public IndexDailyPerformance(Index index, DateTime dateTime, decimal? @return, decimal? value)
{
Index = index;
Date = dateTime;
Return = @return;
Value = value;
}
public void Save(Index index)
{
var session = GetSession();
using (var tx = session.BeginTransaction())
{
session.SaveOrUpdate(index);
tx.Commit();
}
}
public IndexPerformance(Index index, YearMonth yearMonth, decimal? @return, decimal? value)
{
Index = index;
YearMonth = yearMonth;
_month = yearMonth.Month;
_year = yearMonth.Year;
Return = @return;
Value = value;
}
public IndexPerformance(Index index, YearMonth yearMonth)
: this(index, yearMonth, null, null)
{
}
public IndexDailyPerformance(Index index, DateTime dateTime)
: this(index, dateTime, null, null)
{
}
TotalReturns GetTotalReturnsFor(Index security)
{
var result = new TotalReturns(security);
using (var session = _sessionFactory.GetSession())
{
var service = session.CreateService();
var priceRequest = service.CreateRequest(RequestType.HistoricalDataRequest);
priceRequest.Append("securities", security.BloombergName);
priceRequest.Append("fields", "PX_LAST");
priceRequest.Set("startDate", new YearMonth(2012, 1).AsDateTime().ToBBDateTimeString());
priceRequest.Set("endDate", new YearMonth(2013, 12).AsDateTime().ToBBDateTimeString());
priceRequest.Set("periodicitySelection", "MONTHLY");
priceRequest.Set("currency", security.CurrencyCode);
session.ProcessRequest(priceRequest, @event => @event.ForEachFieldData(fdi =>
{
var date = fdi.GetElementAsDate("date").ToSystemDateTime();
var lastPrice = fdi.GetElementAsFloat64("PX_LAST");
result.Add(date, Convert.ToDecimal(lastPrice));
}));
if (security.UseUnderlyingPriceForReturn)
{ // Calculate Return manually
foreach (var index in result)
{
var lastValue = index.GetLastValue();
if (index.Value == null || lastValue == null || lastValue == 0m) continue;
index.Return = Percent.CreateFromDecimalNotation((index.Value.Value / lastValue) - 1);
}
}
else
{ // Retrieve Return from Bloomberg
foreach (var index in result)
{
if (index._previous == null) continue;
// =BDP("SPX INDEX", "CUST_TRR_RETURN_HOLDING_PER", "CUST_TRR_START_DT,CUST_TRR_END_DT,CUST_TRR_CRNCY", "20121031,20121130,USD")
var start = index._previous.DateTime;
var end = index.DateTime;
var returnRequest = service.CreateRequest(RequestType.ReferenceDataRequest);
returnRequest.Append("securities", security.BloombergName);
returnRequest.Append("fields", "CUST_TRR_RETURN_HOLDING_PER");
returnRequest.AddOverride("CUST_TRR_START_DT", start.ToBBDateTimeString());
returnRequest.AddOverride("CUST_TRR_END_DT", end.ToBBDateTimeString());
returnRequest.AddOverride("CUST_TRR_CRNCY", security.CurrencyCode);
session.ProcessRequest(returnRequest, @event => @event.ForEachFieldData(fdi =>
{
if (fdi.HasElement("CUST_TRR_RETURN_HOLDING_PER"))
{
var rtn = fdi.GetElementAsFloat64("CUST_TRR_RETURN_HOLDING_PER");
index.Return = Percent.CreateFromPercentageNotation(Convert.ToDecimal(rtn));
}
}));
}
}
}
return result;
}
