private bool isDisposed = false; // Dispose indicator
#endregion Data Members
#region Consturctors, Initialization & Destructor
public cPriceReturnsHandler(IPortfolioBL cPort, IRepository repository)
{
m_objPortfolio = cPort;
m_objColHandler = m_objPortfolio.ColHandler;
m_objErrorHandler = m_objPortfolio.cErrorLog;
_repository = repository;
}//constructor
private Boolean m_isCovarCalc = true; // Covariance calculation (false = correlation)
#endregion Data members
#region Constructors, Initialization & Destructor
public cCovarCorrelData(ISecurity cSec, ICollectionsHandler cColHandler, IErrorHandler cErrors, Boolean isCovar)
{
m_objRelevantSec = cSec;
m_objColHandler = cColHandler;
m_objErrorHandler = cErrors;
m_isCovarCalc = isCovar;
}//constructor
private bool isDisposed = false; // Dispose indicator
#endregion Data Members
#region Consturctors, Initialization & Destructor
public cPricesHandler(IPortfolioBL cPort, IRepository repository)
{
m_objPortfolio = cPort;
//m_objOleDBConn = m_objPortfolio.OleDBConn;
m_objColHandler = m_objPortfolio.ColHandler;
m_objErrorHandler = m_objPortfolio.cErrorLog;
_repository = repository;
}//constructor
private bool isDisposed = false; // indicates if Dispose has already been called
// Data variables
//private DataTable m_dtSecurityRatesData; // Final rates calculations
#endregion Data Members
#region Construcors, Initialization & Destructor
public cRateHandler(IPortfolioBL cPort)
{
m_objPortfolio = cPort;
m_objErrorHandler = m_objPortfolio.cErrorLog;
m_objColHandler = m_objPortfolio.ColHandler;
//m_dtSecurityRatesData = getMainRatesTblStruct();
}// constructor
public cConstHandler(cConstraints cConsts, IPortfolioBL cPort)
{
m_objPortfolio = cPort;
m_colConstraints = cConsts;
m_objErrorHandler = m_objPortfolio.cErrorLog;
m_objColHandler = m_objPortfolio.ColHandler;
repository = Resolver.Resolve <IRepository>();
setSeperatedConstraintCols();
}//constructor
private double[,] m_dCovarMatrix = null; // Covariance final matrix
#endregion Data Members
#region Constructors, Initialization & Destructor
public cCovarCorrelHandler(IPortfolioBL cPort)
{
// Init variables
m_objPortfolio = cPort;
m_objErrorHandler = m_objPortfolio.cErrorLog;
m_objColHandler = m_objPortfolio.ColHandler;
m_objRateHandler = m_objPortfolio.Classes.RatesHandler;
m_dtCovarOutput = getOutputDataStruct(); // Output data structure
}//constructor
} //destructor
protected void Dispose(bool disposing)
{ // clearing class variables
if (disposing)
{ //clean up managed resources
m_objErrorHandler = null;
m_objPortfolio = null;
m_objColHandler = null;
}
isDisposed = true;
}//Dispose
public cOptimizationResults(IPortfolioBL cPort)
{
m_objPortfolio = cPort;
m_objColHandler = m_objPortfolio.ColHandler;
//m_colSecurities = m_objPortfolio.ColHandler.ActiveSecs;
m_objCovarCalcs = m_objPortfolio.Classes.CovarCorrel;
m_objErrorHandler = m_objPortfolio.cErrorLog;
m_objConstraints = m_objPortfolio.Classes.ConstHandler;
initMainVars();
}//constructor
} //destructor
protected void Dispose(bool disposing)
{ // clearing class variables
if (disposing)
{ //clean up managed resources
m_objRateHandler = null;
m_objErrorHandler = null;
m_objColHandler = null;
if (m_dtCovarOutput != null)
{
m_dtCovarOutput.Dispose();
}
}
isDisposed = true;
}//Dispose
private Boolean m_isDisabled = false; // Whether the system has disabled the current security
#endregion Data members
#region Consturctors, Initialization & Destructor
public cBacktestingSecurity(IPortfolioBL cPort, ISecurity cSec, cDateRange Dates)
{
m_objPortfolio = cPort;
m_objErrorHandler = m_objPortfolio.cErrorLog;
m_objColHandler = m_objPortfolio.ColHandler;
m_objSecurity = cSec;
m_drDateRange = Dates;
try
{
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
}//cSecurity constructor
} //destructor
public void Dispose(bool disposing)
{ // Disposing class variables
if (disposing)
{ // Managed code
//m_objOleDBConn = null;
m_objErrorHandler = null;
m_objColHandler = null;
if (m_dtAllSecsPrices != null)
{
m_dtAllSecsPrices.Dispose();
}
}
isDisposed = true;
}//Dispose
} //destructor
public void Dispose(bool disposing)
{ // Disposing class variables
if (disposing)
{ // Managed code
m_objErrorHandler = null;
m_objColHandler = null;
m_colConstraints.Clear();
m_colSingleSecs.Clear();
m_colEquality.Clear();
m_colRange.Clear();
m_colDefaultEquality.Clear();
m_colDefaultRange.Clear();
}
isDisposed = true;
}//Dispose
}//cSecurity constructor
#endregion Consturctors, Initialization & Destructor
#region Methods
#region Base methods
public void Init(IPortfolioBL cPort)
{
m_objPortfolio = cPort;
m_objErrorHandler = m_objPortfolio.cErrorLog;
m_objColHandler = m_objPortfolio.ColHandler;
m_objSecAnalytics = new cSecAnalytics(this, m_objErrorHandler, m_objColHandler);
m_objPrices.Portfolio = cPort;
try
{
//LR: why do we have 5 years of date range here ???
m_sPricesRange = new cDateRange(DateTime.Today.AddYears(-cProperties.DatesInterval).AddDays(-1), DateTime.Today.AddDays(-1));
m_objRates = new cRateData(this, m_objPortfolio, false);
m_objCovarData = new cCovarCorrelData(this, m_objColHandler, m_objErrorHandler, true);
m_objCorrelData = new cCovarCorrelData(this, m_objColHandler, m_objErrorHandler, false);
}
catch (Exception ex) { m_objErrorHandler.LogInfo(ex); }
}
private List <double> m_colVolumes = new List <double>(); // Collection of traded volumes for each day in full date-range
#endregion Data members
#region Consturctors, Initialization & Destructor
public cSecurity(IPortfolioBL cPort, string secName, string secSymbol)
{
m_objPortfolio = cPort;
m_objErrorHandler = m_objPortfolio.cErrorLog;
m_objColHandler = m_objPortfolio.ColHandler;
m_objSecProperties = new cSecProperties(m_objErrorHandler, m_objPortfolio);
m_objSecAnalytics = new cSecAnalytics(this, m_objErrorHandler, m_objColHandler);
m_objSecProperties.SecurityName = m_objSecProperties.getSecName(secName); // No ' signs + trim spaces
m_objSecProperties.SecuritySymbol = secSymbol;
m_objSecProperties.SecColor = System.Drawing.Color.FromArgb(cProperties.RndGenerator.Next(255), cProperties.RndGenerator.Next(255), cProperties.RndGenerator.Next(255));
m_objPrices = new cPriceData(this, m_objPortfolio);
try
{
m_sPricesRange = new cDateRange(DateTime.Today.AddYears(-cProperties.DatesInterval).AddDays(-1), DateTime.Today.AddDays(-1));
m_objRates = new cRateData(this, m_objPortfolio, false);
m_objCovarData = new cCovarCorrelData(this, m_objColHandler, m_objErrorHandler, true);
m_objCorrelData = new cCovarCorrelData(this, m_objColHandler, m_objErrorHandler, false);
}
catch (Exception ex) { m_objErrorHandler.LogInfo(ex); }
}//cSecurity constructor
private double m_dSortinoDesiredRate = 0D; // Desired rate value (for Sortino calculation)
#endregion Data members
#region Constructors, Initialization & Destructor
public cSecAnalytics(ISecurity cCurrsec, IErrorHandler cErrors, ICollectionsHandler cColHandler)
{
m_objErrorHandler = cErrors;
m_objColHandler = cColHandler;
m_objRelevantSec = cCurrsec;
}//constructor
}//getCatItemByID
#endregion Load from DB
#region Static methods
private cSecurity getCurrSecurity(Security security, IPortfolioBL cCurrPort)
{ // Retrieves an instance of a security based on its datarow info
ICollectionsHandler cColHandler = cCurrPort.ColHandler;
cSecurity cCurrSec = new cSecurity(cCurrPort, security.strName, security.strSymbol);//111An
cCurrSec.Properties.PortSecurityId = security.idSecurity;
cCurrSec.Properties.HebName = security.strHebName;
//cCurrSec.FAC = Convert.ToDouble(security.FAC);
if (cCurrSec.FAC <= 0D)
{
cCurrSec.FAC = 1D;
}
cCurrSec.AvgYield = security.AvgYield; //* 52;
cCurrSec.StdYield = security.StdYield; // * Math.Sqrt(52);
cCurrSec.AvgYieldNIS = security.AvgYieldNIS; // * 52;
cCurrSec.StdYieldNIS = security.StdYieldNIS; // * Math.Sqrt(52);
cCurrSec.ValueUSA = security.dValueUSA;
cCurrSec.ValueNIS = security.dValueNIS;
cCurrSec.WeightUSA = security.WeightUSA;
cCurrSec.WeightNIS = security.WeightNIS;
//cCurrSec.Properties.ISIN = security.strISIN;
cCurrSec.IdCurrency = security.idCurrency;
cCurrSec.DateRange = new cDateRange(security.dtPriceStart, security.dtPriceEnd);
cCurrSec.setSecurityActivity(true);
lock (lockObject)
{
cCurrSec.Properties.Sector = cColHandler.getCatItemByID(enumCatType.Sector, security.idSector,
cColHandler.Sectors);
cCurrSec.Properties.Market = cColHandler.getCatItemByID(enumCatType.StockMarket, security.idMarket, cColHandler.Markets);
cCurrSec.Properties.MarketName = getSecMarketName(security.idMarket);
cCurrSec.Properties.SecurityType = cColHandler.getCatItemByID(enumCatType.SecurityType,
security.idSecurityType, cColHandler.SecTypes);
}
//var priceRepository = Resolver.Resolve<IRepository>();
//try
//{
// priceRepository.Execute(session =>
// {
// cCurrSec.PriceTable = session.Query<Entities.dbo.Price>().Where(x => x.idSecurity == security.idSecurity).ToList(); //.OrderByDescending(x => x.dDate)
// });
//}
//catch (Exception ex)
//{
// m_objErrorHandler.LogInfo(ex);
//}
//Resolver.Release(priceRepository);
//List<Models.dbo.Price> BMprices = getFullPrices();
//cCurrSec.PriceTable = AutoMapper.Mapper.Map<List<Price>, List<Entities.dbo.Price>>(BMprices.Where(x => x.idSecurity == cCurrSec.Properties.PortSecurityId).OrderByDescending(x => x.dDate).ToList());
return(cCurrSec);
}//getCurrSecurity
}//Dispose
#endregion Consturctors, Initialization & Destructor
#region Methods
#region General methods
public void InitCollectionObject(string currency, List <int> exchangesPackagees)
{
m_objPortfolioClasses.CategoryHandler = new Categories.cCategoriesHandler(m_objErrorHandler);
m_objColHandler = new cCollectionsHandler(this, currency, exchangesPackagees);
}//InitCollectionObject
}//InitCollectionObject
// TODO: NEW METHOD
public bool instantiateVariablesForPortfolio(Boolean isCreateNew, string sCurrency, List <int> exchangesIds, List <string> securities = null)
{ // Sets initial values preparing for new / existing portfolio
try
{
// Set categories
m_objPortfolioClasses.CategoryHandler = new Categories.cCategoriesHandler(m_objErrorHandler);
// Init Securities collection is cPortfolio.Details
// TODO: Check if necessary
if (securities != null && securities.Count > 0)
{ // Initializes collection of securities
this.Details.SecurityData = new List <SecurityData>();
foreach (var item in securities)
{
this.Details.SecurityData.Add(new SecurityData {
idSecurity = item
});
}
}
// Set collections
Boolean isNewInstance = ((m_objColHandler == null) || (m_objColHandler.Securities.Count == 0));
if (isNewInstance && (cProperties.CollectionHandler != null))
{
m_objColHandler = cProperties.CollectionHandler; isNewInstance = false;
}
if (isNewInstance)
{ // Only if collections are empty (first time)
m_objColHandler = new cCollectionsHandler(this, sCurrency, exchangesIds);
m_objColHandler.loadSecuritiesCollections();
cProperties.CollectionHandler = m_objColHandler;
}
else
{
m_objColHandler.clearSecsCalculatedOptData();
}
// TODO: check if necessary
cProperties.LastOptimization = DateTime.Today;
cProperties.isIsraelOnly = sCurrency == "9999";
// Constraints
if (m_objPortfolioClasses.ConstHandler == null)
{
m_objPortfolioClasses.ConstHandler = new cConstHandler(new cConstraints(), this);
}
// Init final variables
if (m_objPortfolioClasses.PriceHandler == null)
{
m_objPortfolioClasses.PriceHandler = new cPricesHandler(this, Resolver.Resolve <IRepository>()); // Sets prices handler
}
if (m_objPortfolioClasses.RatesHandler == null)
{
m_objPortfolioClasses.RatesHandler = new cRateHandler(this);
}
if (m_objPortfolioClasses.CovarCorrel == null)
{
m_objPortfolioClasses.CovarCorrel = new TFI.BusinessLogic.GMath.cCovarCorrelHandler(this);
}
if (m_objPortfolioClasses.Optimizer == null)
{
m_objPortfolioClasses.Optimizer = new Optimization.cOptimizationResults(this);
}
// TODO: in Backtesting m_objColHandler.ActiveSecs is used and it doesn't have .PriceReturns table filled in!
if (isNewInstance)
{
m_objPortfolioClasses.RatesHandler.setSecuritiesPriceReturns(m_objColHandler.Securities, DateTime.Today.AddYears(-3).AddDays(-1), DateTime.Today.AddDays(-1), sCurrency);
m_objPortfolioClasses.RatesHandler.setSecuritiesPriceReturns(m_objColHandler.Benchmarks, DateTime.Today.AddYears(-3).AddDays(-1), DateTime.Today.AddDays(-1), sCurrency);
}
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
return(true);
}//instantiateVariablesForPortfolio
}//getSecDatarowPosition
#endregion Static methods
#region Load Benchmarks from SQL Srv
private cSecurity getCurrBMSecurity(BMsecurity drSec, IPortfolioBL cCurrPort)
{ // Retrieves an instance of a security based on its datarow info
ICollectionsHandler cColHandler = cCurrPort.ColHandler;
cSecurity cCurrSec = new cSecurity(cCurrPort, drSec.strName, drSec.strSymbol); //111An
cCurrSec.Properties.PortSecurityId = drSec.idSecurity;
cCurrSec.Properties.HebName = drSec.strHebName;
cCurrSec.FAC = 1D;
cCurrSec.AvgYield = Convert.ToDouble(drSec.AvgYield);
cCurrSec.StdYield = Convert.ToDouble(drSec.StdYield);
cCurrSec.AvgYieldNIS = Convert.ToDouble(drSec.AvgYieldNIS);
cCurrSec.StdYieldNIS = Convert.ToDouble(drSec.StdYieldNIS);
//////cCurrSec.ValueUSA = Convert.ToDouble(drSec.dValueUSA); // THEY ARE NULLS for BM sec
//////cCurrSec.ValueNIS = Convert.ToDouble(drSec.dValueNIS);
//////cCurrSec.WeightUSA = Convert.ToDouble(drSec.WeightUSA);
//////cCurrSec.WeightNIS = Convert.ToDouble(drSec.WeightNIS);
cCurrSec.DateRange = new cDateRange(DateTime.Today.AddYears(-cProperties.DatesInterval), DateTime.Today.AddDays(-1));
lock (lockObject)
{
cCurrSec.Properties.Sector = cColHandler.getCatItemByID(enumCatType.Sector, Convert.ToInt32(drSec.idSector),
cColHandler.Sectors);
// Exchange values
cCurrSec.Properties.Market = cColHandler.getCatItemByID(enumCatType.StockMarket, drSec.idMarket, cColHandler.Markets);
cCurrSec.Properties.MarketName = getSecMarketName(drSec.idMarket);
cCurrSec.Properties.SecurityType = cColHandler.getCatItemByID(enumCatType.SecurityType,
drSec.idSecurityType, cColHandler.SecTypes);
}
//if (drSec["idCurrency"] != DBNull.Value) cCurrSec.IdCurrency = drSec["IdCurrency"].ToString();
cCurrSec.IdCurrency = drSec.idCurrency; // WHY WAS IT HERE????? cProperties.CurrencyId;
try
{ // Only exists in portfolio securities
// For Benchmark we assign 'true'
//if (drSec["isActiveSecurity"] != DBNull.Value) cCurrSec.setSecurityActivity(Convert.ToBoolean(drSec["isActiveSecurity"]));
//else cCurrSec.setSecurityActivity(true);
// LR: at this point security already has .PriceTable filled in, so commenting the line, because it crashes here
//cCurrSec.PriceTable = drSec.Prices.ToList();
//////foreach (var p in cCurrSec.PriceTable)
//////{
////// p.dAdjPrice = p.fClose;
//////}
cCurrSec.setSecurityActivity(true);
}
catch (Exception ex)
{
}
//// Made separate entity for tbl_IndexPrices
//var priceRepository = Resolver.Resolve<IRepository>();
//List<Entities.dbo.BMPrice> laura;
//try
//{
// priceRepository.Execute(session =>
// {
// ////cCurrSec.PriceTable = AutoMapper.Mapper.Map<List<Entities.dbo.Price>>(session.Query<Entities.dbo.BMPrice>().Where(x => x.idSecurity == "'" + drSec.idSecurity + "'").OrderByDescending(x => x.dDate).ToList());
// laura = session.Query<Entities.dbo.BMPrice>().Where(x => x.idSecurity == "'" + drSec.idSecurity + "'").OrderByDescending(x => x.dDate).ToList();
// });
//}
//catch (Exception ex)
//{
// m_objErrorHandler.LogInfo(ex);
//}
//Resolver.Release(priceRepository);
return(cCurrSec);
}//getCurrSecurity
}//refreshConstList
private void refreshClassPointers()
{ // Refreshes the pointer variables of the current class
m_objColHandler = m_objPortfolio.ColHandler;
}//refreshClassPointers
}//getCurrSecurity
private cSecurity getCurrBMSecurity_with_EntitySec(Entities.dbo.Security drSec, IPortfolioBL cCurrPort)
{ // Retrieves an instance of a security based on its datarow info
ICollectionsHandler cColHandler = cCurrPort.ColHandler;
cSecurity cCurrSec = new cSecurity(cCurrPort, drSec.strName, drSec.strSymbol); //111An
cCurrSec.Properties.PortSecurityId = drSec.idSecurity;
cCurrSec.Properties.HebName = drSec.strHebName;
cCurrSec.FAC = 1D;
////if (drSec["FAC"] != DBNull.Value) cCurrSec.FAC = Convert.ToDouble(drSec["FAC"]);
////else cCurrSec.FAC = 1D;
////if (cCurrSec.FAC <= 0D) cCurrSec.FAC = 1D;
if (drSec.AvgYield.HasValue)
{
cCurrSec.AvgYield = Convert.ToDouble(drSec.AvgYield);
}
if (drSec.StdYield.HasValue)
{
cCurrSec.StdYield = Convert.ToDouble(drSec.StdYield);
}
if (drSec.AvgYieldNIS.HasValue)
{
cCurrSec.AvgYieldNIS = Convert.ToDouble(drSec.AvgYieldNIS);
}
if (drSec.StdYieldNIS.HasValue)
{
cCurrSec.StdYieldNIS = Convert.ToDouble(drSec.StdYieldNIS);
}
if (drSec.MonetaryAvg.HasValue)
{
cCurrSec.ValueUSA = Convert.ToDouble(drSec.MonetaryAvg);
}
if (drSec.MonetaryAvgNIS.HasValue)
{
cCurrSec.ValueNIS = Convert.ToDouble(drSec.MonetaryAvgNIS);
}
if (drSec.WeightUSA.HasValue)
{
cCurrSec.WeightUSA = Convert.ToDouble(drSec.WeightUSA);
}
if (drSec.WeightNIS.HasValue)
{
cCurrSec.WeightNIS = Convert.ToDouble(drSec.WeightNIS);
}
//cCurrSec.Properties.ISIN = drSec.strISIN;
////if ((drSec["dtPriceStart"] != DBNull.Value) && (drSec["dtPriceEnd"] != DBNull.Value))
//// cCurrSec.DateRange = new cDateRange(Convert.ToDateTime(drSec["dtPriceStart"]), Convert.ToDateTime(drSec["dtPriceEnd"]));
cCurrSec.DateRange = new cDateRange(DateTime.Today.AddYears(-cProperties.DatesInterval), DateTime.Today.AddDays(-1));
if (drSec.idSector.HasValue)
{
cCurrSec.Properties.Sector = cColHandler.getCatItemByID(enumCatType.Sector, Convert.ToInt32(drSec.idSector),
cColHandler.Sectors);
}
if (drSec.idMarket.HasValue)
{ // Exchange values
cCurrSec.Properties.Market = cColHandler.getCatItemByID(enumCatType.StockMarket, drSec.idMarket.Value, cColHandler.Markets);
cCurrSec.Properties.MarketName = getSecMarketName(drSec.idMarket.Value);
}
if (drSec.idSecurityType.HasValue)
{
cCurrSec.Properties.SecurityType = cColHandler.getCatItemByID(enumCatType.SecurityType,
drSec.idSecurityType.Value, cColHandler.SecTypes);
}
//if (drSec["idCurrency"] != DBNull.Value) cCurrSec.IdCurrency = drSec["IdCurrency"].ToString();
cCurrSec.IdCurrency = cProperties.CurrencyId;
try
{ // Only exists in portfolio securities
// For Benchmark we assign 'true'
//if (drSec["isActiveSecurity"] != DBNull.Value) cCurrSec.setSecurityActivity(Convert.ToBoolean(drSec["isActiveSecurity"]));
//else cCurrSec.setSecurityActivity(true);
// LR: at this point security already has .PriceTable filled in, so commenting the line, because it crashes here
//cCurrSec.PriceTable = drSec.Prices.ToList();
//////foreach (var p in cCurrSec.PriceTable)
//////{
////// p.dAdjPrice = p.fClose;
//////}
cCurrSec.setSecurityActivity(true);
}
catch (Exception ex)
{
}
return(cCurrSec);
}//getCurrSecurity
