public static double[] computeShareReturns(System.Collections.Generic.List<PricingLibrary.Utilities.MarketDataFeed.DataFeed> dataFeedList, DateTime date, String id, int windowLength)
{
double[] shareReturns = new double[windowLength - 1];
int beginDateIndex = dataFeedList.FindIndex(dataFeed => dataFeed.Date == date) - windowLength;
decimal previousPrice = dataFeedList[beginDateIndex].PriceList[id];
for (int index = 0; index < windowLength - 1; ++index)
{
decimal currentPrice = dataFeedList[beginDateIndex + 1 + index].PriceList[id];
shareReturns[index] = Math.Log((double)(currentPrice / previousPrice));
previousPrice = currentPrice;
}
return shareReturns;
}
public void FindIndex_PredicateNull ()
{
IEnumerable<int> s = new[]{1};
Func<int, bool> f = null;
s.FindIndex (f);
}
// Renvoie les prix spots des actifs à une date donnée
public static double[] shareSpots(System.Collections.Generic.List<PricingLibrary.Utilities.MarketDataFeed.DataFeed> dataFeedList, System.DateTime date)
{
if (!dataFeedList.Any(dataFeed => dataFeed.Date == date))
{
throw new ParameterException("Not a business date.");
}
int index = dataFeedList.FindIndex(dataFeed => dataFeed.Date == date);
double[] spots = new double[dataFeedList[index].PriceList.Count];
int i = 0;
foreach (KeyValuePair<string, decimal> spot in dataFeedList[index].PriceList)
{
spots[i] = (double)spot.Value;
++i;
}
return spots;
}
