public void MultipleTransactionsInRange()
{
var mockRepository = new MockRepository(MockBehavior.Strict);
var id = Guid.NewGuid();
var dateRange = new DateRange(new Date(2000, 01, 01), new Date(2002, 12, 31));
var stockResolver = mockRepository.Create <IStockResolver>();
var factory = new PortfolioFactory(stockResolver.Object);
var portfolio = factory.CreatePortfolio(id);
portfolio.MakeCashTransaction(new Date(1999, 01, 01), BankAccountTransactionType.Deposit, 100.00m, "", Guid.NewGuid());
portfolio.MakeCashTransaction(new Date(2000, 04, 01), BankAccountTransactionType.Withdrawl, 50.00m, "", Guid.NewGuid());
portfolio.MakeCashTransaction(new Date(2001, 01, 01), BankAccountTransactionType.Deposit, 20.00m, "", Guid.NewGuid());
var service = new CashAccountService(portfolio);
var result = service.GetTransactions(dateRange);
var response = result.Result;
using (new AssertionScope())
{
response.Should().BeEquivalentTo(new
{
OpeningBalance = 100.00m,
ClosingBalance = 70.00m,
});
response.Transactions.Should().HaveCount(2);
}
mockRepository.VerifyAll();
}
public void NoTransactionsInRange()
{
var mockRepository = new MockRepository(MockBehavior.Strict);
var id = Guid.NewGuid();
var dateRange = new DateRange(new Date(2000, 01, 01), new Date(2000, 12, 31));
var stockResolver = mockRepository.Create <IStockResolver>();
var factory = new PortfolioFactory(stockResolver.Object);
var portfolio = factory.CreatePortfolio(id);
var service = new CashAccountService(portfolio);
var result = service.GetTransactions(dateRange);
var response = result.Result;
using (new AssertionScope())
{
response.Should().BeEquivalentTo(new
{
OpeningBalance = 0.00m,
ClosingBalance = 0.00m,
});
response.Transactions.Should().BeEmpty();
}
mockRepository.VerifyAll();
}
public void TryGetFetchesEntryNotInCache()
{
var mockRepository = new MockRepository(MockBehavior.Strict);
var stockResolver = mockRepository.Create <IStockResolver>(MockBehavior.Loose);
var portfolioFactory = new PortfolioFactory(stockResolver.Object);
var id = Guid.NewGuid();
var portfolio = portfolioFactory.CreatePortfolio(id);
var repositry = mockRepository.Create <IRepository <Portfolio> >();
repositry.Setup(x => x.Get(id)).Returns(portfolio).Verifiable();
var cacheEntry = mockRepository.Create <ICacheEntry>(MockBehavior.Loose);
cacheEntry.SetupSet(x => x.Value = portfolio).Verifiable();
var memoryCache = mockRepository.Create <IMemoryCache>();
memoryCache.Setup(x => x.TryGetValue(id, out It.Ref <object> .IsAny)).Returns(false);
memoryCache.Setup(x => x.CreateEntry(id)).Returns(cacheEntry.Object).Verifiable();
var cache = new PortfolioCache(repositry.Object, memoryCache.Object);
var result = cache.TryGet(id, out var cachedPortfolio);
result.Should().BeTrue();
cachedPortfolio.Should().Be(portfolio);
mockRepository.VerifyAll();
}
public void TryGetReturnsEntryInCache()
{
var mockRepository = new MockRepository(MockBehavior.Strict);
var stockResolver = mockRepository.Create <IStockResolver>(MockBehavior.Loose);
var portfolioFactory = new PortfolioFactory(stockResolver.Object);
var id = Guid.NewGuid();
var portfolio = portfolioFactory.CreatePortfolio(id);
var repositry = mockRepository.Create <IRepository <Portfolio> >();
var memoryCache = mockRepository.Create <IMemoryCache>();
object portfolioObject = portfolio;
memoryCache.Setup(x => x.TryGetValue(id, out portfolioObject)).Returns(true);
var cache = new PortfolioCache(repositry.Object, memoryCache.Object);
var result = cache.TryGet(id, out var cachedPortfolio);
result.Should().BeTrue();
cachedPortfolio.Should().Be(portfolio);
mockRepository.VerifyAll();
}
/// <summary>
/// Calculate the efficient frontier for a given covariance matrix and mean vector
/// </summary>
/// <param name="covariance">Covariance Matrix of assets included in portfolio</param>
/// <param name="mean">Expected return of assets in portfolio</param>
public IPortfolio Calculate()
{
// MVO using quadratic programming
// Optimal portfolio is:
// min(-dvec'bvec+1/2x'Dmat*x) - where ' is the transpose of vector/matrix
// Dmat - Covariance Matrix - quadratic terms
// dvec - [0..nAssets] - linear terms
// Amat - variable weigths in constraints equation
// bvec - constraint equalities
// with constraints
// A'x >= b
// meq = eqsumW
// Get mean returns of all instruments in portfolio
var meanReturns = from sp in _samplePortfolio
select sp.Mean;
// Get covariance matrix for all instruments in portfolio
var cov = from sp in _samplePortfolio
select new KeyValuePair <string, Dictionary <string, double> >(sp.ID, sp.Covariance);
var covariance = CovarianceMatrix.Create(cov.ToDictionary(a => a.Key, b => b.Value));
var portfConf = new ConfigurationManager(_samplePortfolio);
OptimizationResult result;
double[] dvec = new double[_samplePortfolio.Count].Zeros(_samplePortfolio.Count);
try
{
result = QuadProg.Solve(covariance, dvec, portfConf.Amat, portfConf.Bvec, portfConf.NumEquals);
}
catch (Exception e)
{
// Solution not found - create NaN Portfolio
result = new OptimizationResult(new double[] { double.NaN }, double.NaN);
// Log error
Console.WriteLine(e.Message);
}
int q = 0;
double sum = 0;
foreach (var m in meanReturns)
{
sum = sum + m * result.Solution[q];
q++;
}
var portf = PortfolioFactory.Create(_samplePortfolio, _samplePortfolio.Name, sum, result.Value);
for (int c = 0; c < result.Solution.Length; c++)
{
portf[_samplePortfolio[c].ID].Weight = result.Solution[c];
}
return(portf);
}
public void Build_ReturnsDifferentPortfolio_PerInvokation()
{
var factory = new PortfolioFactory();
var portfolioOne = factory.Build();
var portfolioTwo = factory.Build();
Assert.IsNotNull(portfolioOne);
Assert.IsNotNull(portfolioTwo);
Assert.AreNotEqual(portfolioOne, portfolioTwo);
}
/// <summary>
/// Calculate the efficient frontier for a given covariance matrix and mean vector
/// </summary>
/// <param name="covariance">Covariance Matrix of assets included in portfolio</param>
/// <param name="mean">Expected return of assets in portfolio</param>
public IEnumerable <IPortfolio> Calculate(int digits = 4)
{
// MVO using quadratic programming
// Optimal portfolio is:
// min(-dvec'bvec+1/2x'Dmat*x) - where ' is the transpose of vector/matrix
// Dmat - Covariance Matrix - quadratic terms
// dvec - [0..nAssets] - linear terms
// Amat - variable weigths in constraints equation
// bvec - constraint equalities
// with constraints
// A'x >= b
// meq = eqsumW
var meanReturns = from sp in _samplePortfolio
select sp.Mean;
var cov = from ins in _samplePortfolio
select new KeyValuePair <string, Dictionary <string, double> >(ins.ID, ins.Covariance);
var covariance = CovarianceMatrix.Create(cov.ToDictionary(a => a.Key, b => b.Value));
List <IPortfolio> portfolios = new List <IPortfolio>();
// generate sequence of target returns for the efficient frontier and minimum variance locus
var targetReturns = new double[_numPortfolios].Seq(meanReturns.Min(), meanReturns.Max(), (int)_numPortfolios, digits);
double[] dvec = new double[_samplePortfolio.Count].Zeros(_samplePortfolio.Count);
// For every target return find the minimum variance portfolio
for (int i = 0; i < _numPortfolios; i++)
{
var portfConf = new ConfigurationManager(_samplePortfolio, targetReturns[i]);
OptimizationResult result;
try
{
result = QuadProg.Solve(covariance, dvec, portfConf.Amat, portfConf.Bvec, portfConf.NumEquals);
}
catch (Exception e)
{
// Solution not found - create NaN Portfolio
result = new OptimizationResult(new double[] { double.NaN }, double.NaN);
// Log error
Console.WriteLine(e.Message);
}
var portf = PortfolioFactory.Create(_samplePortfolio, i.ToString(), targetReturns[i], result.Value);
for (int c = 0; c < result.Solution.Length; c++)
{
portf[_samplePortfolio[c].ID].Weight = result.Solution[c];
}
portfolios.Add(portf);
}
return(portfolios);
}
private void AddPortfolios(IEventStore eventStore)
{
var repository = new Repository <Stock>(eventStore.GetEventStream <Stock>("Stocks"));
var stockCache = new EntityCache <Stock>();
stockCache.PopulateCache(repository);
var stockResolver = new StockResolver(stockCache);
var factory = new PortfolioFactory(stockResolver);
var portfolio = factory.CreatePortfolio(Ids.PortfolioId);
portfolio.Create("Test", Ids.UserId);
portfolio.MakeCashTransaction(new Date(2000, 01, 01), BankAccountTransactionType.Deposit, 50000.00m, "", Guid.NewGuid());
portfolio.AquireShares(Ids.BHP, new Date(2000, 06, 30), 100, 12.00m, 19.95m, true, "", Guid.NewGuid());
var eventStream = eventStore.GetEventStream <Portfolio>("Portfolios");
eventStream.Add(portfolio.Id, "Portfolio", portfolio.FetchEvents());
_PortfolioAccessor = new TestPortfolioAccessor(portfolio);
}
public static Portfolio CreateEmptyPortfolio()
{
var arg = new Stock(Stock_ARG.Id);
arg.List(Stock_ARG.AsxCode, Stock_ARG.Name, new Date(2000, 01, 01), false, AssetCategory.AustralianStocks);
_StockCache.Add(arg);
arg.CorporateActions.AddCapitalReturn(ARG_CapitalReturn, new Date(2001, 01, 01), "ARG Capital Return", new Date(2001, 01, 02), 10.00m);
var argStockPrice = new StockPriceHistory(arg.Id);
arg.SetPriceHistory(argStockPrice);
argStockPrice.UpdateClosingPrice(new Date(2000, 01, 01), 1.00m);
argStockPrice.UpdateClosingPrice(new Date(2000, 01, 03), 1.01m);
argStockPrice.UpdateClosingPrice(new Date(2000, 01, 04), 1.00m);
argStockPrice.UpdateClosingPrice(new Date(2000, 01, 05), 1.03m);
argStockPrice.UpdateClosingPrice(new Date(2000, 01, 06), 1.02m);
argStockPrice.UpdateClosingPrice(new Date(2000, 01, 07), 1.01m);
argStockPrice.UpdateClosingPrice(new Date(2000, 01, 10), 1.05m);
argStockPrice.UpdateClosingPrice(new Date(2000, 01, 14), 1.07m);
argStockPrice.UpdateClosingPrice(new Date(2000, 01, 17), 1.08m);
argStockPrice.UpdateClosingPrice(new Date(2000, 01, 31), 1.09m);
argStockPrice.UpdateClosingPrice(new Date(2000, 02, 29), 1.10m);
argStockPrice.UpdateClosingPrice(new Date(2000, 03, 31), 1.07m);
argStockPrice.UpdateClosingPrice(new Date(2000, 04, 28), 1.07m);
argStockPrice.UpdateClosingPrice(new Date(2000, 05, 25), 1.03m);
argStockPrice.UpdateClosingPrice(new Date(2000, 12, 29), 1.04m);
argStockPrice.UpdateClosingPrice(new Date(2001, 01, 01), 1.05m);
argStockPrice.UpdateClosingPrice(new Date(2001, 12, 31), 1.01m);
argStockPrice.UpdateClosingPrice(new Date(2002, 12, 31), 0.99m);
argStockPrice.UpdateClosingPrice(new Date(2003, 12, 31), 1.29m);
argStockPrice.UpdateClosingPrice(new Date(2003, 05, 23), 1.40m);
argStockPrice.UpdateClosingPrice(new Date(2007, 01, 02), 0.90m);
argStockPrice.UpdateClosingPrice(new Date(2009, 01, 02), 1.70m);
argStockPrice.UpdateClosingPrice(new Date(2010, 01, 01), 2.00m);
var wam = new Stock(Stock_WAM.Id);
wam.List(Stock_WAM.AsxCode, Stock_WAM.Name, new Date(2000, 01, 01), false, AssetCategory.AustralianStocks);
_StockCache.Add(wam);
wam.CorporateActions.AddSplitConsolidation(WAM_Split, new Date(2002, 01, 01), "WAM Split", 1, 2);
var wamStockPrice = new StockPriceHistory(wam.Id);
wam.SetPriceHistory(wamStockPrice);
wamStockPrice.UpdateClosingPrice(new Date(2000, 01, 01), 1.20m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 01, 03), 1.21m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 01, 04), 1.20m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 01, 05), 1.23m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 01, 06), 1.22m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 01, 07), 1.21m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 01, 10), 1.25m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 01, 14), 1.24m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 01, 17), 1.27m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 01, 31), 1.28m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 02, 29), 1.29m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 03, 31), 1.27m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 04, 28), 1.27m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 05, 25), 1.23m);
wamStockPrice.UpdateClosingPrice(new Date(2000, 12, 29), 1.14m);
wamStockPrice.UpdateClosingPrice(new Date(2001, 01, 01), 1.15m);
wamStockPrice.UpdateClosingPrice(new Date(2001, 12, 31), 1.27m);
wamStockPrice.UpdateClosingPrice(new Date(2002, 12, 31), 1.27m);
wamStockPrice.UpdateClosingPrice(new Date(2003, 12, 31), 1.27m);
wamStockPrice.UpdateClosingPrice(new Date(2003, 05, 23), 1.40m);
wamStockPrice.UpdateClosingPrice(new Date(2005, 01, 02), 1.10m);
wamStockPrice.UpdateClosingPrice(new Date(2007, 01, 02), 0.90m);
wamStockPrice.UpdateClosingPrice(new Date(2009, 01, 02), 1.30m);
wamStockPrice.UpdateClosingPrice(new Date(2010, 01, 01), 1.50m);
var portfolioFactory = new PortfolioFactory(StockResolver);
var portfolio = portfolioFactory.CreatePortfolio(Guid.NewGuid());
portfolio.Create("Test", Guid.NewGuid());
// Remove Events
portfolio.FetchEvents();
return(portfolio);
}
