private void DrawdownTest3()
{
var ctx = new RepGenDataContext();
var data = ctx.ModelReturn("CO", "HNW");
ReturnCalculation calcPrice = new ReturnCalculation();
ReturnCalculation calcDrawdown = new ReturnCalculation();
var match = from d in data
let price = calcPrice.Price(d)
select new ReturnData {
Value = calcDrawdown.Drawdown(price, d.Value) - 1,
Date = d.Date
};
foreach (var item in match) {
Console.WriteLine("{0}\t{1}", item.Date, item.Value);
}
}
private void DrawdownTest2()
{
var ctx = new RepGenDataContext();
var data = ctx.HistoricPrice("UKGB");
ReturnCalculation calc = new ReturnCalculation();
var match = from d in data
select new ReturnData {
Value = calc.Drawdown(d) - 1,
Date = d.Date
};
foreach (var item in match) {
Console.WriteLine("{0}\t{1}", item.Date, item.Value);
}
//Thread.Sleep(500000);
}
private List<ReturnData> calculateClientAssetDrawdown()
{
var returns = getClientAssetReturn();
ReturnCalculation cp = new ReturnCalculation();
ReturnCalculation cd = new ReturnCalculation();
var dd = from r in returns
let price = cp.Price(r)
select new ReturnData
{
Value = cd.Drawdown(price, r.Value) - 1,
Date = r.Date
};
return dd.ToList();
}
private List<ReturnData> calculateModelDrawdown(string strategyId, string status)
{
var returns = getModelReturn();
ReturnCalculation cp = new ReturnCalculation();
ReturnCalculation cd = new ReturnCalculation();
var dd = from r in returns
let price = cp.Price(r)
select new ReturnData
{
Value = cd.Drawdown(price, r.Value) - 1,
Date = r.Date
};
return dd.ToList();
}
private List<ReturnData> calculateAssetClassDrawdown(string assetclassId)
{
var returns = getAssetClassReturn(assetclassId);
ReturnCalculation cp = new ReturnCalculation();
ReturnCalculation cd = new ReturnCalculation();
var dd = from r in returns
let price = cp.Price(r)
select new ReturnData
{
Value = cd.Drawdown(price, r.Value) - 1,
Date = r.Date
};
//ReturnCalculation calc = new ReturnCalculation();
//var dd = from p in returns
// select new ReturnData
// {
// Value = calc.Drawdown(p) - 1,
// Date = p.Date
// };
return dd.ToList();
}
