private static ConstructGen<double> expandToFullUniverse(ConstructGen<double> input_)
{
if (input_.ArrayLength == Singleton<FXIDs>.Instance.Count)
return input_;
System.Diagnostics.Debug.Assert(input_.ColumnHeadings != null, "Column Headings not set on ConstructGen<double> wts, therefore can't ascertain securities");
ConstructGen<double> ret = new ConstructGen<double>(Singleton<FXIDs>.Instance.Count);
ret.ColumnHeadings = Singleton<FXIDs>.Instance.ColumnHeadings;
for (int i = 0; i < input_.ArrayLength; ++i)
{
Currency c = Singleton<FXIDs>.Instance[input_.ColumnHeadings[i]];
ret.SetColumnValues(c.ArrayIndex, input_.Dates.ToArray<DateTime>(), input_.GetColumnValues(i));
}
return ret;
}
protected override SI.ReturnsEval.DataSeriesEvaluator doPnl(TraderArgs args_, ConstructGen<double> wts_)
{
ConstructGen<double> allCcys = new ConstructGen<double>(Singleton<FXIDs>.Instance.ColumnHeadings);
for (int i = 0; i < args_.Products.Count; ++i)
{
ProductFX prod = (ProductFX)args_.Products[i];
allCcys.SetColumnValues(prod.CoreProduct.ArrayIndex, wts_.Dates.ToArray(), wts_.GetColumnValues(i));
}
var result = ReturnsFromFXWeights.DoIt_DailyWeights(allCcys);
var eval = new ReturnsEval.DataSeriesEvaluator("FX pnl", ReturnsEval.DataSeriesType.Returns);
if (args_.WtIndicators.Any())
eval.Name = string.Format("FX : {0}", args_.WtIndicators[0].ToString());
eval.AddInnerSeries(result.CombinedPnl.Dates.ToArray(), result.CombinedPnl.ToArray(), result.CombinedPnl.ColumnHeadings);
return eval;
}
public override void Create(ConstructGen<double> wts_, ConstructGen<double> c2v_, ConstructGen<double> perf_)
{
var indicies =
Singleton<FXIDs>.Instance.Where<Currency>(x => x.IsGroup(FX_Group))
.Select<Currency, int>(x => x.ArrayIndex)
.ToArray();
var wtsForGroup = wts_.GetColumnValues(indicies);
var c2vForGroup = c2v_.GetColumnValues(indicies);
var perfForGroup = perf_.GetColumnValues(indicies);
base.Create(wtsForGroup, c2vForGroup, perf_);
double[] ctvDaily = new double[c2vForGroup.Dates.Count];
for (int i = 0; i < c2vForGroup.Dates.Count; ++i)
ctvDaily[i] = Statistics.Sum(c2vForGroup.GetValues(c2vForGroup.Dates[i]));
C2V = new DataEncapsValue(new DatedDataCollectionGen<double>(c2vForGroup.Dates.ToArray(), ctvDaily),"C2V");
double[] perfDaily = new double[perfForGroup.Dates.Count];
for (int i = 0; i < perfForGroup.Dates.Count; ++i)
perfDaily[i] = Statistics.Sum(perfForGroup.GetValues(perfForGroup.Dates[i]));
Return = new DataEncapsValue(new DatedDataCollectionGen<double>(perfForGroup.Dates.ToArray(), perfDaily), DataEncapsDispValueType.Sum, "Return");
}
public void Create(ConstructGen<double> con_)
{
setupDataTable();
double cumulative = 0d;
Side lastSide = Side.None;
foreach (var date in con_.Dates)
{
var values = con_.GetValues(date);
var wt = values[(int)Headings.Weight];
var dailyPnl = values[(int)Headings.Pnl];
var ccyrate = values[(int)Headings.Spot];
cumulative += dailyPnl;
dt.LoadDataRow(new object[] { date, cumulative, ccyrate, wt }, true);
if (wt > 0d)
{
if (lastSide != Side.Long)
{
dtLongPoints.LoadDataRow(new object[] { date, ccyrate }, true);
lastSide = Side.Long;
}
}
else if (wt < 0d)
{
if (lastSide != Side.Short)
{
dtShortPoints.LoadDataRow(new object[] { date, ccyrate }, true);
lastSide = Side.Short;
}
}
else
{
if (lastSide != Side.Flat)
{
dtFlatPoints.LoadDataRow(new object[] { date, ccyrate }, true);
lastSide = Side.Flat;
}
}
}
{
var ccyAxix = ultraChart.CompositeChart.ChartAreas[0].Axes.FromKey("y_axis_ccyRate");
ccyAxix.RangeType = AxisRangeType.Custom;
var ccyValues = con_.GetColumnValues((int)Headings.Spot);
ccyAxix.RangeMin = ccyValues.Min();
ccyAxix.RangeMax = ccyValues.Max();
}
m_con = con_;
}
public void Create(ConstructGen<double> con_)
{
setupDataTable();
double cumulative = 0d;
double? prevWt=null;
foreach (var date in con_.Dates)
{
var values = con_.GetValues(date);
var wt = values[(int)Headings.Weight];
var dailyPnl = values[(int)Headings.Pnl];
var ccyrate = values[(int)Headings.Spot];
cumulative += dailyPnl;
var objArr = new object[dt.Columns.Count];
objArr[0] = date;
objArr[1] = cumulative;
var indexForWt = getIndexForWt(wt);
objArr[indexForWt] = ccyrate;
if (prevWt.HasValue)
{
var indexForPrevWt = getIndexForWt(prevWt.Value);
if (indexForWt != indexForPrevWt)
objArr[indexForPrevWt] = ccyrate;
}
objArr[5] = wt > 0d ? wt : 0d;
objArr[6] = wt < 0d ? wt : 0d;
dt.LoadDataRow(objArr, true);
prevWt = wt;
}
{
var ccyAxix = ultraChart.CompositeChart.ChartAreas[0].Axes.FromKey("y_axis_ccyRate");
ccyAxix.RangeType = AxisRangeType.Custom;
var ccyValues = con_.GetColumnValues((int)Headings.Spot);
ccyAxix.RangeMin = ccyValues.Min();
ccyAxix.RangeMax = ccyValues.Max();
}
m_con = con_;
}
public static ConstructGen<double> GetSumFlow(ConstructGen<double> fxWts_)
{
var ret = new ConstructGen<double>(fxWts_.ColumnHeadings);
for (int i = 0; i < fxWts_.ArrayLength; ++i)
{
ret.SetValue(DateTime.Today, i, fxWts_.GetColumnValues(i).ToDiffs().ToAbs().Sum());
}
return ret;
}
public Tuple<double[], double[]> ComputeAvgsAndProb(ConstructGen<double> con, Tuple<ConstructGen<double>, int, DateTime> conForProbability, int EventDayShift)
{
double[] avgs = new double[con.ArrayLength];
var Probs = new double[conForProbability.Item1.ArrayLength];
for (int i = 0; i < avgs.Length; ++i)
{
var validNumberSeries = con.GetColumnValues(i).Where(x => double.IsNaN(x) == false);
if (!validNumberSeries.Any()) continue;
avgs[i] = validNumberSeries.ToArray().Average();
var alldiffs = conForProbability.Item1.GetColumnValues(i).Where(x => double.IsNaN(x) == false).ToList();
Probs[i] = ProbabilityCalc.CalcProb(alldiffs, ProbCalcMethod);
}
EventReturns[con.Name] = new Tuple<double[], int>(avgs, EventDayShift);
return new Tuple<double[], double[]>(avgs, Probs);
}
public static void Build(BindingList<PnlPosRow> structure_, ReturnsEval.DataSeriesEvaluator parentEval_, ConstructGen<double> wts_, string[] wtsKeys_)
{
structure_.Clear();
if (parentEval_.InnerSeries.Count != wts_.ArrayLength)
return;
List<DateTime> pnlDates = new List<DateTime>(parentEval_.Daily.Dates);
for(int i=0;i<parentEval_.InnerSeries.Count;++i)
{
ReturnsEval.DataSeriesEvaluator eval = parentEval_.InnerSeries[i];
PnlPosRow row = new PnlPosRow(eval.Name);
int indexInWts = -1;
for(int j=0;j<wtsKeys_.Length;++j)
if (string.Compare(eval.Name, wtsKeys_[j]) == 0)
{
indexInWts = j;
break;
}
if (indexInWts == -1)
continue;
double[] wtsColumn = wts_.GetColumnValues(indexInWts);
DateTime startOfPeriod = wts_.Dates[0];
for (int j = 1; j < wts_.Dates.Count; ++j)
{
// has weight flipped
if (Statistics.AreSameSign(wtsColumn[j], wtsColumn[j - 1]) == false)
{
DateTime endOfPeriod = wts_.Dates[j];
int indexOfStart = (startOfPeriod==wts_.Dates[0]) ? 0 : pnlDates.IndexOf(startOfPeriod);
int indexOfEnd = pnlDates.IndexOf(endOfPeriod);
double pnlOverPeriod = eval.Daily.CumulativeReturnSeries[indexOfEnd] - eval.Daily.CumulativeReturnSeries[indexOfStart];
row.Add(new PnlPosPeriodRow(
getSide(wtsColumn[j-1]),
pnlDates[indexOfStart],
pnlDates[indexOfEnd],
pnlOverPeriod), false);
startOfPeriod = endOfPeriod;
}
}
int indStart = pnlDates.IndexOf(startOfPeriod);
int indEnd = pnlDates.Count-1;
// need to add int last item
row.Add(new PnlPosPeriodRow(
getSide(wtsColumn[wtsColumn.Length - 1]),
pnlDates[indStart],
pnlDates[indEnd],
eval.Daily.CumulativeReturnSeries[indEnd] - eval.Daily.CumulativeReturnSeries[indStart]), true);
structure_.Add(row);
}
}