private void updateFundNAV(DataSet ds, SeriesNetAssetValue navs)
{
DataRow[] rows = ds.Tables[0].Select("SYMBOL='" + navs.Code + "'");
if (rows.Length > 0)
{
//基本信息
navs.DataSource = this.DataSource;
navs.OriginalTimeSeries.Clear();
foreach (DataRow row in rows)
{
NetAssetValue nav = new NetAssetValue();
nav.TradeDate = DataManager.ConvertToDate(row[C_ColName_PublishDate]);
nav.UnitNAV = DataManager.ConvertToDouble(row[C_ColName_UnitNAV]);
nav.AccumUnitNAV = DataManager.ConvertToDouble(row[C_ColName_AccumUnitNAV]);
//复权系数
navs.OriginalTimeSeries.Add(nav);
}
//交易日校验,复权并计算涨跌幅
navs.Adjust();
}
else
{
MessageManager.GetInstance().AddMessage(MessageType.Warning, Message.C_Msg_MF4, navs.Code);
}
}
public override void Calculate()
{
//====================
//计算涨跌幅: 时间序列全部降序排列
//====================
if (base.AdjustedTimeSeries == null || base.AdjustedTimeSeries.Count == 0)
{
return;
}
double nav0 = 1, nav1 = 1;
DateTime dt0 = DateTime.Today, dt1 = DateTime.Today;
for (int i = 0; i < this.AdjustedTimeSeries.Count; i++)
{
NetAssetValue item = (NetAssetValue)this.AdjustedTimeSeries[i];
if ((i + 1) < this.AdjustedTimeSeries.Count)
{
item.UpAndDown.KLineDay1 = item.AccumUnitNAV / ((NetAssetValue)this.AdjustedTimeSeries[i + 1]).AccumUnitNAV - 1;
}
if ((i + 2) < this.AdjustedTimeSeries.Count)
{
item.UpAndDown.KLineDay2 = item.AccumUnitNAV / ((NetAssetValue)this.AdjustedTimeSeries[i + 2]).AccumUnitNAV - 1;
}
if ((i + 3) < this.AdjustedTimeSeries.Count)
{
item.UpAndDown.KLineDay3 = item.AccumUnitNAV / ((NetAssetValue)this.AdjustedTimeSeries[i + 3]).AccumUnitNAV - 1;
}
if ((i + 4) < this.AdjustedTimeSeries.Count)
{
item.UpAndDown.KLineDay4 = item.AccumUnitNAV / ((NetAssetValue)this.AdjustedTimeSeries[i + 4]).AccumUnitNAV - 1;
}
if ((i + 5) < this.AdjustedTimeSeries.Count)
{
item.UpAndDown.KLineDay5 = item.AccumUnitNAV / ((NetAssetValue)this.AdjustedTimeSeries[i + 5]).AccumUnitNAV - 1;
}
if ((i + 10) < this.AdjustedTimeSeries.Count)
{
item.UpAndDown.KLineDay10 = item.AccumUnitNAV / ((NetAssetValue)this.AdjustedTimeSeries[i + 10]).AccumUnitNAV - 1;
}
if ((i + 20) < this.AdjustedTimeSeries.Count)
{
item.UpAndDown.KLineDay20 = item.AccumUnitNAV / ((NetAssetValue)this.AdjustedTimeSeries[i + 20]).AccumUnitNAV - 1;
}
//期末值
if (i == 0)
{
nav1 = item.AccumUnitNAV;
dt1 = item.TradeDate;
}
//期初值
if (item.TradeDate >= base.TimeSeriesStart)
{
nav0 = item.AccumUnitNAV;
dt0 = item.TradeDate;
}
}
//持有期收益率
base.HoldingPeriodInfo = nav0.ToString("N4") + "[" + dt0.ToString("yyyy-MM-dd") + "]-" + nav1.ToString("N4") + "[" + dt1.ToString("yyyy-MM-dd") + "]";
base.HoldingPeriodReturn = nav1 / nav0 - 1;
}
public MutualFund GetWholeFund()
{
if (base.SecurityHoldings == null || base.SecurityHoldings.Count == 0)
{
return(null);
}
WholeFund = new MutualFund("");
WholeFund.Name = "基金组中包含的所有基金组成的整体";
WholeFund.SetDatePeriod(base.TimeSeriesStart, base.TimeSeriesEnd);
#region 构造整体基金的累计净值序列
//==========================
//计算公式：
// NAVw = Sum(NAVi * SHAREi)/Sum(SHAREi)
//==========================
try
{
WholeFund.TradingNAV.TradingDates = ((MutualFund)base.SecurityHoldings[0]).TradingNAV.TradingDates;
WholeFund.TradingNAV.InsideSampleLength = ((MutualFund)base.SecurityHoldings[0]).TradingNAV.InsideSampleLength;
WholeFund.TradingNAV.AdjustedTimeSeries = new List <ATimeItem>();
WholeFund.FundReport.AdjustedTimeSeries = new List <ATimeItem>();
//计算净值
for (int i = 0; i < WholeFund.TradingNAV.TradingDates.Count; i++)
{
NetAssetValue NAVw = new NetAssetValue();
NAVw.TradeDate = WholeFund.TradingNAV.TradingDates[i];
NAVw.IsTrading = true;
MutualFundReport RPTw = new MutualFundReport();
RPTw.TradeDate = NAVw.TradeDate;
RPTw.ReportDate = new DateTime(1900, 1, 1);
RPTw.IsTrading = true;
//SecurityHoldings[0]的时间序列可能不够长,不能在此处使用
//NAVw.IsOutsideSamplePeriod = ((MutualFund)base.SecurityHoldings[0]).TradingNAV.AdjustedTimeSeries[i].IsOutsideSamplePeriod;
foreach (MutualFund f in base.SecurityHoldings)
{
if (f.TradingNAV.AdjustedTimeSeries == null || f.FundReport.AdjustedTimeSeries == null ||
i >= f.TradingNAV.AdjustedTimeSeries.Count || i >= f.FundReport.AdjustedTimeSeries.Count)
{
continue;
}
NAVw.IsOutsideSamplePeriod = f.TradingNAV.AdjustedTimeSeries[i].IsOutsideSamplePeriod;
RPTw.IsOutsideSamplePeriod = NAVw.IsOutsideSamplePeriod;
//成立不足30天的去除
if (f.ListedDate.AddDays(30) > WholeFund.TradingNAV.TradingDates[i])
{
continue;
}
//计算净值 和 资产配置
NetAssetValue NAVi = (NetAssetValue)f.TradingNAV.AdjustedTimeSeries[i];
MutualFundReport RPTi = (MutualFundReport)f.FundReport.AdjustedTimeSeries[i];
NAVw.UnitNAV += NAVi.UnitNAV * RPTi.TotalShare;
RPTw.TotalShare += RPTi.TotalShare;
if (RPTw.ReportDate < RPTi.ReportDate)
{
RPTw.ReportDate = RPTi.ReportDate;
}
RPTw.TotalEquityAsset += RPTi.TotalEquityAsset;
RPTw.TotalBondAsset += RPTi.TotalBondAsset;
RPTw.TotalNetAsset += RPTi.TotalNetAsset;
RPTw.PureBondAsset += RPTi.PureBondAsset;
RPTw.ConvertableBondAsset += RPTi.ConvertableBondAsset;
}
NAVw.UnitNAV = NAVw.UnitNAV / RPTw.TotalShare;
NAVw.AccumUnitNAV = NAVw.UnitNAV;
WholeFund.TradingNAV.AdjustedTimeSeries.Add(NAVw);
WholeFund.FundReport.AdjustedTimeSeries.Add(RPTw);
}
//计算净值收益率
WholeFund.TradingNAV.Calculate();
WholeFund.FundReport.Calculate();
}
catch (Exception ex)
{
throw new Exception(Message.C_Msg_MF11, ex);
}
#endregion
return(WholeFund);
}
