}//constructor
#endregion Constructors, Initialization & Destructor
#region Methods
#region Data initialization
private void initDataVariables()
{ // Initializes data variables - to check if recalculation is necessary
m_enFrequency = cProperties.Frequency;
m_drRange = new cDateRange(m_objRelevantSec.DateRange.StartDate, m_objRelevantSec.DateRange.EndDate);
//if (m_dtMainRates != null) m_dtMainRates.Clear();
//m_dtMainRates = new List<Rate>();
}//initDataVariables
}//setUpdatedRateData
public void setFinalReturnFromServer(cDateRange drPeriod)
{
//m_dtPriceReturns = cBasicStaticCalcs.getPriceReturnsInDateRange(m_dtPriceReturns, drPeriod);
//m_dtBacktestingReturns = m_dtPriceReturns;
//setNewSecFinalRate(drPeriod);
m_dFinalRate = m_objRelevantSec.AvgYield * 52;
m_dReturnWeekly = m_objRelevantSec.AvgYield;
m_objRelevantSec.CovarClass.StandardDeviation = m_objRelevantSec.StdYield * Math.Sqrt(52);
m_objRelevantSec.CovarClass.StDevWeekly = m_objRelevantSec.StdYield;
}//setFinalReturnFromServer
}//setFinalReturn
private void setNewSecFinalRate(cDateRange drPeriod)
{ // Sets the average values for the rate series of a given security
if (m_dtPriceReturns.Count == 0)
{
return;
}
//double dYears = (cProperties.CalcRange.EndDate - cProperties.CalcRange.StartDate).Days / 365D;
try
{
m_dRateAvg = cBasicStaticCalcs.getAvgValue(m_dtBacktestingReturns);
m_dClassicRate = cBasicStaticCalcs.getClassicRateValue(m_objRelevantSec.PriceTable, m_objPortfolio.Details.CalcCurrency, drPeriod); // Uriel on 07/09/2016
m_dFinalRate = cBasicStaticCalcs.getFinalReturnValue(m_dtBacktestingReturns, drPeriod);
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
m_dReturnWeekly = m_dFinalRate / 52;
}//setSecRateDataAvg
}//initDataVariables
#endregion Data initialization
#region Rate calculations
public void setUpdatedRateData(cDateRange drPeriod)
{ // Refreshes / calculates the rate data
try
{
if (m_objRelevantSec.PriceTable == null)
{
m_objRelevantSec.disableCurrentSecurity(); return;
}
// Retrieves relevant price returns for backtesting
m_dtBacktestingReturns = cBasicStaticCalcs.getPriceReturnsInDateRange(m_dtPriceReturns, drPeriod);
// Calculates minimized weekly returns
//if (!m_isMinimized)
m_dtBacktestingReturns = cBasicStaticCalcs.getMinimizedRates(m_dtBacktestingReturns, m_objRelevantSec);
// Final return
setNewSecFinalRate(drPeriod);
// Irregularities handling
if (cMath.isNaN(m_dFinalRate)) // invalid result
{
m_dFinalRate = 0D; m_objRelevantSec.disableCurrentSecurity(); return;
}
//if (cGeneralFunctions.isBelowNumberOfMonths(m_objRelevantSec.DateRange, cProperties.MinMonthsData) || (m_dFinalRate < 0D) || (m_dtBacktestingReturns.Count == 0) || (m_dtBacktestingReturns.Count < 10))
if (cGeneralFunctions.isReturnsBelowNumberOfMonths(m_dtBacktestingReturns, cProperties.MinMonthsData) || (m_dFinalRate < 0D) || (m_dtBacktestingReturns.Count == 0) || (m_dtBacktestingReturns.Count < 10))
{
m_objRelevantSec.disableCurrentSecurity(); return;
} // At least x months of data for calculation
m_objRelevantSec.setSecurityActivity(true);
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
}//setUpdatedRateData
