static async void SR_CalculateSharpeforPortfolio(Portfolio currentportfolio, List <company> companies)
{
//*********************************************************************************************************
//First, we need to fetch pricing data for all the companies in the portfolio
// Typically, this is done with perhaps a 3 year horizon of daily prices, but we will do monthly over 5 years to start
//*********************************************************************************************************
Console.WriteLine("Calculating sharpe for: {0}", currentportfolio.name);
//This list will hold all of our expected returns for all the companies in our portfolio
List <double> expectedreturnforallcompanies = new List <double>();
//This list will hold all of our standard deviations for all the companies in our portfolio
List <double> stddevforallcompanies = new List <double>();
//This list will hold all of the raw pricing data for later covariance calculations
List <List <double> > pricingdataforcovariance = new List <List <double> >();
List <double> covariances = new List <double>();
//var pricingdata = new Tuple<double, double, List<double>>();
//We need to iterate through all the tickers in our portfolio, and add that expected return to our list above
for (var i = 0; i < currentportfolio.contents.Count(); i++)
{
//Get pricing data for that company
Console.WriteLine("Fetching pricing data for: {0}", currentportfolio.contents[i].tickersymbol);
Tuple <double, double, List <double> > pricingdata = await SR_FetchPricingDataandExpectedReturn(currentportfolio.contents[i].tickersymbol);
//grab values out of Tuple and assign to local variables
double expectedreturnforsinglecompany = pricingdata.Item2;
double stddevforcompany = pricingdata.Item1;
//Add values to their appropriate lists for later use
expectedreturnforallcompanies.Add(expectedreturnforsinglecompany);
stddevforallcompanies.Add(stddevforcompany);
pricingdataforcovariance.Add(pricingdata.Item3);
}
//Now we need to calculate the sample covariance for each pair of companies in our portfolio
for (var i = 0; i < pricingdataforcovariance.Count() - 1; i++)
{
for (var j = i + 1; j < pricingdataforcovariance.Count(); j++)
{
double temp = Covariance(pricingdataforcovariance[i], pricingdataforcovariance[j]);
Console.WriteLine("Comparing {0} & {1}", i, j);
covariances.Add(temp);
}
}
// Sharpe Ratio calculation now that we have all of our pieces! :)
// Sharpe Ratio (p) = (Expected Return(P) - Risk Free Rate)/Standard Deviation(P)
// 1) Lets get Expected return of portfolio based on expected returns of assets (calculated already) times the
// weight that each asset holds ((number of shares * current price of stock)/total value of portfolio)
// a) Make a list to hold our weights
List <double> weights = new List <double>();
double totalportfoliovalue = 0;
for (var i = 0; i < currentportfolio.contents.Count(); i++)
{
int numshares = currentportfolio.contents[i].numshares;
for (var j = 0; j < companies.Count(); j++)
{
if (currentportfolio.contents[i].tickersymbol.Equals(companies[j].tickersymbol))
{
totalportfoliovalue = totalportfoliovalue + (numshares * companies[j].currentprice);
weights.Add(numshares * companies[j].currentprice);
}
}
}
//NOTE: there is likely a much more efficient way to do this, perhaps calculate total portfolio value earlier?
for (var i = 0; i < weights.Count(); i++)
{
weights[i] = weights[i] / totalportfoliovalue;
}
double portfolioexpectedreturn = 0;
for (var i = 0; i < weights.Count(); i++)
{
portfolioexpectedreturn = portfolioexpectedreturn + (weights[i] * expectedreturnforallcompanies[i]);
}
// 2) Now lets get standard deviation of the portfolio!
}
static async Task <List <Portfolio> > FetchPortfoliosandContents()
{
var client = new HttpClient();
List <Portfolio> portfolioList = new List <Portfolio>();
string Url = "http://web.engr.oregonstate.edu/~jonesty/api.php/PortfoliosInvestments";
string content = await client.GetStringAsync(Url);
JArray portfoliolistC = JArray.Parse(content);
if (portfoliolistC.Count == 0)
{
Console.WriteLine("null returned");
return(null);
//Debug.WriteLine("null returned");
}
else
{
//Console.WriteLine(portfoliolistC);
for (var i = 0; i < portfoliolistC.Count; i++)
{
//Debug.WriteLine((string)portfolios[i]["username"]);
Portfolio tempportfolio = new Portfolio();
List <Investment> portfoliocontents = new List <Investment>();
Investment tempinvestment = new Investment();
tempportfolio.name = (string)portfoliolistC[i]["portfolioname"];
//tempportfolio.totalvalue = (int)portfoliolistC[i]["totalvalue"];
tempportfolio.contents = portfoliocontents;
if (!portfolioList.Contains(tempportfolio))
{
//Console.WriteLine("New Portfolio Scanned, adding to list");
tempinvestment.tickersymbol = (string)portfoliolistC[i]["tickersymbol"];
tempinvestment.numshares = (int)portfoliolistC[i]["numshares"];
tempinvestment.purchaseprice = (int)portfoliolistC[i]["pricepurchased"];
tempportfolio.contents.Add(tempinvestment);
//tempportfolio.totalvalue = (int)portfoliolistC[i]["totalvalue"];
//Console.WriteLine(tempportfolio.totalvalue);
portfolioList.Add(tempportfolio);
}
else
{
for (var j = 0; j < portfolioList.Count; j++)
{
if (portfolioList[j].name == tempportfolio.name)
{
//Console.WriteLine("wooooooo");
//Console.WriteLine((string)portfoliolistC[i]["tickersymbol"]);
tempinvestment.tickersymbol = (string)portfoliolistC[i]["tickersymbol"];
tempinvestment.numshares = (int)portfoliolistC[i]["numshares"];
tempinvestment.purchaseprice = (int)portfoliolistC[i]["pricepurchased"];
portfolioList[j].contents.Add(tempinvestment);
}
}
}
//tickerList.Add(portfoliolistC[i]["tickersymbol"]);
//Console.Write(tickerList[j].name);
}
//Console.Write()
/*for (var k = 0; k<portfolioList.Count; k++)
* {
* for(var h =0; h<portfolioList[k].contents.Count; h++)
* {
* Console.WriteLine(portfolioList[k].contents[h].tickersymbol);
* Console.WriteLine(portfolioList[k].contents[h].numshares);
* Console.WriteLine(portfolioList[k].contents[h].purchaseprice);
* }
* Console.WriteLine(portfolioList[k].contents[0].tickersymbol);
* }*/
return(portfolioList);
}
}
