quantproject-developers

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15551

Added Files:
	ReturnIntervals.cs 
Log Message:
End of day intervals in a timed sequence, i.e. the (n+1)th interval
never begins before the (n)th interval ends. These intervals will
be used to compute the strategy's returns

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

ReturnIntervals.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 System.Collections;

using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies.ReturnsManagement.Time
{
	/// <summary>
	/// End of day intervals in a timed sequence, i.e. the (n+1)th interval
	/// never begins before the (n)th interval ends
	/// </summary>
	public abstract class ReturnIntervals : CollectionBase
	{
		protected EndOfDayDateTime firstEndOfDayDateTime;
		protected EndOfDayDateTime lastEndOfDayDateTime;
		protected string benchmark;

		private EndOfDayHistory bordersHistory;

		public ReturnInterval this[ int index ]  
		{
			get  
			{
				return( (ReturnInterval) this.List[ index ] );
			}
			set  
			{
				this.List[ index ] = value;
			}
		}

		/// <summary>
		/// The end border for the last interval
		/// </summary>
		public EndOfDayDateTime LastEndOfDayDateTime
		{
			get
			{
				return this[ this.Count - 1 ].End;
			}
		}
		/// <summary>
		/// The EndOfDayHistory made up by queuing all
		/// interval's borders
		/// </summary>
		public EndOfDayHistory BordersHistory
		{
			get
			{
				if ( this.bordersHistory == null )
					// the border's history has not been set yet
					this.setBordersHistory();
				return this.bordersHistory;
			}
		}
		/// <summary>
		/// Creates the proper 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 ReturnIntervals( EndOfDayDateTime firstEndOfDayDateTime ,
			EndOfDayDateTime lastEndOfDayDateTime , string benchmark )
		{
			this.firstEndOfDayDateTime = firstEndOfDayDateTime;
			this.lastEndOfDayDateTime = lastEndOfDayDateTime;
			this.benchmark = benchmark;
			this.setIntervals();
		}
		protected abstract void setIntervals();
		/// <summary>
		/// True iff for each interval border, there is an EndOfDayDateTime
		/// value in the history's eod date times that is exactly the same
		/// EndOfDayDateTime as the border value
		/// </summary>
		/// <param name="endOfDayHistory"></param>
		/// <returns></returns>
		public bool AreIntervalBordersAllCoveredBy(
			EndOfDayHistory endOfDayHistory )
		{
			bool areAllCovered = true;
			foreach ( ReturnInterval returnInterval in this  )
				if ( !returnInterval.AreBordersCoveredBy( endOfDayHistory ) )
					areAllCovered = false;
			return areAllCovered;
		}
		#region setBordersHistory
		private bool beginsBeforeTheLastAdded( ReturnInterval
			returnInterval )
		{
			bool beginsBefore =
				( ( this.bordersHistory != null ) &&
				( this.bordersHistory.Count > 0 ) &&
				( returnInterval.BeginsBefore(
				this.bordersHistory.LastEndOfDayDateTime ) ) );
			return beginsBefore;
		}
		private void checkIfTheIntervalIsWellOrdered(
			ReturnInterval returnInterval )
		{
			if ( this.beginsBeforeTheLastAdded( returnInterval ) )
				throw new Exception( "The first border of the given interval " +
					"begins before the last EndOfDayDateTime added to the history" );
		}
		private bool beginsOnTheLastAddedTime( ReturnInterval returnInterval )
		{
			bool returnValue =
        ( ( this.bordersHistory != null ) &&
				( this.bordersHistory.Count > 0 ) &&
				( this.bordersHistory.LastEndOfDayDateTime.CompareTo(
				returnInterval.Begin ) == 0 ) );
			return returnValue;
		}
		private void setEndOfDayHistoryForCurrentInterval(
			ReturnInterval returnInterval )
		{
			this.checkIfTheIntervalIsWellOrdered( returnInterval );
			if ( this.beginsOnTheLastAddedTime( returnInterval ) )
				// the current return interval begins exactly where the
				// previous interval ended (for instance, it happens for
				// CloseToClose intervals)
				this.bordersHistory.Add( returnInterval.End , returnInterval.End );
			else
			{
				// the current return interval begins after the
				// previous interval ended (for instance, it happens for the
				// OpenToClose intervals)
				this.bordersHistory.Add( returnInterval.Begin , returnInterval.Begin );
				this.bordersHistory.Add( returnInterval.End , returnInterval.End );
			}
		}
		private void setBordersHistory()
		{
			this.bordersHistory = new EndOfDayHistory();
			for( int i = 0 ; i < this.Count ; i++ )
				this.setEndOfDayHistoryForCurrentInterval( this[ i ] );
		}
		#endregion setBordersHistory
		public void Add( ReturnInterval returnInterval )
		{
			this.List.Add( returnInterval );
		}
	}
}