private String m_strPriceFldName = "fClose"; // Name of used prices column
#endregion Data members
#region Constructors, Initialization & Destructor
public cImportedPort(IPortfolioBL cPort)
{
m_objPortfolio = cPort;
m_objErrorHandler = m_objPortfolio.cErrorLog;
//m_colSecurities = new cSecurities(m_objPortfolio);
//m_dtDate = DateTime.Now;
m_drDateRange = new cDateRange(DateTime.Now.AddYears(-2), DateTime.Now);
}//constructor
}//getPerioTotalRates
public static Boolean isBelowNumberOfMonths(cDateRange drPeriod, int iMonths)
{
if (((drPeriod.EndDate - drPeriod.StartDate).Days / 30) <= iMonths)
{
return(true);
}
return(false);
} //isBelowNumberOfMonths
}//getClassicRateValue
public static double getFinalReturnValue(List <PriceReturn> dtMain, cDateRange drPeriod)
{ // Returns final return value for period
/// New Formula: multiply by specific coefficient for each year
if ((dtMain == null) || (dtMain.Count == 0))
{
return(0D);
}
// Calculate each year return
List <double> yearlyReturns = getSeperateYearsReturns(dtMain, drPeriod);
// Calculate final return
int iNbWeeks = 0;
double zVal = 0D;
double dFinalVal = 0D;
if (dtMain.Count > 105)
{
// Above 2 years (CASES 1 + 2)
dFinalVal = (1 + yearlyReturns[0] * 0.4D) * (1 + yearlyReturns[1] * 0.24D) * (1 + yearlyReturns[2] * 0.15D) - 1;
}
else
{
if ((dtMain.Count == 104) || (dtMain.Count == 105))
{
// Exactly 2 years (CASE 3)
dFinalVal = (1 + yearlyReturns[0] * 0.53D) * (1 + yearlyReturns[1] * 0.31D) - 1;
}
else
{
if (dtMain.Count > 52)
{ // Between 1 & 2 years (CASE 4)
iNbWeeks = dtMain.Count - 52;
zVal = (double)(104 - iNbWeeks) / 52D;
dFinalVal = (1 + yearlyReturns[0] * 0.53D * zVal) * (1 + yearlyReturns[1] * 0.31D * ((double)iNbWeeks / 52D)) - 1;
}
else
{
if (dtMain.Count == 52)
{
// Exactly 1 year (CASE 5)
dFinalVal = yearlyReturns[0];
}
else
{
if (dtMain.Count < 52)
{
// Below 1 year (CASE 6)
dFinalVal = yearlyReturns[0] * (52D / (double)dtMain.Count);
}
}
}
}
}
return(dFinalVal);
}//getFinalReturnValue
}//getDataTblFldStDev
public static double getAnnualizedValue(double dOrigVal, cDateRange cDrPrices)
{ // Retrieves the annualized version
int iDays = cDrPrices.EndDate.Subtract(cDrPrices.StartDate).Duration().Days + 1;
double dPower = (iDays > 365) ? 365D / iDays : iDays / 365D;
double dFinal = Math.Pow(Math.Abs(dOrigVal + 1), dPower) - 1; // Annualization
return(dFinal);
}//getAnnualizedValue
}//constructor
#endregion Consturctors, Initialization & Destructor
#region Methods
#region General methods
public void setBacktestingSecuritiesCollection(ISecurities secsCol, cDateRange cDrRange)
{ // Sets the collection of backtesting securities, based on a given securities collection
m_colSecurities = secsCol;
m_colBackSecurities.Clear();
for (int iSecs = 0; iSecs < secsCol.Count; iSecs++)
{
m_colBackSecurities.Add(new cBacktestingSecurity(m_objPortfolio, secsCol[iSecs], cDrRange));
}
}//setBacktestingSecuritiesCollection
private Boolean m_isDisabled = false; // Whether the system has disabled the current security
#endregion Data members
#region Consturctors, Initialization & Destructor
public cBacktestingSecurity(IPortfolioBL cPort, ISecurity cSec, cDateRange Dates)
{
m_objPortfolio = cPort;
m_objErrorHandler = m_objPortfolio.cErrorLog;
m_objColHandler = m_objPortfolio.ColHandler;
m_objSecurity = cSec;
m_drDateRange = Dates;
try
{
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
}//cSecurity constructor
}//constructor
#endregion Constructors, Initialization & Destructor
#region Methods
public void setSecurityPrices(cDateRange cDrPort)
{ // Sets the prices of the securities relevant for the portfolio date range
if (m_objCurrSec == null)
{
return;
}
try
{
m_dStartPrice = getSecurityPrice(cDrPort.StartDate);
m_dEndDate = getSecurityPrice(cDrPort.EndDate);
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
}//setSecurityPrices
}//cSecurity constructor
#endregion Consturctors, Initialization & Destructor
#region Methods
#region Base methods
public void Init(IPortfolioBL cPort)
{
m_objPortfolio = cPort;
m_objErrorHandler = m_objPortfolio.cErrorLog;
m_objColHandler = m_objPortfolio.ColHandler;
m_objSecAnalytics = new cSecAnalytics(this, m_objErrorHandler, m_objColHandler);
m_objPrices.Portfolio = cPort;
try
{
//LR: why do we have 5 years of date range here ???
m_sPricesRange = new cDateRange(DateTime.Today.AddYears(-cProperties.DatesInterval).AddDays(-1), DateTime.Today.AddDays(-1));
m_objRates = new cRateData(this, m_objPortfolio, false);
m_objCovarData = new cCovarCorrelData(this, m_objColHandler, m_objErrorHandler, true);
m_objCorrelData = new cCovarCorrelData(this, m_objColHandler, m_objErrorHandler, false);
}
catch (Exception ex) { m_objErrorHandler.LogInfo(ex); }
}
private List <double> m_colVolumes = new List <double>(); // Collection of traded volumes for each day in full date-range
#endregion Data members
#region Consturctors, Initialization & Destructor
public cSecurity(IPortfolioBL cPort, string secName, string secSymbol)
{
m_objPortfolio = cPort;
m_objErrorHandler = m_objPortfolio.cErrorLog;
m_objColHandler = m_objPortfolio.ColHandler;
m_objSecProperties = new cSecProperties(m_objErrorHandler, m_objPortfolio);
m_objSecAnalytics = new cSecAnalytics(this, m_objErrorHandler, m_objColHandler);
m_objSecProperties.SecurityName = m_objSecProperties.getSecName(secName); // No ' signs + trim spaces
m_objSecProperties.SecuritySymbol = secSymbol;
m_objSecProperties.SecColor = System.Drawing.Color.FromArgb(cProperties.RndGenerator.Next(255), cProperties.RndGenerator.Next(255), cProperties.RndGenerator.Next(255));
m_objPrices = new cPriceData(this, m_objPortfolio);
try
{
m_sPricesRange = new cDateRange(DateTime.Today.AddYears(-cProperties.DatesInterval).AddDays(-1), DateTime.Today.AddDays(-1));
m_objRates = new cRateData(this, m_objPortfolio, false);
m_objCovarData = new cCovarCorrelData(this, m_objColHandler, m_objErrorHandler, true);
m_objCorrelData = new cCovarCorrelData(this, m_objColHandler, m_objErrorHandler, false);
}
catch (Exception ex) { m_objErrorHandler.LogInfo(ex); }
}//cSecurity constructor
}//clearCalcData
#endregion Constructors, Initialization & Destructor
#region Methods
#region New methods
public double[,] calcRiskAndCovariance(cDateRange drPeriod, ref ISecurities cSecsCol, Boolean isMatrix, Boolean isBacktest)
{ // Runs the main covariance calculation (including covariance matrix)
/// The matrix's first dimension represents the variables (securities)C:\Users\uriel\Documents\Applications\Cherries\Classes\
/// The matrix's second dimension represents the observations (history)
try
{
if (isBacktest)
{
for (int iSer = 0; iSer < cSecsCol.Count; iSer++)
{
cSecsCol[iSer].RatesClass.setUpdatedRateData(drPeriod);
}
}
else
{
for (int iSer = 0; iSer < cSecsCol.Count; iSer++)
{
cSecsCol[iSer].RatesClass.setFinalReturnFromServer(drPeriod);
}
}
cSecsCol = cSecsCol.getListOfActiveSecs();
for (int iSecs = 0; iSecs < cSecsCol.Count; iSecs++)
{
cSecsCol[iSecs].CovarClass.setCalculationStatistics(isBacktest);
}
cSecsCol = cSecsCol.getListOfActiveSecs();
if (isMatrix)
{
calculateNewCovarianceMatrix(cSecsCol, isBacktest);
}
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
return(m_dCovarMatrix);
}//runMainCalculation
}//initMainVars
#endregion Constructors, Initialization & Destructor
#region Methods
#region Calculation methods
public OptimalPortoliosViewModel calculateNewEfficientFrontier(ref ISecurities cSecsCol, ISecurities cBenchmarksCol, cDateRange drCalcRange, Boolean isClearDisabled, Boolean isBacktest)
{ // Calculates the Efficient Frontier including the rates vector and covariance matrix
/// Parameters: cSecsCol - collection of securities for optimization
/// drCalcRange - date range for calculation
OptimalPortoliosViewModel vmOptimal = new OptimalPortoliosViewModel();
try
{
//m_colSecurities = cSecsCol;
if (cSecsCol.Count > 0)
{ // Data exists for calculations
if (isClearDisabled)
{
m_objColHandler.DisabledSecs.Clear();
}
// Calculate covariance
m_objPortfolio.Classes.CovarCorrel.calcRiskAndCovariance(drCalcRange, ref cBenchmarksCol, false, isBacktest);
m_arrCovarData = m_objPortfolio.Classes.CovarCorrel.calcRiskAndCovariance(drCalcRange, ref cSecsCol, true, isBacktest);
//m_colSecurities = cSecsCol;
// Calculate optimal portfolios
runEfficientFrontierModule(cSecsCol);
setStartingRiskLevel();
setSecuritiesQuantities(cSecsCol);
setSecuritiesDatatable(cSecsCol); // In case of Backtesting there is no need to call this function
//m_objCovarCalcs.reportCovarianceMatrix(cSecsCol, m_dtSecsData, Portfolios[PortNumA], m_objPortfolio.Details.Equity, isBacktest);
//m_objCovarCalcs.reportCovarianceMatrix(cSecsCol, m_dtSecsData, Portfolios[0], m_objPortfolio.Details.Equity, isBacktest);
}
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
setCalcSuccess();
if (!m_isSuccessfulCalc)
{
vmOptimal.Messages.Add(new Models.App.Message {
Text = "Failed to calculate due to: " + m_strEngineErrors, LogLevel = Models.App.LogLevel.Fatal
});
}
else
{
vmOptimal = AutoMapper.Mapper.Map <OptimalPortoliosViewModel>(m_objPortfolio.Classes.Optimizer);
vmOptimal.PortID = m_objPortfolio.Details.ID;
vmOptimal.PortDetails = m_objPortfolio.Details;
for (int iPorts = 0; iPorts < vmOptimal.Portfolios.Count; iPorts++)
{
for (int iSecs = 0; iSecs < vmOptimal.Portfolios[iPorts].Securities.Count; iSecs++)
{ // Securities displayed on page
vmOptimal.Portfolios[iPorts].Securities[iSecs].StdYield *= Math.Sqrt(52);
vmOptimal.Portfolios[iPorts].Securities[iSecs].FinalRate *= 52; //vmOptimal.PortNumA
vmOptimal.Portfolios[iPorts].Securities[iSecs].StandardDeviation *= 1;
}
}
}
return(vmOptimal);
}//calculateNewEfficientFrontier
}//clearCalcData
#endregion Consturctors, Initialization & Destructor
#region Methods
#region Global datatable
//public void setPortfolioPricesFromDB()
//{ // Loads the prices relevant to the current portfolio
// try
// {
// ArrayList param = new ArrayList();
// cDateRange drPeriod = new cDateRange(DateTime.Today.AddYears(-cProperties.DatesInterval), DateTime.Today.AddDays(-1));
// for (int iSecs = 0; iSecs < m_objColHandler.Securities.Count; iSecs++)
// { // Loads all securities
// // Set adjusted price
// cBasicStaticCalcs.calcAdj(m_objColHandler.Securities[iSecs].PriceTable, DateTime.Today.AddDays(-1).DayOfWeek, m_objColHandler.Securities[iSecs]);
// //cBasicStaticCalcs.setAccumulatedCoefficientsForSecurity(m_objColHandler.Securities[iSecs].PriceTable);
// //cBasicStaticCalcs.calculateAdjustedPrices(m_objColHandler.Securities[iSecs].PriceTable, drPeriod);
// }
// }
// catch (Exception ex)
// {
// m_objErrorHandler.LogInfo(ex);
// }
//}//setPortfolioPricesFromDB
public List <Rate> GetPrices(string secId, string currency)
{ // Retrieves prices for securities
List <cSecurity> lst;
List <Price> lstPrices = null;
List <Rate> rates = new List <Rate>();
if (StaticData <cSecurity, ISecurities> .lst == null)
{
lst = new List <cSecurity>();
}
else
{
lst = StaticData <cSecurity, ISecurities> .lst;
}
var sec = lst.FirstOrDefault(x => x.Properties.PortSecurityId == secId);
if (sec != null)
{
lstPrices = sec.PriceTable;
}
else
{
_repository.Execute(session =>
{
lstPrices = session.Query <Price>().Where(x => x.idSecurity == secId).OrderByDescending(x => x.dDate).ToList();
});
}
double price;
Double basePriceforReturnCalc;
Double currPriceforReturnCalc;
cDateRange drCalc = new cDateRange(DateTime.Today.AddYears(-cProperties.DatesInterval), DateTime.Today.AddDays(-1));
Double returnVaue = 0;
DateTime baseDTforReturnCalc = lstPrices.Last().dDate;
//TODO:CHECK FOR CURRENCY and take fcloseNIS
basePriceforReturnCalc = lstPrices.Last().fClose.HasValue&& lstPrices.Last().fClose > 0 ? lstPrices.Last().fClose.Value : lstPrices.Last().fClose.Value;
int years = 0;
int yearsSaved = 0;
DateTime lastDT = lstPrices[0].dDate;
while ((baseDTforReturnCalc.AddDays(-1)).AddYears(years) <= lastDT)
{
years++;
}
if (years > 0)
{
years--;
yearsSaved = years;
}
int index = 0;
for (int iRows = 0; iRows < lstPrices.Count; iRows++)
{
index = index + 1;
// Replacing '.dAdjPrice' with 'fClose', but it should be rewriten to consider 'currency' (fNISClose)
price = lstPrices[iRows].fClose.HasValue && lstPrices[iRows].fClose > 0 ? lstPrices[iRows].fClose.Value : lstPrices[iRows].fClose.Value;
currPriceforReturnCalc = price;
if (index == 7 || (years > 0 && (baseDTforReturnCalc.AddDays(-1)).AddYears(years).ToOADate() == lstPrices[iRows].dDate.ToOADate()))
{
string label = "";
if (years > 0 && (baseDTforReturnCalc.AddDays(-1)).AddYears(years).ToOADate() == lstPrices[iRows].dDate.ToOADate())
{
returnVaue = (currPriceforReturnCalc / basePriceforReturnCalc - 1) * 100;
label = string.Format("{0} years return:{2}{1:#,##0.00} %", (years).ToString(), returnVaue, "");
years--;
}
rates.Add(new Rate {
Date = lstPrices[iRows].dDate, RateVal = price, Tooltip = string.Format("Date : {0:dd/MM/yy} Price: {1:#,##0.00}", lstPrices[iRows].dDate, price), Label = label
});
index = 0;
}
}
return(rates.OrderBy(o => o.Date).ToList());
}
}//getFinalReturnValue
private static List <double> getSeperateYearsReturns(List <PriceReturn> dtMain, cDateRange drPeriod)
{ // Calculates final return for each seperate year in collection
double T1 = 0D, T2 = 0D, T3 = 0D;
List <PriceReturn> prStart = new List <PriceReturn>(), prEnd = new List <PriceReturn>();
List <double> colReturns = new List <double>();
// T1
prEnd.Add(dtMain[dtMain.Count - 1]);
if (dtMain.Count <= 52) // Below a year
{
prStart.Add(dtMain[0]);
}
else
{
prStart.Add(dtMain[dtMain.Count - 53]);
}
//var nearestDiff = dtMain.Min(x => Math.Abs((x.dtDate.Date - prEnd[0].dtDate.AddYears(-1)).Ticks));
//prStart = dtMain.Where(x => Math.Abs((x.dtDate.Date - prEnd[0].dtDate.AddYears(-1)).Ticks) == nearestDiff).ToList(); // should find 1 row on that day
T1 = ((double)prEnd[0].fAdjClose / (double)prStart[0].fAdjClosePrevWeek) - 1D;
colReturns.Add(T1);
// T2
if (dtMain.Count > 53)
{ // Second Year
prEnd.Clear();
prEnd.Add(dtMain[dtMain.Count - 54]);
prStart.Clear();
if (dtMain.Count <= 105) // Below 2 years
{
prStart.Add(dtMain[0]);
}
else
{
prStart.Add(dtMain[dtMain.Count - 106]);
}
//nearestDiff = dtMain.Min(x => Math.Abs((x.dtDate.Date - prEnd[0].dtDate.AddYears(-1)).Ticks));
//prStart = dtMain.Where(x => Math.Abs((x.dtDate.Date - prEnd[0].dtDate.AddYears(-1)).Ticks) == nearestDiff).ToList(); // should find 1 row on that day
if (prStart.Count > 0)
{
T2 = ((double)prEnd[0].fAdjClose / (double)prStart[0].fAdjClosePrevWeek) - 1D;
}
colReturns.Add(T2);
}
else
{
colReturns.Add(0D);
}
// T3
if (dtMain.Count > 105)
{ // If a second year exists in price returns collection
prEnd.Clear();
prEnd.Add(dtMain[dtMain.Count - 106]);
prStart.Clear();
if (dtMain.Count < 156) // Below 2 years
{
prStart.Add(dtMain[0]);
}
else
{
prStart.Add(dtMain[dtMain.Count - 156]);
}
//nearestDiff = dtMain.Min(x => Math.Abs((x.dtDate.Date - prEnd[0].dtDate.AddYears(-1)).Ticks));
//prStart = dtMain.Where(x => Math.Abs((x.dtDate.Date - prEnd[0].dtDate.AddYears(-1)).Ticks) == nearestDiff).ToList(); // should find 1 row on that day
if (prStart.Count > 0)
{
T3 = ((double)prEnd[0].fAdjClose / (double)prStart[0].fAdjClosePrevWeek) - 1D;
}
colReturns.Add(T3);
}
else
{
colReturns.Add(0D);
}
return(colReturns);
}//getSeperateYearsReturns
public static void calculatePriceReturns(List <Entities.dbo.Price> dtPrices, ref List <Rate> dtOut, cDateRange cDrCalc, enumDateFreq enCalcFreq, String idSec, String strSymbol)
{
calculatePriceReturns(dtPrices, ref dtOut, cDrCalc, enCalcFreq, 0, dtPrices.Count - 1, idSec, strSymbol);
} //calculatePriceReturns
}//getSeperateYearsReturns
public static List <PriceReturn> getPriceReturnsInDateRange(List <PriceReturn> colReturns, cDateRange drPeriod)
{ // Returns a collection of price returns relevant to date range
List <PriceReturn> colFinal = new List <PriceReturn>();
for (int iRows = 0; iRows < colReturns.Count; iRows++)
{
if ((colReturns[iRows].dtDate >= drPeriod.StartDate) && (colReturns[iRows].dtDate <= drPeriod.EndDate))
{
colFinal.Add(colReturns[iRows]);
}
}
return(colFinal);
}//getPriceReturnsInDateRange
} //calculatePriceReturns
public static void calculatePriceReturns(List <Entities.dbo.Price> dtPrices, ref List <Rate> dtOut, cDateRange cDrCalc, enumDateFreq enCalcFreq, int iPosStart, int iPosEnd, String idSec, String strSymbol)
{ // Calculates price returns for the given table of prices
DateTime dtCurrent = DateTime.Now, dtNextVal;
int iNextIndex = 0;
for (int iRows = iPosStart; iRows <= iPosEnd;)
{ // Goes through prices backwards
dtCurrent = dtPrices[iRows].dDate;
if ((dtCurrent < cDrCalc.StartDate) || (dtCurrent > cDrCalc.EndDate))
{
iRows++; continue;
} // No calculations if exceeds calculation range
dtNextVal = getNextDate(dtCurrent, enCalcFreq);
iNextIndex = getClosestDateRowIndex(dtPrices, iRows, dtNextVal, cDrCalc);
if ((iNextIndex == -1) || (iNextIndex >= iPosEnd) || ((iPosEnd - iRows) < 7))
{
return; // Finished
}
double dRateVal = getCalcRateVal(Convert.ToDouble(dtPrices[iRows].fClose), Convert.ToDouble(dtPrices[iNextIndex].fClose)); // calculated rate
dtOut.Add(new Rate {
Date = dtCurrent, RateVal = dRateVal
});
if (iNextIndex > iRows)
{
iRows = iNextIndex;
}
else
{
iRows++;
}
} //main for
} //calculatePriceReturns
}//getCummulativeReturnValue
#endregion Final rates methods
#region Helping methods
private static int getClosestDateRowIndex(List <Entities.dbo.Price> dtMain, int iPrevIndex, DateTime dtCompare, cDateRange cDrCalc)
{//get the most nearly index to request date return -1 if no more dates in the table
int iFinalRow = iPrevIndex, iMinDiff = int.MaxValue;
TimeSpan tsDateDiff;
DateTime dtTmp;
for (int iRows = iFinalRow + 1; iRows < dtMain.Count; iRows++)
{ // Finds closest date row index
dtTmp = dtMain[iRows].dDate;
if (dtTmp >= cDrCalc.StartDate && dtTmp <= cDrCalc.EndDate)
{
tsDateDiff = dtCompare.Subtract(dtTmp);
if (System.Math.Abs(tsDateDiff.Days) <= iMinDiff)
{
iFinalRow = iRows; iMinDiff = System.Math.Abs(tsDateDiff.Days);
} // Marks smaller date differences
else
{
return(iFinalRow); // Once difference is bigger - stop (we deal with a sorted table)
}
}
}
if (iFinalRow == iPrevIndex)
{
return(-1);
}
return(iFinalRow);
}//getClosestDateRowIndex
}//getAdjustedPrice
#endregion Price return methods
#region Final rates methods
public static double getClassicRateValue(List <Entities.dbo.Price> dtMain, string currencyType, cDateRange drPeriod)
{ // Retrieves the Final rate value for a given security
double prevPrc, currPrc;
List <Entities.dbo.Price> prevPrice = new List <Entities.dbo.Price>();
List <Entities.dbo.Price> currPrice = new List <Entities.dbo.Price>();
var nearestDiff = dtMain.Min(x => Math.Abs((x.dDate.Date - drPeriod.StartDate.Date).Ticks));
prevPrice = dtMain.Where(x => Math.Abs((x.dDate.Date - drPeriod.StartDate.Date).Ticks) == nearestDiff).ToList(); // should find 1 row on that day
nearestDiff = dtMain.Min(x => Math.Abs((x.dDate.Date - drPeriod.EndDate.Date).Ticks));
currPrice = dtMain.Where(x => Math.Abs((x.dDate.Date - drPeriod.EndDate.Date).Ticks) == nearestDiff).ToList(); // should find 1 row on that day
//prevPrice = dtMain.Where(x => x.dDate.Date == drPeriod.StartDate.Date).ToList(); // should find 1 row on that day
//currPrice = dtMain.Where(x => x.dDate.Date == drPeriod.EndDate.Date).ToList(); // should find 1 row on that day
if (prevPrice.Count == 0 || currPrice.Count == 0)
{
return(0D);
}
if (currencyType == "9999")
{
prevPrc = (double)prevPrice[0].fNISClose;
currPrc = (double)currPrice[0].fNISClose;
}
else
{
prevPrc = (double)prevPrice[0].fClose;
currPrc = (double)currPrice[0].fClose;
}
if (prevPrc == 0D)
{
return(0D);
}
return(getCalcRateVal(currPrc, prevPrc));
}//getClassicRateValue
