private static DatedDataCollectionGen<double> getPnl(DatedDataCollectionGen<double> prices_,
DatedDataCollectionGen<double> wts_)
{
var dates = new List<DateTime>();
var returns = new List<double>();
var instrumentReturns = prices_.ToReturns();
var currentWt = 0d;
for (int i = 0; i < instrumentReturns.Length; ++i)
{
var date = instrumentReturns.Dates[i];
dates.Add(date);
returns.Add(currentWt*instrumentReturns.Data[i]);
if (wts_.HasDate(date))
currentWt = wts_.ValueOnDate(date);
}
return new DatedDataCollectionGen<double>(dates.ToArray(), returns.ToArray());
}
private static DatedDataCollectionGen<double> GeneratePnl(DatedDataCollectionGen<double> prices_, DatedDataCollectionGen<double> signals_, double tcost_=0d)
{
var prevWt = 0d;
var returns = prices_.ToReturns();
double[] pnl = new double[returns.Length];
double[] tcost = new double[returns.Length];
for (int i = 0; i < returns.Length; ++i)
{
pnl[i] = prevWt * returns.Data[i];
// dollar impact weight
prevWt*=(1d+returns.Data[i]);
if (signals_.HasDate(returns.Dates[i]))
{
prevWt = signals_.ValueOnExactDate(returns.Dates[i]);
tcost[i] = tcost_;
}
}
return new DatedDataCollectionGen<double>(returns.Dates, pnl);
}
