public override Control Reconcile(IEnumerable<PricingItem> mlpSource_, IEnumerable<PricingItem> dsSource_)
{
var allCodes = mlpSource_.Union(dsSource_).Select(x => x.SymmetryCode).Distinct();
var lines = new System.ComponentModel.BindingList<CloseItem>();
foreach (var symcode in allCodes)
{
var line = new CloseItem();
line.SymmetryCode = symcode;
{
var mlpitem = mlpSource_.Where(x => x.SymmetryCode.Equals(symcode)).FirstOrDefault();
if (mlpitem != null) line.MLPPrice = mlpitem.Value;
}
{
var dsItem = dsSource_.Where(x => x.SymmetryCode.Equals(symcode)).FirstOrDefault();
if (dsItem != null) line.DSPrice = dsItem.Value;
}
lines.Add(line);
}
var grid = lines.DisplayInGrid(m_name,displayInShowForm_:false);
grid.SetHeaderClickSort();
return grid;
}
public static void Test()
{
var model = new RvolSolveModel(
targetVol_: 0.0121519,
cov_: Singleton<SI.Data.CovarianceSource>.Instance.GetCovariance(DateTime.Today.AddDays(-1d)),
ccys_: Singleton<SI.Data.FXIDs>.Instance.Select(x => new CurrencyLine(
ccy_: x,
expectedReturn_: 0.1,
minWt_: x.IsGroup(Data.FXGroup.G10) ? -0.31 : -0.1215914,
maxWeight_: x.IsGroup(Data.FXGroup.G10) ? 0.31 : 0.1215914)).ToArray()
)
{
SumOfWeightsMin = 0d,
SumOfWeightsMax = 1d,
};
new RvolSolver().SolveQuadratic(model);
Console.WriteLine("ben");
return;
var result = Singleton<ExcelOptimizer>.Instance.DoIt(
model.CurrencyLines.Length,
model.TargetVol,
model.Covar.Data,
model.CurrencyLines.Select(x => x.ExpectedReturn).ToArray(),
ExtensionMethods.CreateArrayRep<double>(0d, model.CurrencyLines.Length),
ExtensionMethods.CreateArrayRep<double>(0d, model.CurrencyLines.Length),
model.CurrencyLines.Select(x => x.MinWeight).ToArray(),
model.CurrencyLines.Select(x => x.MaxWeight).ToArray(),
1d,
1d,
"2W",
DateTime.Today);
Singleton<ExcelOptimizer>.Instance.Dispose();
var list = new System.ComponentModel.BindingList<CompareResult>();
for (int i = 0; i < model.CurrencyLines.Length; ++i)
{
list.Add(
new CompareResult()
{
Currency = model.CurrencyLines[i].Ccy.Code,
SolverFoundation = model.CurrencyLines[i].Weight,
XLL = result.Wts[i]
});
}
list.DisplayInGrid("result comparison");
}
