Beispiel #1
0
        /// <summary>
        ///     Purpose: Find the common holdings in two funds in the portfolio
        ///         and return the overlap between the two funds.
        /// </summary>
        /// <param name="fundSymbol_1">
        ///     fundSymbol_1: The ticker for the first funds
        /// </param>
        /// <param name="fundSymbol_2">
        ///     fundSymbol_2: The ticker for the second fund
        /// </param>
        /// <returns>
        ///     fundsOverlap: the overlap in holdings between the funds.
        /// </returns>
        public static decimal ComputeTotalOverlap(string fundSymbol_1,
                                                  string fundSymbol_2, LARC_DBEntities db)
        {
            /*
             * Programmer: N. S. Clerman, 29-Jul-2017
             *
             * Revisions
             * =========
             *  1) N.S. Clerman, 02-Aug-2017: Change the commonHoldings List to
             *      a List of class Equity. Write a text file to create an table.
             */
            decimal fundsOverlap = 0.0M;

            if (fundSymbol_1 != fundSymbol_2)
            {
                List <FundEquity> fundEquityList_1 =
                    db.FundEquities.Where(f => f.FundSymbol == fundSymbol_1).ToList();
                List <FundEquity> fundEquityList_2 =
                    db.FundEquities.Where(f => f.FundSymbol == fundSymbol_2).ToList();

                List <Equity> commonEquities = new List <Equity>();
                Dictionary <string, decimal> localOverlapList =
                    new Dictionary <string, decimal>();

                /*
                 * A nested loop over the all the holdings in all the funds.
                 * my guess is that there's a Linq function that will
                 * accomplish this in one statement.
                 *
                 */
                //for (int knt_1 = 0; knt_1 < fundEquityList_1.Count; knt_1++)
                // I cannot use this. I need to collect some data for each
                // individual overlap. Also, I need the loop to sum the individual
                // overlaps. I could use Intersect, but them I would need other,
                // different loops to compute what I need.

                //commonHoldings = (fundEquityList_1.Intersect(fundEquityList_2)).ToList<Equity>();
                //WriteLine($"trialIntersect has {commonHoldings.Count} elements");

                /*
                 * A nested loop over the all the holdings in all the funds.
                 */
                //for (int knt_1 = 0; knt_1 < fundEquityList_1.Count; knt_1++)
                int kntCommon = 0;
                foreach (var fundEquityPair_1 in fundEquityList_1)
                {
                    foreach (var fundEquityPair_2 in fundEquityList_2)
                    {
                        if (fundEquityPair_1.EquitySymbol == fundEquityPair_2.EquitySymbol)
                        {
                            Equity equity_1 = fundEquityPair_1.Equity;
                            Equity equity_2 = fundEquityPair_2.Equity;
                            commonEquities.Add(equity_1);
                            decimal currentOverlap = ComputerOverlap(fundEquityPair_1, fundEquityPair_2);
                            kntCommon++;
                            localOverlapList[fundEquityPair_1.EquitySymbol] = currentOverlap;
                            fundsOverlap += currentOverlap;
                        }
                    }
                }
                localOverlapList.Clear();
            }
            return(fundsOverlap);
        }