private void Calculate_Click(object sender, RoutedEventArgs e)
{
try
{
var repository = GetDataProvider();
var maintable = repository.GetMainTable();
var values = new Dictionary <string, double[]>();
foreach (var item in maintable)
{
var stockValues = repository.Get(item.Symbol, dtFirst.GetSelectedValue(), dtLast.GetSelectedValue());
values.Add(item.Symbol, stockValues.Select(i => (double)i.Price).ToArray());
}
var rc = new RiskCalculation(values, index.Text, tradeVolume.GetDouble(), risk.GetDouble(), commission.GetDouble());
rc.Initialize();
FillDataGrid(rc.RiskParameters);
}
catch (Exception ex)
{
this.Display(ex.Message);
}
}
public void InitializeTest()
{
var historicalPrices = CsvUtils.ReadAllDataFrom(HISTORICAL_PRICES_PATH, 4, false);
string indexSymbol = "SP500";
Assert.AreEqual(true, historicalPrices.ContainsKey(indexSymbol));
RiskCalculation rc = new RiskCalculation(historicalPrices, indexSymbol, 100000.00, 0.5, 0.15);
rc.Initialize(0);
Assert.AreEqual(21, rc.RiskParameters.Count);
RiskParameters jpm = rc.RiskParameters["JPM"];
Assert.AreEqual(70.8198, jpm.Regression.Beta, 0.0001);
Assert.AreEqual(0.8506, jpm.Regression.R, 0.0001);
Assert.AreEqual(0.0094, jpm.Weight, 0.0001);
}
