public double Price(ReturnData returnData)
{
double retval = (1 + returnData.Value) * previousPrice;
previousPrice = retval;
return retval;
}
public double Return(ReturnData price)
{
double retval = (price.Value - previousPrice) / previousPrice;
previousPrice = price.Value;
return retval;
}
public double RollingReturn(ReturnData returnData1, ReturnData returnData2)
{
return RollingReturn(returnData1, returnData2, 1);
}
public double RollingReturn(ReturnData returnData)
{
double retval = Math.Log(returnData.Value / previousPriceRR);
previousPriceRR = returnData.Value;
return retval;
}
public double RebaseReturn(ReturnData rtrn)
{
return RebaseReturn(rtrn.Value);
}
public double Drawdown(ReturnData price)
{
return Drawdown(price.Value);
}
public double RollingReturn(ReturnData returnData1, ReturnData returnData2, int years)
{
double retval = Math.Log(returnData1.Value / returnData2.Value) / years;
return retval;
}
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 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;
}