public void CreateFromFileList(IEnumerable<string> fileList_)
{
IList<WtsSeriesAnalyzer> list = new List<WtsSeriesAnalyzer>();
foreach (string f in fileList_)
{
KeyValuePair<ConstructGen<double>, ReturnsEval.DataSeriesEvaluator> kvp = ExtensionMethods.ReadFromDisk<KeyValuePair<ConstructGen<double>, ReturnsEval.DataSeriesEvaluator>>(f);
if (kvp.Key == null) continue;
kvp.Key.SortKeys();
WtsSeriesAnalyzer wan = new WtsSeriesAnalyzer(
kvp.Value.Name,
expandToFullUniverse(kvp.Key),
kvp.Value.GetInnerDailyAsConstruct(),
delegate(DateTime date_)
{
return Singleton<CovarianceSource>.Instance.GetCovarianceForDateElesePrevious(date_);
}
);
list.Add(wan);
}
if (list.Count > 0)
Create(list);
}
public void Create(WtsSeriesAnalyzer analyzer_, DateTime? startDate_=null, DateTime? endDate_=null)
{
m_analyzer = analyzer_;
m_startDate = startDate_;
m_endDate = endDate_;
if (m_wtsChart == null)
{
m_wtsChart = new DataCollectionDisplay();
m_wtsChart.Dock = DockStyle.Fill;
panel3.ClientArea.Controls.Add(m_wtsChart);
}
if (m_perfAndWeightsChart == null)
{
m_perfAndWeightsChart = new ZoneChart();
m_perfAndWeightsChart.Dock = DockStyle.Fill;
panel1.ClientArea.Controls.Add(m_perfAndWeightsChart);
}
if (m_c2vWeightsChart == null)
{
m_c2vWeightsChart = new ZoneChart();
m_c2vWeightsChart.Dock = DockStyle.Fill;
panel2.ClientArea.Controls.Add(m_c2vWeightsChart);
}
if (m_monthlyPnlChart == null)
{
m_monthlyPnlChart = new SimpleWtsColumnChart();
m_monthlyPnlChart.Dock = DockStyle.Fill;
panel4.ClientArea.Controls.Add(m_monthlyPnlChart);
}
if (m_annotatedChart == null)
{
m_annotatedChart = new LineChartWithAnnotations();
m_annotatedChart.Dock = DockStyle.Fill;
panel5.ClientArea.Controls.Add(m_annotatedChart);
}
ultraListBar1.Groups[0].Items.Clear();
for(int i=0;i<m_analyzer.SourceWts.ColumnHeadings.Length;++i)
{
string s = m_analyzer.SourceWts.ColumnHeadings[i];
//Currency c = Singleton<FXIDs>.Instance[s];
Infragistics.Win.UltraWinListBar.Item item = ultraListBar1.Groups[0].Items.Add(key: s, text: s);
item.Tag = i;
}
}
public void Create(WtsSeriesAnalyzer analyzer_, DateTime? startDate_=null, DateTime? endDate_=null)
{
m_startDate = startDate_;
m_endDate = endDate_;
try
{
add(analyzer_, pnlG10, FXGroup.G10);
add(analyzer_, pnlEMEA, FXGroup.EMEA);
add(analyzer_, pnlLATAM, FXGroup.LATAM);
add(analyzer_, pnlNJA, FXGroup.ASIA);
}
catch { }
}
private void add(WtsSeriesAnalyzer analyzer_, SI.Controls.Panel panel_, FXGroup group_)
{
ZoneChart zc = new ZoneChart();
zc.Dock = DockStyle.Fill;
panel_.ClientArea.Controls.Add(zc);
double[] pnl = new double[analyzer_.Performance.Dates.Count];
double[] wts = new double[analyzer_.SourceWts.Dates.Count];
for (int i = 0; i < analyzer_.Performance.ArrayLength; ++i)
{
Currency ccy = Singleton<FXIDs>.Instance[i];
if (ccy.IsGroup(group_) == false)
continue;
for (int j = 0; j < pnl.Length; ++j)
{
pnl[j] += analyzer_.Performance.GetValue(analyzer_.Performance.Dates[j], i);
}
for (int j = 0; j < wts.Length; ++j)
{
wts[j] += analyzer_.SourceWts.GetValue(analyzer_.SourceWts.Dates[j], i);
}
DatedDataCollectionGen<double> perf = new DatedDataCollectionGen<double>(analyzer_.Performance.Dates.ToArray(), pnl);
DatedDataCollectionGen<double> wwww = new DatedDataCollectionGen<double>(analyzer_.SourceWts.Dates.ToArray(), wts);
if (m_startDate != null && m_endDate != null)
{
perf = perf.GetSubValues(m_startDate.Value, m_endDate.Value);
wwww = wwww.GetSubValues(m_startDate.Value, m_endDate.Value);
}
zc.Create(
new DatedDataCollectionGen<double>(perf.Dates, perf.Data.Cumulative()),
wwww,
new ZoneDefinition[] {
new ZoneDefinition("Short",double.MinValue,0d,Color.IndianRed),
new ZoneDefinition("Long",0d,double.MaxValue,Color.LightGreen)
});
}
}
public ShowAsLongShortPortfolioMenuStripItem(WtsSeriesAnalyzer analyzer_)
: base(analyzer_)
{
Text = string.Format("Split {0} performance into that achieved by long/short positions seperately", analyzer_.Name);
}
protected override void OnClick(EventArgs e)
{
BindingList<WtsSeriesAnalyzer.WtRestriction> list = new BindingList<WtsSeriesAnalyzer.WtRestriction>();
Array.ForEach(m_analyzer.SourceWts.ColumnHeadings, delegate(string name_) { list.Add(new WtsSeriesAnalyzer.WtRestriction(name_)); });
ShowForm sf = new ShowForm();
ApplyWeightRestrictionsControl con = new ApplyWeightRestrictionsControl(list);
sf.Create(con);
DialogResult result = DialogResult.Cancel;
try
{
result = sf.ShowDialog();
}
catch
{
result = DialogResult.Cancel;
}
if (result == DialogResult.Cancel)
return;
ConstructGen<double> processWeights = m_analyzer.WhatIfTradingRestrictions(list.ToArray());
var res = SI.Data.ReturnsFromFXWeights.DoIt_DailyWeights(processWeights);
GetCov covDel = date_ => Singleton<CovarianceSource>.Instance.GetCovarianceForDateElesePrevious(date_);
WtsSeriesAnalyzer w = new WtsSeriesAnalyzer(
name_: string.Format("{0}_restricted",m_analyzer.Name),
wts_: processWeights,
dailyReturns_: res.CombinedPnl,
covDelegate_: covDel
);
WtsSeriesAnalyzer original = new WtsSeriesAnalyzer(
m_analyzer.Name,
m_analyzer.SourceWts,
m_analyzer.Performance,
covDel);
List<WtsSeriesAnalyzer> ll = new List<WtsSeriesAnalyzer>();
ll.Add(original);
ll.Add(w);
WtsAnalysisCompareControl comparer = new WtsAnalysisCompareControl();
comparer.Create(ll);
comparer.DisplayInShowForm(string.Format("{0} before and after restricted weights", m_analyzer.Name));
}
public RestrictWeightsMenuStripItem(WtsSeriesAnalyzer analyzer_)
: base(analyzer_)
{
Text = string.Format("Apply weight restriction policy to weights...");
}
public ShowWeightsAnalysis(WtsSeriesAnalyzer analyzer_, bool isFX_)
: base(analyzer_)
{
Text = string.Format("Show {0} weights and performance analysis", analyzer_.Name);
m_isFX = isFX_;
}
public ShowWeightsMenuStrip(WtsSeriesAnalyzer analyzer_)
: base (analyzer_)
{
Text = string.Format("Show {0} weights in grid", analyzer_.Name);
}
public ShowReturnsMenuStrip(WtsSeriesAnalyzer analyzer_)
: base(analyzer_)
{
Text = string.Format("Show {0} return detail...", analyzer_.Name);
}
public new void Dispose()
{
m_analyzer = null;
}
public BaseMenuItem(WtsSeriesAnalyzer analyzer_)
{
m_analyzer = analyzer_;
}
public void Create(WtsSeriesAnalyzer analyzer_)
{
Create(new List<WtsSeriesAnalyzer>(new WtsSeriesAnalyzer[] { analyzer_ }));
}
public void Create(WtsSeriesAnalyzer analyzer_, DateTime? startDate_=null, DateTime? endDate_=null)
{
var wtsDisplay = new SimpleWtsColumnChart();
var c2vDisplay = new SimpleWtsColumnChart();
var pnlDisplay = new SimpleWtsColumnChart();
wtsDisplay.Dock = DockStyle.Fill;
panel1.ClientArea.Controls.Add(wtsDisplay);
c2vDisplay.Dock = DockStyle.Fill;
panel2.ClientArea.Controls.Add(c2vDisplay);
pnlDisplay.Dock = DockStyle.Fill;
panel3.ClientArea.Controls.Add(pnlDisplay);
ConstructGen<double> sourceWts = analyzer_.SourceWts;
ConstructGen<double> sourceC2V = analyzer_.SourceC2V;
ConstructGen<double> perf = analyzer_.Performance;
if (startDate_ != null && endDate_ != null)
{
sourceWts = sourceWts.GetSubValues(startDate_.Value,endDate_.Value);
sourceC2V = sourceC2V.GetSubValues(startDate_.Value, endDate_.Value);
perf = perf.GetSubValues(startDate_.Value, endDate_.Value);
}
{
IDictionary<string, double[]> wts = new Dictionary<string, double[]>();
for (int i = 0; i < sourceWts.ArrayLength; ++i)
{
double[] w = sourceWts.GetColumnValues(i);
double[] vals = new double[]
{
w.Min(),
w.Average(),
w.Max()
};
wts.Add(sourceWts.ColumnHeadings[i], vals);
}
wtsDisplay.Create<string, string>(wts, new string[] { "Min", "Avg", "Max" });
}
{
IDictionary<string, double[]> c2v = new Dictionary<string, double[]>();
for (int i = 0; i < sourceC2V.ArrayLength; ++i)
{
double[] w = sourceC2V.GetColumnValues(i);
double[] vals = new double[]
{
w.Min(),
w.Average(),
w.Max()
};
c2v.Add(sourceC2V.ColumnHeadings[i], vals);
}
c2vDisplay.Create<string, string>(c2v, new string[] { "Min", "Avg", "Max" });
}
{
double[] ds=new double[perf.ArrayLength];
for(int i=0;i<ds.Length;++i)
ds[i]=perf.GetColumnValues(i).Sum();
pnlDisplay.Create(analyzer_.SourceWts.ColumnHeadings, ds);
}
}
