private ISecurities getFilteredSecByExchangesAndRisk(OptimazationQuery query)
{
ISecurities newColl = new cSecurities(cPort);
for (int i = 0; i < cPort.ColHandler.Securities.Count; i++)
{
//if (cPort.ColHandler.Securities[i].StdYield * Math.Sqrt(52) <= query.Risk && query.Exchanges.Contains(cPort.ColHandler.Securities[i].Properties.Market.ID))
if (query.Exchanges.Contains(cPort.ColHandler.Securities[i].Properties.Market.ID))
{
if (query.Risk > 0.14 || (query.Risk <= 0.14 && cPort.ColHandler.Securities[i].RatesClass.PriceReturns.Count > 105))
{
newColl.Add(cPort.ColHandler.Securities[i]);
}
}
}
return(newColl);
}
public OptimalPortoliosViewModel GetPortfolioOptimazation(User user, OptimazationQuery query)
{
OptimalPortoliosViewModel vm = new OptimalPortoliosViewModel();
cPort.openExistingPortfolio(query.PortID, false);
lock (lockObject)
{
var stocks = query.Exchanges != null && query.Exchanges.Count > 0 &&
query.Exchanges.Count <= user.Licence.Stocks.Count ? query.Exchanges : user.Licence.Stocks.Select(t => t.id).ToList();
//if (!cPort.instantiatePortfolioVariables(true, cPort.Details.CalcCurrency, stocks , query.Securities))
if (!cPort.instantiateVariablesForPortfolio(true, cPort.Details.CalcCurrency, stocks, query.Securities))
{
vm.Messages.Add(new Models.App.Message {
LogLevel = Models.App.LogLevel.Error, Text = "Error Get Portfolio Data. Please Contanct System Administrator"
});
}
else
{
cPort.ColHandler.setDisabledSecsToActive();
if (query.Securities.Count > 0)
{
cPort.ColHandler.ActiveSecs = getFilteredSecByCustomList(query); //custom portfolio build
}
else // filter Active securities from Securities by exchangesIds and risk level: sec.stdYield
{
cPort.ColHandler.ActiveSecs = getFilteredSecByExchangesAndRisk(query);
}
cPort.Details.CalcType = query.CalcType;
// cPort.Classes.Optimizer.SecuritiesCol = cPort.ColHandler.ActiveSecs;
ISecurities cSecsCol = cPort.ColHandler.ActiveSecs;
//vm = cPort.Classes.Optimizer.calculateNewEfficientFrontier(ref cSecsCol, cPort.ColHandler.Benchmarks, new cDateRange(DateTime.Today.AddYears(-cProperties.DatesInterval), DateTime.Today), true, false);
vm = cPort.Classes.Optimizer.calculateNewEfficientFrontier(ref cSecsCol, cPort.ColHandler.Benchmarks, new cDateRange(DateTime.Today.AddYears(-3).AddDays(-1), DateTime.Today.AddDays(-1)), true, false);
cPort.ColHandler.ActiveSecs = cSecsCol;
}
}
return(vm);
}//GetPortfolioOptimazation
}//GetPortfolioOptimazation
private ISecurities getFilteredSecByCustomList(OptimazationQuery query)
{
List <string> missingSecs = new List <string>();
ISecurities newColl = new cSecurities(cPort);
for (int i = 0; i < query.Securities.Count; i++)
{
var sec = cPort.ColHandler.Securities.getSecurityByIdNormalSearch(query.Securities[i]);
if (sec != null)
{
newColl.Add(sec);
}
else
{
missingSecs.Add(query.Securities[i]);
}
}
if (missingSecs.Count > 0)
{
cPort.ColHandler.addMissingSecurities(newColl, missingSecs);
}
//********************************************************
//IRepository repository;
//repository = Resolver.Resolve<IRepository>();
//TopSecuritiesViewModel vm = new TopSecuritiesViewModel();
//repository.Execute(session =>
//{
// var securities = session.Query<TopSecurities>().Where(x => query.Securities.Contains(x.idSecurity));
// //return AutoMapper.Mapper.Map<List<Models.dbo.Security>>(topSecs);
// //TODO: have to do mapping probably
// newColl = newColl.GetCustomSecurities(securities);
//});
//********************************************************
return(newColl);
}
