public WtsSeriesAnalyzer(string name_, ConstructGen<double> wts_, ConstructGen<double> dailyReturns_, GetCov covDelegate_, bool addFXGroups_=true)
{
m_wts = wts_;
m_perf = dailyReturns_;
m_covDelegate=covDelegate_;
Name=name_;
m_c2v = new ConstructGen<double>(wts_.ArrayLength);
m_c2v.ColumnHeadings = wts_.ColumnHeadings;
foreach (DateTime date in wts_.Dates)
{
double[] dayWts = wts_.GetValues(date);
if (Statistics.SumAbs(dayWts) == 0d || covDelegate_==null)
m_c2v.SetValues(date, new double[m_c2v.ArrayLength]);
else
m_c2v.SetValues(date, covDelegate_(date).GetContToVar(wts_.GetValues(date), false));
}
m_anal = new WtsAnalyzer(Name);
if(addFXGroups_) m_anal.AddFXGroups();
analyzePersistence();
EvaluateAll();
}
public WtsAnalyzerFXGroup(WtsAnalyzer parent_, FXGroup fxGroup_)
: base(string.Format("{0}.{1}",parent_.Strat.Trim(), fxGroup_.ToString().Trim()))
{
FX_Group = fxGroup_;
Parent = parent_;
}