public AssetRateDataLog Execute(long caseNumber)
{
DateTime curDate = this.Input.StartDate;
AssetRateDataLog log = new AssetRateDataLog();
_opSet.SetOpFlag(caseNumber);
this._adjustment.Clear();
while (curDate <= this.Input.EndDate)
{
if (this._readyData.IsExistDate(curDate))
{
AssetRateDatum aw = this._allocBase.CalculateAndGetAssetRateDatum(curDate, this._readyData);
AdjRateDatum aa = this._adjustment.CalculateAssetWeight(_opSet, curDate, _readyData);
aw.Multiply(aa);
aw.SetScale();
log.Add(curDate, aw);
}
curDate = curDate.AddDays(1);
}
return log;
}
public Tuple<AssetRateDataLog, AdjRateDataLog> Calculate(MarketDataSet marketData)
{
DateTime curDate = this.InputData.StartDate;
AssetRateDataLog assetLog = new AssetRateDataLog();
AdjRateDataLog adjLog = new AdjRateDataLog();
while (curDate <= this.InputData.EndDate)
{
if (marketData.IsExistDate(curDate))
{
AssetRateDatum assetDatum = this.Alloc.CalculateAndGetAssetRateDatum(curDate, marketData);
AdjRateDatum adjDatum = GetAdjRateDatum(curDate, marketData, adjLog);
assetDatum.Multiply(adjDatum);
assetDatum.SetScale();
assetLog.Add(curDate, assetDatum);
}
curDate = curDate.AddDays(1);
}
return new Tuple<AssetRateDataLog, AdjRateDataLog>(assetLog, adjLog);
}
public AssetRateDataLog Execute(long caseNumber)
{
DateTime curDate = this.Input.StartDate;
AssetRateDataLog log = new AssetRateDataLog();
IAdjustment adj = this._adjs[(int)caseNumber];
log.ExperimentKey = _descriptions[(int)caseNumber];
while (curDate <= this.Input.EndDate)
{
if (this._readyData.IsExistDate(curDate))
{
AssetRateDatum aw = this._allocBase.CalculateAndGetAssetRateDatum(curDate, this._readyData);
AdjRateDatum aa = adj.CalculateAssetWeight(null, curDate, _readyData);
aw.Multiply(aa);
aw.SetScale();
log.Add(curDate, aw);
}
curDate = curDate.AddDays(1);
}
return log;
}
public AssetRateDataLog Execute(long caseNumber)
{
IAlloc allocBase = this._allocBases[(int)caseNumber];
DateTime curDate = this.Input.StartDate;
AssetRateDataLog log = new AssetRateDataLog();
_curKey = String.Format("SAO({0})", allocBase.GetKey());
while (curDate <= this.Input.EndDate)
{
if (this._readyData.IsExistDate(curDate))
{
AssetRateDatum aw = allocBase.CalculateAndGetAssetRateDatum(curDate, this._readyData);
AdjRateDatum aa = new AdjRateDatum(1, 1, 1);
aw.Multiply(aa);
aw.SetScale();
log.Add(curDate, aw);
}
curDate = curDate.AddDays(1);
}
return log;
}
public ProfitAndLossResult GetResult(AssetRateDataLog log)
{
ProfitAndLossResult result = new ProfitAndLossResult(_opSet.GetKey(), this.Input.InitInvestAmount);
result.CalculatePnL(log, _readyData);
return result;
}
public void CalculatePnL(AssetRateDataLog log, MarketDataSet marketDataSet)
{
DateTime prevDate = log.StartDate;
DateTime curDate = log.StartDate.AddDays(1);
_cumPnL.Add(prevDate, 0);
while (curDate <= log.EndDate)
{
if (log.IsExistDate(curDate))
{
AssetRateDatum awPrev = log.GetData(prevDate);
Tuple<double, double, double, double> dailyPnL = GetDailyPnL(
awPrev, prevDate, curDate, InitInvestAmount, marketDataSet);
AddDailyPnL(curDate, dailyPnL);
AddCumPnL(prevDate, curDate, dailyPnL.Item1);
ChangeCurDateAndPrevDate(ref prevDate, ref curDate);
continue;
}
curDate = curDate.AddDays(1);
}
double total = TotalPnL;
this.AvgPnLPerYear = MathUtil.GetAvgPnLPerYear(this);
this.PPM = MathUtil.GetPPM(this);
}
ProfitAndLossResult CalculatePnL(AssetRateDataLog log, MarketDataSet marketData)
{
ProfitAndLossResult pnl = new ProfitAndLossResult(String.Format("{0}", this.Name), this.InputData.InitInvestAmount);
pnl.CalculatePnL(log, marketData);
return pnl;
}
