Tuple<double, double, double> CalculatePpm(String tradingTicker, String rateTicker, String currency)
{
if (StringUtil.IsEmpty(tradingTicker) ||
StringUtil.IsEmpty(rateTicker))
{
logger.Warn("{0}, {1} is empty", tradingTicker, rateTicker);
return new Tuple<double, double, double>(0, 0, 0);
}
DateTime start = new DateTime(1990, 1, 1);
DateTime until = ConvertUtil.Round(DateTime.Now);
String indexKey = MarketDataManager.Ins().GetKey(tradingTicker,
MarketDataFieldType.PX_LAST, currency);
CentralBankRateAdj adj = new CentralBankRateAdj(indexKey, rateTicker, currency, start, until);
SortedList<DateTime, double> tradingTargetData = MarketDataManager.Ins().Get_PX_LAST_Data(
tradingTicker, currency);
SortedList<DateTime, double> adjPnls =
MathUtil.GetAdjIncCum(adj.AdjIndex, tradingTargetData);
SortedList<DateTime, double> pnls =
MathUtil.GetIncCum(tradingTargetData, adjPnls.Keys[0].AddDays(-5));
ZooData zoo = new ZooData();
zoo.SetPivot("adjPnls", adjPnls);
zoo.Append("adj", adj.AdjIndex);
zoo.Append("pnls", pnls);
zoo.Append("tradingTarget", tradingTargetData);
zoo.Append("rate", adj.CBRates);
double indexPpm = MathUtil.GetPPM(zoo.GetData("tradingTarget"));
double pnlPpm = MathUtil.GetPPM(zoo.GetData("pnls"));
double adjPnlPpm = MathUtil.GetPPM(zoo.GetData("adjPnls"));
return new Tuple<double, double, double>(indexPpm,
pnlPpm, adjPnlPpm);
//zoo.ToCsv(String.Format("c:\\{0}.csv", tradingTicker));
}
static List<IAdjLogic> CreateCbrAdjSet(DateTime from, DateTime until)
{
List<IAdjLogic> output = new List<IAdjLogic>();
G20 g20 = new G20();
List<G20_TickerInfo> tickerInfos = g20.Data;
foreach (G20_TickerInfo tickerInfo in tickerInfos)
{
String instKey = MarketDataManager.Ins().GetKey(tickerInfo.StockTicker,
MarketDataFieldType.PX_LAST, tickerInfo.Currency);
String cbrTicker = tickerInfo.CentralBankRateTicker;
String currency = tickerInfo.Currency;
if (StringUtil.IsEmpty(instKey) || StringUtil.IsEmpty(cbrTicker))
{
continue;
}
CentralBankRateAdj adj = new CentralBankRateAdj(instKey, cbrTicker, currency, from, until);
output.Add(adj);
}
return output;
}
