public ActionResult AddAsset(Asset asset)
{
Portfolio portfolio = db.Portfolios.Find(asset.PortfolioID);
if (ModelState.IsValid && portfolio != null)
{
asset.Prices = getQuotes(asset.Symbol);
asset.Portfolio = portfolio;
db.Assets.Add(asset);
db.SaveChanges();
}
return AssetList(asset.PortfolioID);
}
private Asset calculateAssetStats(Asset asset, DateTime startDate, bool meanRateMethodIsSimple, bool expectedRateMethodIsCAPM, double riskFreeRate, double MRP)
{
List<AssetPrice> queriedPrices = asset.Prices.Where(p => p.Date >= startDate).ToList();
queriedPrices.RemoveAt(0);
//asset.Prices = queriedPrices;
List<AssetPrice> riskFreeRates = getQuotes("^IRX").Where(p => p.Date >= startDate).ToList();
riskFreeRates.RemoveAt(0);
double meanRiskFreeRate = riskFreeRates.Sum(p => p.ClosePrice) / (riskFreeRates.Count);
List<AssetPrice> marketRates = getQuotes("SPY").Where(p => p.Date >= startDate).ToList();
double expectedValue_Asset = calculateExpectedValue(queriedPrices, riskFreeRates, meanRateMethodIsSimple);
double expectedValue_Market = calculateExpectedValue(marketRates, riskFreeRates, meanRateMethodIsSimple);
double variance_Asset = calculateRiskFreeVariance(queriedPrices, riskFreeRates, expectedValue_Asset, meanRateMethodIsSimple);
double variance_Market = calculateRiskFreeVariance(marketRates, riskFreeRates, expectedValue_Market, meanRateMethodIsSimple);
double covariance = calculateCovariance(queriedPrices, marketRates, riskFreeRates, expectedValue_Asset, expectedValue_Market, meanRateMethodIsSimple);
asset.DailyMeanRate = calculateDailyMeanRate(queriedPrices, meanRateMethodIsSimple);
asset.DailyVariance = calculateVariance(queriedPrices, asset.DailyMeanRate, meanRateMethodIsSimple);
asset.AnnualizedVariance = asset.DailyVariance * 252;
asset.DailyStandardDeviation = Math.Sqrt(asset.DailyVariance);
asset.AnnualizedStandardDeviation = asset.DailyStandardDeviation * Math.Sqrt(252);
asset.Covariance = covariance;
asset.SharpeRatio = (expectedValue_Asset * queriedPrices.Count) / Math.Sqrt((variance_Asset * Math.Pow(queriedPrices.Count, 2)) / 252);
asset.Beta = covariance / variance_Market;
asset.HistoricalCorrelation = covariance / (Math.Sqrt(variance_Asset) * Math.Sqrt(variance_Market));
if (expectedRateMethodIsCAPM)
asset.AnnualizedMeanRate = riskFreeRate + (asset.Beta * MRP);
else
asset.AnnualizedMeanRate = asset.DailyMeanRate * 252;
return asset;
}
