/*
* public static double NetExpectedReturn(MarketData state, double expectedReturn, RebalancingCosts rebalancingCosts)
* {
* double transactionCost = rebalancingCosts.TotalRebalancingCostInPercentage(state);
* if (transactionCost >= 0.01)
* {
* //Console.WriteLine("transaction cost: {0}", transactionCost);
* }
* return expectedReturn - transactionCost - (expectedReturn * transactionCost);
* }
*/
public static double ExpectedReturn(MarketData state, double[] currentStocksallocation, double[] newStocksAllocation, RebalancingCosts rebalancingCosts)
{
var oldPortfolioValue = state.StocksValue(currentStocksallocation);
var stocksValue = VectorOp.DotProduct(newStocksAllocation, state.AvgPrices);
var newValue = VectorOp.DotProduct(stocksValue, VectorOp.Addition(state.ExpectedReturns, 1.0)).Sum();
var expectedReturn = ((newValue + rebalancingCosts.SharesBuySell) / oldPortfolioValue - 1);
//return NetExpectedReturn(state, expectedReturn, rebalancingCosts);
return(expectedReturn);
}
static RebalancingCosts CostForNewStocksAllocation(MarketData state, double[] currentStocksAllocation, double[] newStocksAllocation)
{
double sharesBuySellAcum = 0;
double commissionCostAcum = 0;
double cashEarned = 0;
double cashExpended = 0;
int n = currentStocksAllocation.Length;
var pricesToUse = PricesToUse(currentStocksAllocation, newStocksAllocation, state.BidPrices, state.AskPrices);
for (int i = 0; i < n; i++)
{
double shareBuySell = (currentStocksAllocation[i] - newStocksAllocation[i]) * pricesToUse[i];
double commision = i + 1 == n ? 0 : state.Commission;
double commissionCost = Math.Abs(shareBuySell) * commision;
sharesBuySellAcum += shareBuySell - commissionCost;
commissionCostAcum += commissionCost;
if (shareBuySell > 0)
{
cashEarned += shareBuySell;
}
else
{
cashExpended -= shareBuySell;
}
}
var currentStocksAllocationValue = state.StocksValue(currentStocksAllocation);
var newStocksAllocationValue = VectorOp.sumproduct(newStocksAllocation, state.AvgPrices);
return(new RebalancingCosts
{
TotalRebalancingCost = currentStocksAllocationValue - (newStocksAllocationValue + sharesBuySellAcum),
CommissionCosts = commissionCostAcum,
SharesBuySell = sharesBuySellAcum,
CashEarned = cashEarned,
CashExpended = cashExpended
});
}
public double StocksValue()
{
return(MarketData.StocksValue(CurrentStocksAllocation));
}