public void 大会期間をスラッシュで表示する()
{
var act = new HoldingPeriod(
new DateTime(2020, 9, 25),
new DateTime(2020, 10, 2));
Assert.Equal("2020/9/25 ～ 2020/10/2", act.ShortDisplayValue);
}
public void 大会期間を年月日で表示する()
{
var act = new HoldingPeriod(
new DateTime(2020, 9, 25),
new DateTime(2020, 10, 2));
Assert.Equal("2020年9月25日 ～ 2020年10月2日", act.DisplayValue);
}
/// <summary>
/// Initializes this object
/// </summary>
/// <param name="tansactionId">The Id of the selling/dividend transaction</param>
/// <param name="profitAbsolute">Absolute profit</param>
/// <param name="profitPercentage">Relative profit</param>
/// <param name="buyDate">The first buying date</param>
/// <param name="sellDate">The sell date</param>
/// <param name="r">The maximum risk per trade</param>
public TransactionPerformance(Guid tansactionId, decimal profitAbsolute, decimal profitPercentage, DateTime buyDate, DateTime sellDate, decimal r)
{
Id = tansactionId;
ProfitAbsolute = profitAbsolute;
ProfitPercentage = profitPercentage;
ProfitMade = ProfitAbsolute > 0;
HoldingPeriod = new HoldingPeriod(buyDate, sellDate);
R = r;
}
public void JSONのシリアライズとデシリアライズが正常に実行されること(
int startYear, int startMonth, int startDay, int endYear, int endMonth, int endDay)
{
var startDate = new DateTime(startYear, startMonth, startDay);
var endDate = new DateTime(endYear, endMonth, endDay);
var oldHoldingPeriod = new HoldingPeriod(startDate, endDate);
var json = oldHoldingPeriod.ToJson();
var newHoldingPeriod = HoldingPeriod.FromJson(json);
Assert.Equal(startDate, newHoldingPeriod.StartDate);
Assert.Equal(endDate, newHoldingPeriod.EndDate);
}
/// <summary>
/// Initializes a new instance of the <see cref="TransactionDividendCalculatedEvent"/> class.
/// </summary>
/// <param name="id">The identifier.</param>
/// <param name="aggregateType">Type of the aggregate.</param>
/// <param name="profitAbsolute">The profit absolute.</param>
/// <param name="profitPercentage">The profit percentage.</param>
/// <param name="profitMade">if set to <c>true</c> [profit made].</param>
/// <param name="holdingPeriod">The holding period.</param>
/// <param name="r">The r.</param>
public TransactionDividendCalculatedEvent(Guid id, Type aggregateType,
decimal profitAbsolute,
decimal profitPercentage,
bool profitMade,
HoldingPeriod holdingPeriod,
decimal r)
: base(id, aggregateType)
{
ProfitAbsolute = profitAbsolute;
ProfitPercentage = profitPercentage;
ProfitMade = profitMade;
HoldingPeriod = holdingPeriod;
R = r;
}
public void 申込終了日が開催期間と重なっている場合例外()
{
var holdingPeriod = new HoldingPeriod(
new DateTime(2020, 9, 25),
new DateTime(2020, 10, 2));
holdingPeriod.EnsureValidApplicationEndDate(null);
holdingPeriod.EnsureValidApplicationEndDate(new DateTime(2020, 9, 24));
var exception = Assert.Throws <ArgumentException>(
() => holdingPeriod.EnsureValidApplicationEndDate(new DateTime(2020, 9, 25)));
Assert.Equal(
"申込期間が開催期間と重複しています。",
exception.Message);
}
public void 開催日が開催期間の範囲に収まっていること()
{
var holdingPeriod = new HoldingPeriod(
new DateTime(2020, 9, 25),
new DateTime(2020, 10, 2));
var holdingDates = new List <HoldingDate>()
{
new HoldingDate(new DateTime(2020, 9, 25)),
new HoldingDate(new DateTime(2020, 9, 26)),
new HoldingDate(new DateTime(2020, 10, 1)),
new HoldingDate(new DateTime(2020, 10, 2))
};
holdingPeriod.EnsureValidHoldingDates(holdingDates);
}
public void 開催日が開催期間の範囲に収まっていない場合例外(int year, int month, int day)
{
var holdingPeriod = new HoldingPeriod(
new DateTime(2020, 9, 25),
new DateTime(2020, 10, 2));
var holdingDates = new List <HoldingDate>()
{
new HoldingDate(new DateTime(year, month, day))
};
var exception = Assert.Throws <ArgumentException>(
() => holdingPeriod.EnsureValidHoldingDates(holdingDates));
Assert.Equal(
"開催期間の範囲外の開催日が指定されています。",
exception.Message);
}
public HoldingPeriodYieldPricer(HoldingPeriod holdingPeriod, double startAi, double endAi, double principalBetweenTemp, double interestBetweenTemp)
{
_startDate = holdingPeriod.StartDate;
_endDate = holdingPeriod.UnderlyingMaturityDate;
_side = holdingPeriod.Direction == Direction.BuyThenSell ? 1.0 : -1.0;
_notional = holdingPeriod.Notional;
_faceAmount = 100.0;
_startCommission = holdingPeriod.StartFrontCommission + holdingPeriod.StartBackCommission;
_endCommission = holdingPeriod.EndFrontCommission + holdingPeriod.EndBackCommission;
_allCommission = _startCommission + _endCommission;
_yearFraction = holdingPeriod.PaymentBusinessDayCounter.CalcDayCountFraction(_startDate, _startDate == _endDate ? _endDate.AddDays(1) : _endDate);
_businessTaxRate = holdingPeriod.BusinessTaxRate;
_interestTaxRate = holdingPeriod.InterestTaxRate;
_holdingCost = holdingPeriod.HoldingCost;
_startAi = startAi;
_endAi = endAi;
_principalBetweenTemp = principalBetweenTemp;
_interestBetweenTemp = interestBetweenTemp;
}
public void Configure(EntityTypeBuilder <Tournament> builder)
{
builder.ToTable("tournaments");
builder.Property(o => o.Id).HasSnakeCaseColumnName();
builder.Property(o => o.AggregationMonth)
.HasConversion(o => o.Value, o => new AggregationMonth(o))
.HasSnakeCaseColumnName();
builder.Property(o => o.ApplicationPeriod)
.HasConversion(o => o.ToJson(), o => ApplicationPeriod.FromJson(o))
.HasSnakeCaseColumnName();
builder.Property(o => o.EntryFee)
.HasConversion(o => o.Value, o => new EntryFee(o))
.HasSnakeCaseColumnName();
builder.Property(o => o.HoldingPeriod)
.HasConversion(o => o.ToJson(), o => HoldingPeriod.FromJson(o))
.HasSnakeCaseColumnName();
builder.Property(o => o.Outline)
.HasConversion(o => o.Value, o => new Outline(o))
.HasSnakeCaseColumnName();
builder.Property(o => o.RegistrationYear)
.HasConversion(o => o.Value, o => new RegistrationYear(o))
.HasSnakeCaseColumnName();
builder.Property(o => o.TournamentName)
.HasConversion(o => o.Value, o => new TournamentName(o))
.HasSnakeCaseColumnName();
builder.Property(o => o.Venue)
.HasConversion(o => o.Value, o => new Venue(o))
.HasSnakeCaseColumnName();
builder.Property(o => o.MethodOfPayment)
.HasEnumerationConversion()
.HasSnakeCaseColumnName();
builder.Property(o => o.TournamentType)
.HasEnumerationConversion()
.HasSnakeCaseColumnName();
builder.Property(o => o.TypeOfYear)
.HasEnumerationConversion()
.HasSnakeCaseColumnName();
builder.Property(o => o.TournamentEntryReceptionMailSubject).HasSnakeCaseColumnName();
builder.Property(o => o.TournamentEntryReceptionMailBody).HasSnakeCaseColumnName();
}
/// <summary>
/// Initializes a new instance of the <see cref="TransactionPerformanceCalculatedEvent"/> class.
/// </summary>
/// <param name="id">The identifier.</param>
/// <param name="aggregateType">Type of the aggregate.</param>
/// <param name="profitAbsolute">The profit absolute.</param>
/// <param name="profitPercentage">The profit percentage.</param>
/// <param name="profitMade">if set to <c>true</c> [profit made].</param>
/// <param name="holdingPeriod">The holding period.</param>
/// <param name="r">The r.</param>
/// <param name="exitEfficiency">The exit efficiency.</param>
/// <param name="entryEfficiency">The entry efficiency.</param>
/// <param name="maeAbsolute">The mae absolute.</param>
/// <param name="mfeAbsolute">The mfe absolute.</param>
public TransactionPerformanceCalculatedEvent(Guid id, Type aggregateType,
decimal profitAbsolute,
decimal profitPercentage,
bool profitMade,
HoldingPeriod holdingPeriod,
decimal r,
decimal?exitEfficiency,
decimal?entryEfficiency,
decimal?maeAbsolute,
decimal?mfeAbsolute)
: base(id, aggregateType)
{
ProfitAbsolute = profitAbsolute;
ProfitPercentage = profitPercentage;
ProfitMade = profitMade;
HoldingPeriod = holdingPeriod;
R = r;
ExitEfficiency = exitEfficiency;
EntryEfficiency = entryEfficiency;
MAEAbsolute = maeAbsolute;
MFEAbsolute = mfeAbsolute;
}
public static List<HoldingPeriod> GenerateHoldingPeriods(ConstructGen<double> historicalWeights_, double? trimDistributionsBy_=null)
{
var ret = new List<HoldingPeriod>();
for (int colIndex = 0; colIndex < historicalWeights_.ArrayLength; ++colIndex)
{
var colVals = historicalWeights_.GetColumnValuesAsDDC(colIndex);
if (colVals.Data.SumAbs() == 0d)
continue;
Dictionary<WtState, List<double>> dict = new Dictionary<WtState, List<double>>();
WtState currentState = WtState.None;
DateTime stateStart = DateTime.MinValue;
for (int i = 0; i < colVals.Length; ++i)
{
var wt = colVals.Data[i];
WtState newState = (wt > 0d) ? WtState.Long : (wt < 0d) ? WtState.Short : WtState.Flat;
if (currentState == WtState.None)
{
stateStart = colVals.Dates[i];
currentState = newState;
}
else if (newState == currentState)
{
// do nothing
}
else // we have a new state
{
var ts = colVals.Dates[i] - stateStart;
if (!dict.ContainsKey(currentState)) dict[currentState] = new List<double>();
dict[currentState].Add(MyCalendar.NumBusinessDaysBetween(stateStart,colVals.Dates[i]));
currentState = newState;
stateStart = colVals.Dates[i];
}
}
// commit the last values
{
}
var hp = new HoldingPeriod()
{
Ccy=historicalWeights_.ColumnHeadings[colIndex],
State=currentState,
Held=MyCalendar.NumBusinessDaysBetween(stateStart,DateTime.Today),
Wt=colVals.Data.Last()
};
foreach (var key in dict.Keys)
{
if (trimDistributionsBy_.HasValue && trimDistributionsBy_.Value >0d && trimDistributionsBy_ <1d)
{
var series = dict[key].OrderBy(x => x);
int numberInTail = Convert.ToInt32(series.Count() * trimDistributionsBy_.Value);
//var subset = series.TakeWhile<double>(
}
hp.SetValues(key, dict[key]);
}
ret.Add(hp);
}
return ret;
}
