// BETA COEFFICIENT
public static IEnumerable <BetaResult> GetBeta(
IEnumerable <Quote> historyMarket, IEnumerable <Quote> historyEval, int lookbackPeriod)
{
// clean quotes
historyMarket = Cleaners.PrepareHistory(historyMarket);
historyEval = Cleaners.PrepareHistory(historyEval);
// initialize results
List <BetaResult> results = new List <BetaResult>();
// get prerequisite data
IEnumerable <CorrResult> correlation = GetCorrelation(historyMarket, historyEval, lookbackPeriod);
// roll through history for interim data
foreach (Quote e in historyEval)
{
BetaResult result = new BetaResult
{
Index = (int)e.Index,
Date = e.Date
};
// calculate beta, if available
CorrResult c = correlation.Where(x => x.Date == e.Date).FirstOrDefault();
if (c.Covariance != null && c.VarianceA != null && c.VarianceA != 0)
{
result.Beta = c.Covariance / c.VarianceA;
}
results.Add(result);
}
return(results);
}
// BETA COEFFICIENT
public static IEnumerable <BetaResult> GetBeta(
IEnumerable <Quote> historyMarket, IEnumerable <Quote> historyEval, int lookbackPeriod)
{
// clean quotes
historyMarket = Cleaners.PrepareHistory(historyMarket);
historyEval = Cleaners.PrepareHistory(historyEval);
// check exceptions
int qtyHistory = historyEval.Count();
int minHistory = lookbackPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for Beta. " +
string.Format("You provided {0} periods of history when {1} is required."
, qtyHistory, minHistory));
}
// initialize results
List <BetaResult> results = new List <BetaResult>();
// get prerequisite data
IEnumerable <CorrResult> correlation = GetCorrelation(historyMarket, historyEval, lookbackPeriod);
// roll through history for interim data
foreach (Quote e in historyEval)
{
BetaResult result = new BetaResult
{
Index = (int)e.Index,
Date = e.Date
};
// calculate beta, if available
CorrResult c = correlation.Where(x => x.Date == e.Date).FirstOrDefault();
if (c.Covariance != null && c.VarianceA != null && c.VarianceA != 0)
{
result.Beta = c.Covariance / c.VarianceA;
}
results.Add(result);
}
return(results);
}
// BETA COEFFICIENT
public static IEnumerable <BetaResult> GetBeta <TQuote>(
IEnumerable <TQuote> historyMarket,
IEnumerable <TQuote> historyEval,
int lookbackPeriod)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyEvalList = historyEval.Sort();
// validate parameters
ValidateBeta(historyMarket, historyEval, lookbackPeriod);
// initialize results
List <BetaResult> results = new List <BetaResult>();
// get prerequisite data
List <CorrResult> correlation = GetCorrelation(historyMarket, historyEval, lookbackPeriod).ToList();
// roll through history for interim data
for (int i = 0; i < historyEvalList.Count; i++)
{
TQuote e = historyEvalList[i];
BetaResult result = new BetaResult
{
Date = e.Date
};
// calculate beta, if available
CorrResult c = correlation[i];
if (c.Covariance != null && c.VarianceA != null && c.VarianceA != 0)
{
result.Beta = c.Covariance / c.VarianceA;
}
results.Add(result);
}
return(results);
}
