private double[][] computeRollingFractile(int start, int end, int period)
{
double[][] disArr = new double[etfDailyData.Count()][];
//获取前复权的价格
double[] etfPrice = new double[etfDailyData.Count()];
for (int i = 0; i < etfDailyData.Count(); i++)
{
etfPrice[i] = etfDailyData[i].close * etfDailyData[i].adjustFactor / etfDailyData.Last().adjustFactor;
}
//获取ETF每日年化波动率
double[] etfVol = new double[etfDailyData.Count()];
etfVol = Volatility.HVYearly(etfPrice, step);
this.etfVol = etfVol;
//统计每日波动率分位数
List <double> volList = new List <double>();
for (int i = start; i < etfPrice.Count(); i++)
{
//按周期向前推算历史波动率
volList = etfVol.ToList().GetRange(start - period + 1, period).OrderBy(x => x).ToList();
if (i >= start)
{
int L = volList.Count() - 1;
disArr[i] = new double[11];
disArr[i][0] = volList[0];
disArr[i][1] = volList[(int)Math.Ceiling(L * 0.1)];
disArr[i][2] = volList[(int)Math.Ceiling(L * 0.2)];
disArr[i][3] = volList[(int)Math.Ceiling(L * 0.3)];
disArr[i][4] = volList[(int)Math.Ceiling(L * 0.4)];
disArr[i][5] = volList[(int)Math.Ceiling(L * 0.5)];
disArr[i][6] = volList[(int)Math.Ceiling(L * 0.6)];
disArr[i][7] = volList[(int)Math.Ceiling(L * 0.7)];
disArr[i][8] = volList[(int)Math.Ceiling(L * 0.8)];
disArr[i][9] = volList[(int)Math.Ceiling(L * 0.9)];
disArr[i][10] = volList[L];
}
}
return(disArr);
}
/// <summary>
/// 计算历史波动率的分位数
/// </summary>
/// <returns></returns>
private double[][] computeFractile(int start, int end)
{
double[][] disArr = new double[etfDailyData.Count()][];
//获取前复权的价格
double[] etfPrice = new double[etfDailyData.Count()];
for (int i = 0; i < etfDailyData.Count(); i++)
{
etfPrice[i] = etfDailyData[i].close * etfDailyData[i].adjustFactor / etfDailyData.Last().adjustFactor;
}
//获取ETF每日年化波动率
double[] etfVol = new double[etfDailyData.Count()];
etfVol = Volatility.HVYearly(etfPrice, step);
this.etfVol = etfVol;
//统计每日波动率分位数
List <double> volList = new List <double>();
for (int i = 1; i < etfPrice.Count(); i++)
{
//按循序依次向数组中插入波动率
if (volList.Count() == 0)
{
volList.Add(etfVol[i]);
}
else
{
if (etfVol[i] < volList[0])
{
volList.Insert(0, etfVol[i]);
}
else if (etfVol[i] > volList.Last())
{
volList.Insert(volList.Count(), etfVol[i]);
}
else
{
for (int j = 1; j < volList.Count() - 1; j++)
{
if (etfVol[i] > volList[j - 1] && etfVol[i] <= volList[j])
{
volList.Insert(j, etfVol[i]);
continue;
}
}
}
}
if (i >= start)
{
int L = volList.Count() - 1;
disArr[i] = new double[11];
disArr[i][0] = volList[0];
disArr[i][1] = volList[(int)Math.Ceiling(L * 0.1)];
disArr[i][2] = volList[(int)Math.Ceiling(L * 0.2)];
disArr[i][3] = volList[(int)Math.Ceiling(L * 0.3)];
disArr[i][4] = volList[(int)Math.Ceiling(L * 0.4)];
disArr[i][5] = volList[(int)Math.Ceiling(L * 0.5)];
disArr[i][6] = volList[(int)Math.Ceiling(L * 0.6)];
disArr[i][7] = volList[(int)Math.Ceiling(L * 0.7)];
disArr[i][8] = volList[(int)Math.Ceiling(L * 0.8)];
disArr[i][9] = volList[(int)Math.Ceiling(L * 0.9)];
disArr[i][10] = volList[L];
}
}
return(disArr);
}
private void computeVol(string code, int period, ref List <HistoricalVol> volList)
{
var list = getHistoricalDailyData(code);
var mdata = (from x in list where x.close > 0 select x).ToList();
var timelist = mdata.Select(x => x.time).ToArray();
var closelist = mdata.Select(x => x.close).ToArray();
var vol = Volatility.HVYearly(closelist, period);
int start = volList.Count() - vol.Count();
string[] monthList = code.Split('.');
string month = monthList[0].Substring(monthList[0].Length - 2, 2);
for (int i = start; i < volList.Count(); i++)
{
if (month == "01" && period == period1)
{
volList[i].M01_1 = vol[i - start];
}
else if (month == "01" && period == period2)
{
volList[i].M01_2 = vol[i - start];
}
else if (month == "03" && period == period1)
{
volList[i].M03_1 = vol[i - start];
}
else if (month == "03" && period == period2)
{
volList[i].M03_2 = vol[i - start];
}
else if (month == "05" && period == period1)
{
volList[i].M05_1 = vol[i - start];
}
else if (month == "05" && period == period2)
{
volList[i].M05_2 = vol[i - start];
}
else if (month == "07" && period == period1)
{
volList[i].M07_1 = vol[i - start];
}
else if (month == "07" && period == period2)
{
volList[i].M07_2 = vol[i - start];
}
else if (month == "08" && period == period1)
{
volList[i].M08_1 = vol[i - start];
}
else if (month == "08" && period == period2)
{
volList[i].M08_2 = vol[i - start];
}
else if (month == "09" && period == period1)
{
volList[i].M09_1 = vol[i - start];
}
else if (month == "09" && period == period2)
{
volList[i].M09_2 = vol[i - start];
}
else if (month == "11" && period == period1)
{
volList[i].M11_1 = vol[i - start];
}
else if (month == "11" && period == period2)
{
volList[i].M11_2 = vol[i - start];
}
else if (month == "12" && period == period1)
{
volList[i].M12_1 = vol[i - start];
}
else if (month == "12" && period == period2)
{
volList[i].M12_2 = vol[i - start];
}
}
}