fundamentals) 

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

ByMostDiscountedPrices.cs
Copyright (C) 2010
Marco Milletti

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 System.Data;

using QuantProject.ADT;
using QuantProject.ADT.Histories;
using QuantProject.ADT.Messaging;
using QuantProject.Data.DataTables;
using QuantProject.Data.Selectors;
using QuantProject.Business.Financial.Fundamentals;

namespace QuantProject.Business.Strategies.Eligibles
{
	/// <summary>
	/// Implements IEligiblesSelector for selecting a given max number of tickers through
	/// the following step-by-step selecting process:
	/// -step 1: all tickers belonging to a given group
	/// are selected (the group can be "temporized": that is tickers
	/// are returned depending on the time the selection is requested:
	/// the group SP 500 should be like that);
	/// -step 2: from tickers selected by step 1, the ones
	/// (not more than a given max number) that have
	/// the greatest (negative) relative difference between the current price
	/// and the fair price;
	/// </summary>
	[Serializable]
	public class ByMostDiscountedPrices : IEligiblesSelector
	{
		public event NewMessageEventHandler NewMessage;
		
		private bool temporizedGroup;
		private string tickersGroupID;
		private int maxNumberOfEligibleTickersToBeChosen;
		private int numOfDaysForFundamentalAnalysis;
		private IFairValueProvider fairValueProvider;
		
		public string Description
		{
			get{
				return "From_" + this.tickersGroupID + " (temporized: " +
					this.temporizedGroup.ToString() + ")\n" +
					"MaxNumOfEligibles_" + this.maxNumberOfEligibleTickersToBeChosen.ToString() + "\n" +
					"Most discounted price with respect to a given IFairPriceEvaluator";
			}
		}
				
		public ByMostDiscountedPrices(IFairValueProvider fairValueProvider,
			string tickersGroupID , bool temporizedGroup, 
			int maxNumberOfEligibleTickersToBeChosen, int numOfDaysForFundamentalAnalysis)
		{
			this.fairValueProvider = fairValueProvider;
			this.temporizedGroup = temporizedGroup;
			this.maxNumberOfEligibleTickersToBeChosen =
				maxNumberOfEligibleTickersToBeChosen;
			this.tickersGroupID = tickersGroupID;
			this.numOfDaysForFundamentalAnalysis = numOfDaysForFundamentalAnalysis;
		}
		
		private EligibleTickers getEligibleTickers_actually_getTableOfMostDiscountedTickers(
			DataTable initialTableFromWhichToChooseTheMostDiscountedTickers, DateTime date )
		{
			DataTable tableOfEligibleTickers;
			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("FairPrice"))
        initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("FairPrice", System.Type.GetType("System.Double"));
			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("MarketPrice"))
        initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("LastMonthAverageMarketPrice", System.Type.GetType("System.Double"));
			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("RelativeDifferenceBetweenFairAndMarketPrice"))
        initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("RelativeDifferenceBetweenFairAndMarketPrice", System.Type.GetType("System.Double"));
      foreach(DataRow row in initialTableFromWhichToChooseTheMostDiscountedTickers.Rows)
      {
      	row["FairPrice"] = 
      		this.fairValueProvider.GetFairValue( (string)row[0],
      	                                       date.AddDays(-this.numOfDaysForFundamentalAnalysis),
      	                                       date );
      	float[] lastMonthQuotes = 
      		Quotes.GetArrayOfAdjustedCloseQuotes((string)row[0], date.AddDays(-30), date);
      	row["LastMonthAverageMarketPrice"] = 
      		ADT.Statistics.BasicFunctions.SimpleAverage(lastMonthQuotes);
      	row["RelativeDifferenceBetweenFairAndMarketPrice"] = 
      		((double)row["FairPrice"]-(double)row["LastMonthAverageMarketPrice"])/(double)row["FairPrice"];
      }
      tableOfEligibleTickers = 
      	ExtendedDataTable.CopyAndSort(initialTableFromWhichToChooseTheMostDiscountedTickers,
      	                              "RelativeDifferenceBetweenFairAndMarketPrice", true);
      ExtendedDataTable.DeleteRows(tableOfEligibleTickers, this.maxNumberOfEligibleTickersToBeChosen);
      
      DataColumn[] columnPrimaryKeys = new DataColumn[1];
			columnPrimaryKeys[0] = tableOfEligibleTickers.Columns[0];
			tableOfEligibleTickers.PrimaryKey = columnPrimaryKeys;
      
      return new EligibleTickers(tableOfEligibleTickers);
		}
		
		private EligibleTickers getEligibleTickers_actually(
			History history )
		{
			DateTime currentDate = history.LastDateTime; 

			SelectorByGroup group;
			if(this.temporizedGroup)
			//the group is "temporized": returned set of tickers
			// depend on time
				group = new SelectorByGroup(this.tickersGroupID,
				                            currentDate);
      else//the group is not temporized
      	group = new SelectorByGroup(this.tickersGroupID);
      DataTable tickersFromGroup = group.GetTableOfSelectedTickers();
      
      return this.getEligibleTickers_actually_getTableOfMostDiscountedTickers(tickersFromGroup, currentDate);
      
		}
		
		private void getEligibleTickers_sendNewMessage(
			EligibleTickers eligibleTickers )
		{
			string message = "Number of Eligible tickers: " +
				eligibleTickers.Count;
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if(this.NewMessage != null)
				this.NewMessage( this , newMessageEventArgs );
		}
		
		/// <summary>
		/// Returns the eligible tickers
		/// </summary>
		/// <returns></returns>
		public EligibleTickers GetEligibleTickers(
			History history )
		{
			EligibleTickers eligibleTickers =
				this.getEligibleTickers_actually( history );
			this.getEligibleTickers_sendNewMessage( eligibleTickers );
			return eligibleTickers;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/FitnessEvaluation BuyAndHoldFitnessEvaluator.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/FitnessEvaluation
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv26480/Optimizing/FitnessEvaluation

Added Files:
	BuyAndHoldFitnessEvaluator.cs 
Log Message:
Added BuyAndHoldFitnessEvaluator

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

BuyAndHoldFitnessEvaluator.cs
Copyright (C) 2010
Marco Milletti

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;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Business.Strategies.Optimizing.FitnessEvaluation
{
	/// <summary>
	/// Implements IFitnessEvaluator interface for the 
	/// basic strategy of buying and holding a portofolio
	/// (represented, normally, by a TestingPositions
	/// passed to the GetFitnessValue method)
	/// </summary>
	[Serializable]
	public class BuyAndHoldFitnessEvaluator : IFitnessEvaluator
	{
		private IEquityEvaluator strategyEquityEvaluator;
		
		public string Description
		{
			get
			{
				string description = "FitnessEvaluatedWith_" +
								this.strategyEquityEvaluator.GetType().ToString();
				return description;
			}
		}
		
		public BuyAndHoldFitnessEvaluator(IEquityEvaluator strategyEquityEvaluator)
		{
			this.strategyEquityEvaluator = strategyEquityEvaluator;
		}

		private float getFitnessValue_getFitnessValueActually(
			TestingPositions testingPositions, IReturnsManager returnsManager )
		{
			float fitnessValue;
			float[] returns = 
				testingPositions.WeightedPositions.GetReturns(returnsManager);
			fitnessValue = 
				this.strategyEquityEvaluator.GetReturnsEvaluation(returns);
			if( double.IsNaN(fitnessValue) )
				fitnessValue = 0;
			return fitnessValue;
		}
		
		public double GetFitnessValue(object meaning , IReturnsManager returnsManager )
		{
			float fitnessValue = -0.5f;
			TestingPositions testingPositions = (TestingPositions)meaning;
			if(testingPositions.WeightedPositions != null)
				fitnessValue = this.getFitnessValue_getFitnessValueActually( testingPositions, returnsManager );
			return fitnessValue;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding FixedCommissionsAndSlippageAccountProvider.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv25707/a2_Accounting/AccountProviding

Added Files:
	FixedCommissionsAndSlippageAccountProvider.cs 
Log Message:
Added FixedCommissionsAndSlippageAccountProvider

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

FixedCommissionsAndSlippageAccountProvider.cs
Copyright (C) 2010
Marco Milletti

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;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Business.Financial.Accounting.Slippage;
using QuantProject.Business.Timing;


namespace QuantProject.Business.Financial.Accounting.AccountProviding
{
	/// <summary>
	/// IAccountProvider object that provides an account
	/// with fixed commissions (also 0) and fixed percentage slippage (also 0)
	/// on orders
	/// </summary>
	[Serializable]
	public class FixedCommissionsAndSlippageAccountProvider : IAccountProvider
	{
		private double slippageFixedPercentage;
		private double fixedCommission;
		
		public FixedCommissionsAndSlippageAccountProvider(double fixedCommission, 
		                                                  double slippageFixedPercentage)
		{
			this.fixedCommission = fixedCommission;
			
			if( slippageFixedPercentage < 0.0 ||
			   slippageFixedPercentage > 100.0 )
				throw new OutOfRangeException("slippageFixedPercentage", 0.0, 100.0);
			
			this.slippageFixedPercentage = slippageFixedPercentage;
		}
		
		private ISlippageManager getAccount_getSlippageManager(
			Timer timer , HistoricalMarketValueProvider historicalMarketValueProvider)
		{
			ISlippageManager slippageManager;
			if(this.slippageFixedPercentage == 0.0)
				slippageManager = new ZeroSlippageManager();
			else//this.slippageFixedPercentage > 0.0
				slippageManager = new FixedPercentageSlippageManager(
					historicalMarketValueProvider , timer ,
					this.slippageFixedPercentage );
			return slippageManager;
		}
		
		public Account GetAccount(
			Timer timer , HistoricalMarketValueProvider historicalMarketValueProvider )
		{
			Account account =
				new Account(
					"IBAccount" , timer ,
					new HistoricalDataStreamer(
						timer , historicalMarketValueProvider ) ,
					new HistoricalOrderExecutor(
						timer , historicalMarketValueProvider ,
						this.getAccount_getSlippageManager(
							timer , historicalMarketValueProvider ) ),
					new FixedCommissionManager(this.fixedCommission) );
			return account;
		}
		
		public string Description
		{
			get
			{
				string description =
					"SimpleAccount_FixedComm_Fixed%Slippage";
				return description;
			}
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a4_Fundamentals IFairValueProvider.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a4_Fundamentals
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv25641

Added Files:
	IFairValueProvider.cs 
Log Message:
Added IFairValueProvider interface. Objects implementing it have to provide a GetFairValue method

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

IFairValueProvider.cs
Copyright (C) 2010
Marco Milletti

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;

namespace QuantProject.Business.Financial.Fundamentals
{
	/// <summary>
	/// Interface to be implemented by objects implementing a model which computes
	/// the fair value for a given ticker at a given date, using 
	/// available fundamental data since another previous date
	/// </summary>
	public interface IFairValueProvider
	{
		double GetFairValue( string ticker , DateTime firstDateForFundamentals,
		                     DateTime dateOfFairValueComputation );
	}
}