/// <summary>
/// Berechnet die ReturnRiskRatio und legt das Ergebnis in einem neuen Datencontainer ab.
/// </summary>
/// <param name="source">Datensatz, von dem die ReturnRiskRatio gebildet werden soll</param>
/// <param name="nRange">Anzahl der einzubeziehenden Daten pro Berechnung</param>
/// <returns>Neuer DatenContainer mit den Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer source, int nRange)
{
//DataContainer sourceperf = RelativePerformance.CreateFrom(source);
DataContainer sourcechange = RelativeChange.CreateFrom(source);
DataContainer changemovavg = MovingAverage.CreateFrom(sourcechange, nRange);
DataContainer volatility = Volatility.CreateFrom(sourcechange, nRange);
DataContainer result = new DataContainer();
//WorkDate historydate = volatility.OldestDate.Clone() - (int)nRange;
WorkDate workdate = volatility.OldestDate.Clone();
for (; workdate <= volatility.YoungestDate; workdate++ /*, historydate++*/)
{
double dReturn = changemovavg[workdate]; //sourceperf[workdate] - sourceperf[historydate];
double dRisk = volatility[workdate]; // Standardabweichung
//result[workdate] = dReturn / (dRisk + 1.0);
result[workdate] = dReturn - dRisk;
}
return(result);
}
