public Dictionary<int, ReturnData> GetStrategyPrices(string status)
{
if (strategyPrices == null)
{
var ctx = new RepGenDataContext();
var returns = ctx.ModelReturn(this.ID, status);
var calc = new ReturnCalculation();
var prices = from p in returns
select new ReturnData
{
Date = p.Date,
Value = calc.Price(p)
};
strategyPrices = prices.ToDictionary(p => p.Date);
}
return strategyPrices;
}
private void TenYearTest()
{
var ctx = new RepGenDataContext();
var data = ctx.ModelReturn("CO", "HNW");
// var data = ctx.AssetClassReturn(new DateTime(1999, 9, 30), "GLEQ");
ReturnCalculation calc = new ReturnCalculation();
var match = from d in data
select new ReturnData {
Value = calc.RebaseReturn(d),
Date = d.Date
};
foreach (var item in match) {
Console.WriteLine("{0}\t{1}", item.Date, item.Value);
}
Thread.Sleep(500000);
}
private void TenYearBenchTest()
{
var ctx = new RepGenDataContext();
var prices = ctx.BenchmarkPrice("CAMA");
ReturnCalculation cr = new ReturnCalculation();
ReturnCalculation cp = new ReturnCalculation();
var tyr = from p in prices
let rtrn = cr.Return(p)
select new ReturnData {
Value = cp.RebaseReturn(rtrn),
Date = p.Date
};
foreach (var item in tyr) {
Console.WriteLine("{0}\t{1}", item.Date, item.Value);
}
}
private void StressTest()
{
var ctx = new RepGenDataContext();
var hd = ctx.HistoricPrice("UKGB").ToDictionary(d => d.Date);
var last = hd.Last();
// Ten Year Return
var frm = hd.ElementAt(hd.Count() - 121);
double retval = Math.Log(last.Value.Value / frm.Value.Value);
// Bull Run Mar-03 to Mar-06
int fromDate = (int)(new DateTime(2003, 3, 31).ToOADate());
int toDate = (int)(new DateTime(2006, 3, 31).ToOADate());
//var start = hd.Single(h => h. .Date.Equals(fromDate-2));
//var end = hd.Single(h => h.Date.Equals(toDate -2));
var start = hd[fromDate - 2];
var end = hd[toDate - 2];
double bull = (end.Value - start.Value) / start.Value;
// Model
var returns = ctx.ModelReturn("CO", "HNW");
var calc = new ReturnCalculation();
int rn = 0;
var prices = from p in returns
select new RankedReturnData {
RankNumber = rn++,
Date = p.Date,
Value = calc.Price(p)
};
// Ten Year Return
var pd = prices.ToDictionary(p => p.Date);
var lastPrice = pd.Last();
var fromMod = pd.ElementAt(pd.Count() - 121);
double tyrMod = Math.Log(lastPrice.Value.Value / fromMod.Value.Value);
// Bull
int fromInt = ReturnData.IntegerDate(new DateTime(2003, 3, 31));
int toInt = ReturnData.IntegerDate(new DateTime(2006, 3, 31));
var startMod = pd[fromInt];
var endMod = pd[toInt];
double bullMod = (endMod.Value - startMod.Value) / startMod.Value;
}
private void RollingReturnTest()
{
var ctx = new RepGenDataContext();
ReturnCalculation calc = new ReturnCalculation();
// calculate prices
//ctx.ModelReturn("CO");
var data = ctx.ModelReturn("CO", "HNW");
var prices = from d in data
select new ReturnData {
Value = calc.Price(d),
Date = d.Date
};
var p1 = prices.ToList();
p1.Insert(0, new ReturnData() { Value = 100D });
var p2 = p1.Skip(12 * 3);
var p3 = new List<ReturnData>();
int i = 0;
foreach (var item in p2) {
var rd = new ReturnData {
Value = calc.RollingReturn(item, p1.ElementAt(i++)),
Date = item.Date
};
p3.Add(rd);
}
foreach (var item in p3) {
Console.WriteLine("{0}\t{1}", item.Date, item.Value);
}
}
private void PriceTest()
{
var ctx = new RepGenDataContext();
//ctx.ModelReturn("CO");
var data = ctx.ModelReturn("CO", "HNW");
ReturnCalculation calc = new ReturnCalculation();
var match = from d in data
select new ReturnData {
Value = calc.Price(d),
Date = d.Date
};
foreach (var item in match) {
Console.WriteLine("{0}\t{1}", item.Date, item.Value);
}
Thread.Sleep(500000);
}
private void DrawdownTest3()
{
var ctx = new RepGenDataContext();
var data = ctx.ModelReturn("CO", "HNW");
ReturnCalculation calcPrice = new ReturnCalculation();
ReturnCalculation calcDrawdown = new ReturnCalculation();
var match = from d in data
let price = calcPrice.Price(d)
select new ReturnData {
Value = calcDrawdown.Drawdown(price, d.Value) - 1,
Date = d.Date
};
foreach (var item in match) {
Console.WriteLine("{0}\t{1}", item.Date, item.Value);
}
}
private void DrawdownTest2()
{
var ctx = new RepGenDataContext();
var data = ctx.HistoricPrice("UKGB");
ReturnCalculation calc = new ReturnCalculation();
var match = from d in data
select new ReturnData {
Value = calc.Drawdown(d) - 1,
Date = d.Date
};
foreach (var item in match) {
Console.WriteLine("{0}\t{1}", item.Date, item.Value);
}
//Thread.Sleep(500000);
}
private List<ReturnData> calulateRollingReturn(List<ReturnData> data, int years)
{
ReturnCalculation calc = new ReturnCalculation();
var prices = from d in data
select new ReturnData
{
Value = calc.Price(d),
Date = d.Date
};
// create the 'From' list, starting with index value of 100
var from = prices.ToList();
from.Insert(0, new ReturnData() { Value = 100D });
// create the 'To' list, starting with a years * 12 offset
var to = from.Skip(12 * years);
// new list for return values
var rv = new List<ReturnData>();
int i = 0;
foreach (var item in to) {
var rd = new ReturnData
{
Value = calc.RollingReturn(item, from.ElementAt(i++), years),
Date = item.Date
};
rv.Add(rd);
}
return rv;
}
private List<ReturnData> calculateTenYearReturn(List<ReturnData> data)
{
int months = data.Count;
int startDate = data[months - 121].Date;
ReturnCalculation rc = new ReturnCalculation();
var rtrn = from d in data.Skip(months - 120)
select new ReturnData
{
Value = rc.RebaseReturn(d),
Date = d.Date
};
var tyr = rtrn.ToList();
var newItem = new ReturnData() { Date = startDate, Value = 0 };
tyr.Insert(0, newItem);
return tyr;
}
private List<ReturnData> calculateTenYearBenchmarkReturn(List<ReturnData> prices)
{
int months = prices.Count;
//int startIndex = months - Math.Min(121, months);
int startDate = prices[months - 121].Date;
ReturnCalculation cr = new ReturnCalculation();
ReturnCalculation cb = new ReturnCalculation();
var rtrn = from p in prices.Skip(months - 120)
let r = cr.Return(p)
select new ReturnData
{
Value = cb.RebaseReturn(r),
Date = p.Date
};
var tyr = rtrn.ToList();
var newItem = new ReturnData() { Date = startDate, Value = 0 };
tyr.Insert(0, newItem);
return tyr;
}
private Dictionary<int, ReturnData> calculateModelPrices()
{
if (modelPrices == null) {
var returns = getModelReturn();
var calc = new ReturnCalculation();
var prices = from p in returns
select new ReturnData
{
Date = p.Date,
Value = calc.Price(p)
};
modelPrices = prices.ToDictionary(p => p.Date);
}
return modelPrices;
}
private List<ReturnData> calculateModelDrawdown(string strategyId, string status)
{
var returns = getModelReturn();
ReturnCalculation cp = new ReturnCalculation();
ReturnCalculation cd = new ReturnCalculation();
var dd = from r in returns
let price = cp.Price(r)
select new ReturnData
{
Value = cd.Drawdown(price, r.Value) - 1,
Date = r.Date
};
return dd.ToList();
}
private Dictionary<int, ReturnData> calculateClientAssetPrices()
{
var returns = getClientAssetReturn();
var calc = new ReturnCalculation();
var prices = from p in returns
select new ReturnData
{
Date = p.Date,
Value = calc.Price(p)
};
return prices.ToDictionary(p => p.Date);
}
private List<ReturnData> calculateClientAssetDrawdown()
{
var returns = getClientAssetReturn();
ReturnCalculation cp = new ReturnCalculation();
ReturnCalculation cd = new ReturnCalculation();
var dd = from r in returns
let price = cp.Price(r)
select new ReturnData
{
Value = cd.Drawdown(price, r.Value) - 1,
Date = r.Date
};
return dd.ToList();
}
private List<ReturnData> calculateAssetClassDrawdown(string assetclassId)
{
var returns = getAssetClassReturn(assetclassId);
ReturnCalculation cp = new ReturnCalculation();
ReturnCalculation cd = new ReturnCalculation();
var dd = from r in returns
let price = cp.Price(r)
select new ReturnData
{
Value = cd.Drawdown(price, r.Value) - 1,
Date = r.Date
};
//ReturnCalculation calc = new ReturnCalculation();
//var dd = from p in returns
// select new ReturnData
// {
// Value = calc.Drawdown(p) - 1,
// Date = p.Date
// };
return dd.ToList();
}