/// <summary>
/// A class created on-the-fly to a subset of the data for each holding
/// in a fund.
/// </summary>
/// <param name="fundSymbol">The mutual fund symbol</param>
/// <param name="db">The database</param>
public FundTable(string fundSymbol, LARC_DBEntities db)
{
this.Name = fundSymbol;
List <FundEquity> fundEquityList =
db.FundEquities.Where(f => f.FundSymbol == fundSymbol).ToList();
List <FundTableRow> tableRows = new List <FundTableRow>();
foreach (var item in fundEquityList)
{
Equity equity = db.Equities.First(x => x.Symbol == item.EquitySymbol);
tableRows.Add(new FundTableRow(equity.Symbol, equity.Name,
equity.Price, item.Weighting));
}
this.TableRows = tableRows;
}
/// <summary>
/// Constructor to form an overlap table for a portfolio
/// </summary>
/// <param name="clientID">Client ID number</param>
/// <param name="db">Database</param>
public PortfolioOverlapTable(int clientID, LARC_DBEntities db)
{
//ClientDB clientDB = db.ClientDBs.Find(clientID);
ClientDB clientDB = db.ClientDBs.Find(2);
int? portfolioId = clientDB.PortfolioID;
var portfolioRecords = db.PortfolioFunds.Where(r => r.PortfolioID == portfolioId);
List <string> fundList = new List <string>();
foreach (var record in portfolioRecords)
{
fundList.Add(record.FundSymbol);
}
// The data I need is in FundEquities.
int numberOfFunds = fundList.Count;
decimal[,] overlapMatrix = new decimal[numberOfFunds, numberOfFunds];
for (int kntOuter = 0; kntOuter < numberOfFunds; kntOuter++)
{
int jDiagonal = kntOuter;
for (int iRow = 0; iRow < jDiagonal; iRow++)
{
// write the overlaps up to the diagonal; they are the mirror
// of overlaps already computed.
}
// Inner loop over funds not yet compared.
for (int kntInner = kntOuter + 1; kntInner < numberOfFunds;
kntInner++)
{
// Compute the overlap.
overlapMatrix[kntOuter, kntInner] =
ComputeTotalOverlap(fundList[kntOuter], fundList[kntInner], db);
}
}
}
/// <summary>
/// Purpose: Find the common holdings in two funds in the portfolio
/// and return the overlap between the two funds.
/// </summary>
/// <param name="fundSymbol_1">
/// fundSymbol_1: The ticker for the first funds
/// </param>
/// <param name="fundSymbol_2">
/// fundSymbol_2: The ticker for the second fund
/// </param>
/// <returns>
/// fundsOverlap: the overlap in holdings between the funds.
/// </returns>
public static decimal ComputeTotalOverlap(string fundSymbol_1,
string fundSymbol_2, LARC_DBEntities db)
{
/*
* Programmer: N. S. Clerman, 29-Jul-2017
*
* Revisions
* =========
* 1) N.S. Clerman, 02-Aug-2017: Change the commonHoldings List to
* a List of class Equity. Write a text file to create an table.
*/
decimal fundsOverlap = 0.0M;
if (fundSymbol_1 != fundSymbol_2)
{
List <FundEquity> fundEquityList_1 =
db.FundEquities.Where(f => f.FundSymbol == fundSymbol_1).ToList();
List <FundEquity> fundEquityList_2 =
db.FundEquities.Where(f => f.FundSymbol == fundSymbol_2).ToList();
List <Equity> commonEquities = new List <Equity>();
Dictionary <string, decimal> localOverlapList =
new Dictionary <string, decimal>();
/*
* A nested loop over the all the holdings in all the funds.
* my guess is that there's a Linq function that will
* accomplish this in one statement.
*
*/
//for (int knt_1 = 0; knt_1 < fundEquityList_1.Count; knt_1++)
// I cannot use this. I need to collect some data for each
// individual overlap. Also, I need the loop to sum the individual
// overlaps. I could use Intersect, but them I would need other,
// different loops to compute what I need.
//commonHoldings = (fundEquityList_1.Intersect(fundEquityList_2)).ToList<Equity>();
//WriteLine($"trialIntersect has {commonHoldings.Count} elements");
/*
* A nested loop over the all the holdings in all the funds.
*/
//for (int knt_1 = 0; knt_1 < fundEquityList_1.Count; knt_1++)
int kntCommon = 0;
foreach (var fundEquityPair_1 in fundEquityList_1)
{
foreach (var fundEquityPair_2 in fundEquityList_2)
{
if (fundEquityPair_1.EquitySymbol == fundEquityPair_2.EquitySymbol)
{
Equity equity_1 = fundEquityPair_1.Equity;
Equity equity_2 = fundEquityPair_2.Equity;
commonEquities.Add(equity_1);
decimal currentOverlap = ComputerOverlap(fundEquityPair_1, fundEquityPair_2);
kntCommon++;
localOverlapList[fundEquityPair_1.EquitySymbol] = currentOverlap;
fundsOverlap += currentOverlap;
}
}
}
localOverlapList.Clear();
}
return(fundsOverlap);
}