public bool FillBenchDailyReturns(List<AtBenchDailyReturns> lstBDR)
{
if (lstBDR.Count == 0)
{
m_gcFeedback.LogProgress(
m_idSession,
LogType.LOG_TYPE_INPUT_DATA_VALIDATION,
LogSeverity.LOG_SEVERITY_WARNING,
"Warning: No BenchDailyReturns were found", string.Empty, string.Empty, true);
return false;
}
foreach (var entry in lstBDR)
{
var iBenchID = entry.Benchmarkid;
BenchReturns pBenchReturns;
if (m_pCalc.m_perf_data.m_bench_data.ContainsKey(iBenchID))
{
var pNewBenchReturns = new BenchReturns();
m_pCalc.m_perf_data.m_bench_data.Add(iBenchID, pNewBenchReturns);
pBenchReturns = pNewBenchReturns;
}
else
{
pBenchReturns = m_pCalc.m_perf_data.m_bench_data[iBenchID];
}
var iDailyDate = Utility.getIntFromDate(entry.DailyDate);
if (!pBenchReturns.m_bench_daily_returns.ContainsKey(iDailyDate))
{
var pNewBenchDayReturns = new BenchDayReturns();
if (entry.PriceReturn.HasValue)
pNewBenchDayReturns.m_price_return = Convert.ToDouble(entry.PriceReturn.Value);
if (entry.TotalReturn.HasValue)
pNewBenchDayReturns.m_total_return = Convert.ToDouble(entry.TotalReturn.Value);
if (entry.DaysToMthEnd.HasValue)
pNewBenchDayReturns.m_days_to_month_end = entry.DaysToMthEnd.Value;
if (entry.CmpTotalRetToMthEnd.HasValue)
pNewBenchDayReturns.m_total_return_to_month_end = Convert.ToDouble(entry.CmpTotalRetToMthEnd.Value);
if (entry.CmpPriceRetToMthEnd.HasValue)
pNewBenchDayReturns.m_price_return_to_month_end = Convert.ToDouble(entry.CmpPriceRetToMthEnd.Value);
pBenchReturns.m_bench_daily_returns.Add(iDailyDate, pNewBenchDayReturns);
}
else
{
Debug.Assert(false, "Expected daily bench data to be unique");
}
}
return true;
}
private bool calculatePerformanceFromBeginning(
BenchAllocation benchAllocation,
BenchReturns benchmarkReturns,
int yearMonth, ClientModelBench clientModelBench,
int accountId, Client clientData)
{
var benchMonthReturns = benchmarkReturns.m_bench_monthly_returns[yearMonth];
var benchDayReturns = benchmarkReturns.m_bench_daily_returns[benchAllocation.m_date_to];
var iLoop = 1;
clientModelBench.m_totReturn = ((1 + clientModelBench.m_totReturn)*(1 + benchMonthReturns.m_total_return)/
(benchDayReturns.m_price_return_to_month_end)) - 1;
clientModelBench.m_totPriceReturn = ((1 + clientModelBench.m_totPriceReturn) * (1 + benchMonthReturns.m_price_return) /
(benchDayReturns.m_price_return_to_month_end)) - 1;
clientModelBench.m_totDivReturn += (benchMonthReturns.m_dividend_return);
}
public bool FillBenchMonthlyReturns(List<AtBenchMonthlyReturns> lstBMR)
{
foreach(var entry in lstBMR)
{
var iBenchID = entry.BenchmarkID;
BenchReturns pBenchReturns;
if (m_pCalc.m_perf_data.m_bench_data.ContainsKey(iBenchID))
{
pBenchReturns = m_pCalc.m_perf_data.m_bench_data[iBenchID];
}
else
{
var pNewBenchReturns = new BenchReturns();
m_pCalc.m_perf_data.m_bench_data.Add(iBenchID, pNewBenchReturns);
pBenchReturns = pNewBenchReturns;
}
var pBenchMonthlyReturns = new BenchMonthlyReturns();
if (entry.Turnover.HasValue)
pBenchMonthlyReturns.m_turnover = Convert.ToDouble(entry.Turnover.Value);
if (entry.TotalReturn.HasValue)
pBenchMonthlyReturns.m_total_return = Convert.ToDouble(entry.TotalReturn.Value);
if (entry.DividendReturn.HasValue)
pBenchMonthlyReturns.m_dividend_return = Convert.ToDouble(entry.DividendReturn.Value);
if (entry.DividendYield.HasValue)
pBenchMonthlyReturns.m_dividend_yield = Convert.ToDouble(entry.DividendYield.Value);
if (entry.PriceReturn.HasValue)
pBenchMonthlyReturns.m_price_return = Convert.ToDouble(entry.PriceReturn.Value);
var iYearMonth = entry.YearMonth;
if (!pBenchReturns.m_bench_monthly_returns.ContainsKey(iYearMonth))
{
pBenchReturns.m_bench_monthly_returns.Add(iYearMonth, pBenchMonthlyReturns);
}
}
return true;
}