public static object GetReturns(object[,] Data, object IsDataReversedOpt, object UseBPReturnsOpt, object NumDaysReturnsOpt)
{
double[,] data = Utils.GetMatrix <double>(Data);
bool reverse = Utils.GetOptionalParameter(IsDataReversedOpt, false);
bool useBPReturns = Utils.GetOptionalParameter(UseBPReturnsOpt, false);
int numDaysReturns = Utils.GetOptionalParameter(NumDaysReturnsOpt, 1);
int nAssets = data.GetLength(1), nDates = data.GetLength(0);
double[,] ret = new double[nDates, nAssets];
for (int i = 0; i < nAssets; ++i)
{
double[] temp = BasicAnalytics.CalculateReturns((reverse ? data.Column(i).Reverse().ToArray() : data.Column(i)), numDaysReturns, useBPReturns);
if (reverse)
{
temp = temp.Reverse().ToArray();
}
for (int j = 0; j < nDates; ++j)
{
ret[j, i] = temp[j];
}
}
return(ret);
}
public static object GetCombinedPriceSeries(object[,] PriceSeries, object[] NAVWeightsOpt, object IsDataReversedOpt)
{
bool reversed = Utils.GetOptionalParameter(IsDataReversedOpt, false);
double[,] data = Utils.GetMatrix <double>(PriceSeries);
double[] weights;
int nAssets = data.GetLength(1) - 0;
if (NAVWeightsOpt == null || NAVWeightsOpt[0] is ExcelMissing || NAVWeightsOpt[0] is ExcelEmpty)
{
weights = new double[nAssets];
for (int i = 0; i < weights.Length; ++i)
{
weights[i] = 1;
}
}
else
{
weights = Utils.GetVector <double>(NAVWeightsOpt);
}
if (weights.Length == 1)
{
double weight = weights[0];
weights = new double[data.GetLength(1)];
for (int i = 0; i < weights.Length; ++i)
{
weights[i] = weight;
}
}
int nDates = data.GetLength(0);
double[] combinedData = new double[nDates];
for (int i = 0; i < nAssets; ++i)
{
double[] temp = BasicAnalytics.CalculateReturns((reversed ? data.Column(i).Reverse().ToArray() : data.Column(i)), 1, false);
for (int j = 0; j < nDates; ++j)
{
combinedData[j] += weights[i] * temp[j];
}
}
double[] combinedPrices = new double[nDates];
combinedPrices[0] = 1;
for (int i = 1; i < nDates; ++i)
{
combinedPrices[i] = combinedPrices[i - 1] * (1 + combinedData[i]);
}
if (reversed)
{
combinedPrices = combinedPrices.Reverse().ToArray();
}
return(combinedPrices.ToRange());
}
public static object CalculatePortfolioVol(object[] Weights, object[,] PriceLevels,
object IsDataReversedOpt, object NumDaysReturnsOpt, object AnnualisationFactorOpt)
{
double[] weights = Utils.GetVector <double>(Weights);
double[,] prices = Utils.GetMatrix <double>(PriceLevels);
bool reverse = Utils.GetOptionalParameter(IsDataReversedOpt, false);
int numDaysReturns = Utils.GetOptionalParameter(NumDaysReturnsOpt, 1);
int annualFactor = Utils.GetOptionalParameter(AnnualisationFactorOpt, 252);
int nAssets = weights.Length;
int nDates = prices.GetLength(0);
if (reverse)
{
double[,] temp = new double[nDates, nAssets];
for (int i = 0; i < nAssets; ++i)
{
var rev = prices.Column(i).Reverse().ToArray();
for (int j = 0; j < nDates; ++j)
{
temp[j, i] = rev[j];
}
}
prices = temp;
}
double[,] returns = new double[nDates, nAssets];
for (int i = 0; i < nAssets; ++i)
{
double[] ret = BasicAnalytics.CalculateReturns(prices.Column(i), numDaysReturns, false);
for (int j = 0; j < nDates; ++j)
{
returns[j, i] = ret[j];
}
}
double[,] covar = returns.Covariance();
double portfolioVol = Math.Sqrt(weights.Multiply(covar).InnerProduct(weights) * annualFactor / numDaysReturns);
return(portfolioVol);
}
public static object Sharpe(object[] PriceSeries, int SharpeWindow, object DataIsReversedOpt,
object NumDaysReturnsOpt, object UseBPReturnsOpt, object AnnualisationFactorOpt,
object ReturnZScoreOpt, object ZWindowOpt, object ExponentialSharpeOpt)
{
double[] prices = Utils.GetVector <double>(PriceSeries);
bool dataIsReversed = Utils.GetOptionalParameter(DataIsReversedOpt, false);
if (dataIsReversed)
{
prices = prices.Reverse().ToArray();
}
int numDaysReturns = Utils.GetOptionalParameter(NumDaysReturnsOpt, 1);
bool useBPReturns = Utils.GetOptionalParameter(UseBPReturnsOpt, false);
int annualisationFactor = Utils.GetOptionalParameter(AnnualisationFactorOpt, 1);
bool returnZScore = Utils.GetOptionalParameter(ReturnZScoreOpt, false);
int ZWindow = Utils.GetOptionalParameter(ZWindowOpt, 252);
bool exponentialSharpe = Utils.GetOptionalParameter(ExponentialSharpeOpt, false);
double[] r = BasicAnalytics.GetSharpe(prices, numDaysReturns, useBPReturns, SharpeWindow, annualisationFactor,
returnZScore, ZWindow, exponentialSharpe);
return(r.ToRange());
}
