tail-cvs

[Thies <tg...@us...>]

Update of /cvsroot/tail/Tail/src/java/net/sf/tail/flow
In directory sc8-pr-cvs10.sourceforge.net:/tmp/cvs-serv14050/src/java/net/sf/tail/flow

Added Files:
	CashFlow.java 
Log Message:
Interface AnalysisCriterion mudada para o pacote certo, criado o CashFlow, e ajustado o MaximumDrawDown para utilizar o CashFlow

--- NEW FILE: CashFlow.java ---
package net.sf.tail.flow;

import java.util.ArrayList;
import java.util.Collections;
import java.util.List;

import net.sf.tail.TimeSeries;
import net.sf.tail.Trade;

public class CashFlow {

	private final TimeSeries timeSeries;
	private final List<Trade> trades;
	private List<Double> values;

	public CashFlow(TimeSeries timeSeries, List<Trade> trades) {
		this.timeSeries = timeSeries;
		this.trades = trades;
		values = new ArrayList<Double>();
	}
	
	public double getValue(int index)
	{
		increaseLength(index);
		
		if(values.get(index) != null)
			return values.get(index);
		
		if(index == 0)
		{
			values.add(0, 1d);
			return 1d;
		}
		
		Trade trade = respectiveTrade(index);
		if(trade == null)
		{
			values.add(index, getValue(index - 1));
			return values.get(index);
		}
		else
		{
			Double profit = timeSeries.getTick(index).getClosePrice() / timeSeries.getTick(trade.getEntry().getIndex()).getClosePrice(); 
			Double value = getValue(trade.getEntry().getIndex()) * profit;
			
			values.add(index, value);
			return value;
		}
		
	}
	
	public int getSize()
	{
		return timeSeries.getSize();
	}
	
	private Trade respectiveTrade(int index)
	{
		for(int i=0; i < trades.size(); i++)
		{
			if(trades.get(i).getExit().getIndex() == index)
				return trades.get(i);
			if(trades.get(i).getExit().getIndex() > index)
			{
				if(trades.get(i).getEntry().getIndex() < index)
					return trades.get(i);
				else
					return null;
			}
		}
		return null;
	}
	
	//TODO: Mesmo método do CachedIndicator, deixar duplicado o código?
	private void increaseLength(int index) {
		if (values.size() <= index) {
			values.addAll(Collections.<Double> nCopies(index - values.size() + 1, null));
		}
	}
	
}