private static void ReportPortfolio(string filePath)
{
var statisticsCalculationManager = _container.Resolve <IStatisticsCalculationManager>();
var portfolioValuationHistoryFactory = _container.Resolve <IPortfolioValuationHistoryFactory>();
IPortfolioValuationHistory portfolioValuationHistory = portfolioValuationHistoryFactory.GetPortfolioValuationHistory(filePath);
IPortfolioStatisticsData statisticsCalculationData = statisticsCalculationManager.GetPortfolioStatisticsData(portfolioValuationHistory);
_logger.Information($"Portfolio run from {statisticsCalculationData.StartDate.ToString("yyyy-MM-dd")} to {statisticsCalculationData.EndDate.ToString("yyyy-MM-dd")}");
_logger.Information($"Portfolio name: {statisticsCalculationData.PortfolioIdentifier}");
_logger.Information(string.Format("Initial valuation: {0:0.00}", statisticsCalculationData.InitialValuation));
_logger.Information(string.Format("Final valuation: {0:0.00}", statisticsCalculationData.FinalValuation));
_logger.Information(string.Format("Portfolio Total Returns: {0:0.00} %", statisticsCalculationData.TotalReturns));
_logger.Information(string.Format("Portfolio Standard Deviation: {0:0.00} %", statisticsCalculationData.DailyReturnsVolatility));
_logger.Information(string.Format("Returns to Volatility ratio: {0:0.00}", statisticsCalculationData.ReturnsToVolatilityRatio));
}
public IPortfolioStatisticsData GetPortfolioStatisticsData(IPortfolioValuationHistory portfolioValuationHistory)
{
IEnumerable <double> portfolioValuationData = portfolioValuationHistory.ValuationData.Select(x => (x.Valuation));
IEnumerable <double> portfolioDailyReturnsData = GetPortfolioValuationDailyReturnsData(portfolioValuationData.ToList());
double standardDeviation = portfolioDailyReturnsData.StandardDeviation();
double portfolioReturn = GetTotalReturnAsPercentage_NoDividend(portfolioValuationData);
double initialValuation = portfolioValuationHistory.InitialValuation;
double finalValuation = portfolioValuationData.Last();
double returnsToVolatilityRatio = portfolioReturn / standardDeviation;
var portfolioStatistics = new PortfolioStatisticsData(portfolioValuationHistory.PortfolioName,
portfolioValuationHistory.StartDate,
portfolioValuationHistory.EndDate,
initialValuation,
finalValuation,
portfolioReturn,
standardDeviation,
returnsToVolatilityRatio);
return(portfolioStatistics);
}
