public override double GetVol(DateTime date_, VolType type_, int window_ = 252)
{
if(m_histVols==null)
m_histVols = HelperMethods.GetRollingStat(Prices.ToReturns(), window_, Statistics.Stdev);
return m_histVols.ValueOnDate(date_);
}
public override double GetVol(DateTime date_, VolType type_, int window_)
{
// any overrides?
//if (CHECK_VOL_OVERRIDES && QC.Common.SignalStuff.VolOverrides.Model.HasVolOverride(type_, date_, CoreProduct))
// return QC.Common.SignalStuff.VolOverrides.Model.GetVolOverride(type_, date_, CoreProduct);
if (!IsValid(date_))
return 1d;
if (type_ == VolType.covar)
{
var cov = Singleton<ComCovarianceSource>.Instance.GetCovarianceForDateElesePrevious(date_, 45);
var ret = cov == null ? GetVol(date_, VolType.hist, 63) : cov.IndividualVols[CoreProduct.ArrayIndex];
if (double.IsNaN(ret) || double.IsInfinity(ret) || ret==0d ) ret = GetVol(date_, VolType.hist, 63);
return ret;
}
else // hist
{
var returns = Prices.ToReturns();
var index = returns.IndexOf(date_);
if (index == -1 || index <= 21)
{
return 1d;
}
else
return Statistics.Stdev(returns.Data, index - 20, 21);
}
}
public override double GetVol(DateTime date_, VolType type_, int window_ = 252)
{
if (m_histVoles.ContainsKey(window_)==false)
m_histVoles[window_] = HelperMethods.GetRollingStdev(Prices.ToReturns(), window_);
var ret= m_histVoles[window_].ValueOnDate(date_);
return double.IsInfinity(ret) || double.IsNaN(ret) || ret==0d ? 1d : ret;
}
public override double GetVol(DateTime date_, VolType type_, int window_)
{
// any overrides?
//if (CHECK_VOL_OVERRIDES && QC.Common.SignalStuff.VolOverrides.Model.HasVolOverride(type_, date_, CoreProduct))
// return QC.Common.SignalStuff.VolOverrides.Model.GetVolOverride(type_, date_, CoreProduct);
if (!IsValid(date_))
return 1d;
if (type_ == VolType.covar)
{
return
Singleton<CovarianceSource>.Instance.GetCovarianceForDateElesePrevious(date_).IndividualVols[
CoreProduct.ArrayIndex];
}
else // hist
{
return Singleton<FXHistCovar>.Instance.FindForDate(date_, window_).IndividualVols[CoreProduct.ArrayIndex];
}
}
public abstract double GetVol(DateTime date_, VolType type_, int window_=252);
//该方法和App_DeCoderQRCode是一对配合使用
//根据志愿者类型获取该社区下的某类志愿者排名
public ActionResult App_GetVolOrderByTypeScore(string deptid, VolType type, int page = 1, int pageSize = 20)
{
JsonMessage retJson = new JsonMessage();
using (LoveBankDBContext db = new LoveBankDBContext())
{
var t_v = db.T_Vol;
var list = from v in t_v
where v.DepId.IndexOf(deptid) > -1
select new VolShowModel
{
DepId = v.DepId,
ID = v.ID,
Phone = v.Phone,
RealName = v.RealName,
LoveBankScore = v.LoveBankScore,
VolType = v.VolType
};
list = list.Where(x => x.VolType == type);
retJson.Data = list.OrderByDescending(x => x.LoveBankScore).ToPagedList(page - 1, pageSize);
retJson.Status = true;
}
return Json(retJson);
}
private static CovarianceItem getCovarianceItem(DateTime date_, VolType type_, int windowLength_)
{
CovarianceItem item = null;
switch (type_)
{
case VolType.covar: item = Singleton<CovarianceSource>.Instance.GetCovarianceForDateElesePrevious(date_); break;
case VolType.hist: item = Singleton<FXHistCovar>.Instance.FindForDate(date_, windowLength_); break;
}
return item;
}
