public override void Create(ConstructGen<double> wts_, ConstructGen<double> c2v_, ConstructGen<double> perf_)
{
base.Create(wts_, c2v_, perf_);
if(RegionBreakdown!=null && RegionBreakdown.Count>0)
foreach (WtsAnalyzerFXGroup wa in RegionBreakdown)
wa.Create(wts_, c2v_,perf_);
NumRebals = new DataEncapsValue(new DatedDataCollectionGen<double>(wts_.Dates.ToArray<DateTime>(), ExtensionMethods.GenerateArrayAllOfValue<double>(1d, wts_.Dates.Count)), DataEncapsDispValueType.Sum, "NumRebals");
Sharpe = (Statistics.Average(base.Return.Data.Data) * 252d) / (Statistics.Stdev(base.Return.Data.Data) * Math.Sqrt(252d));
ConstructGen<double> ccyTCosts = getTCostForDates(wts_.Dates);
double[] tCcosts = new double[wts_.Dates.Count];
if (false)
{
int[] ndfIndincies =
Singleton<FXIDs>.Instance.Where<Currency>(x => x.IsGroup(FXGroup.NDF))
.Select<Currency, int>(x => x.ArrayIndex)
.ToArray<int>();
DatedDataCollectionGen<double> adjReturn = (DatedDataCollectionGen<double>) Return.Data.Clone();
for (int i = 0; i < wts_.Dates.Count; ++i)
{
int indexOfReturn = adjReturn.IndexOf(wts_.Dates[i]);
double dayAdj = 0d;
double[] wtsToday = wts_.GetValues(wts_.Dates[i]);
if (i == 0)
{
foreach (int ndfIndex in ndfIndincies)
dayAdj += -Math.Abs(wtsToday[ndfIndex]*ccyTCosts.GetValue(wts_.Dates[i], ndfIndex));
}
else
{
double[] wtsYest = wts_.GetValues(wts_.Dates[i - 1]);
foreach (int ndfIndex in ndfIndincies)
dayAdj += -Math.Abs((wtsToday[ndfIndex] - wtsYest[ndfIndex])*ccyTCosts.GetValue(wts_.Dates[i], ndfIndex));
}
tCcosts[i] += dayAdj;
if (indexOfReturn != -1)
adjReturn.Data[indexOfReturn] += dayAdj;
}
}
NDF_TCost = new DataEncapsValue(new DatedDataCollectionGen<double>(wts_.Dates.ToArray(), tCcosts), DataEncapsDispValueType.Sum, "NDF_TCosts");
NetReturn = new DataEncapsValue(Return.Data,DataEncapsDispValueType.Sum, "AdjReturn");
}
public virtual void Create(ConstructGen<double> wts_, ConstructGen<double> c2v_, ConstructGen<double> perf_)
{
double[] dollWts = new double[wts_.Dates.Count];
double[] turnover = new double[wts_.Dates.Count];
double[] flow = new double[wts_.Dates.Count];
double[] leverage = new double[wts_.Dates.Count];
for(int i=0;i<wts_.Dates.Count;++i)
{
double[] todayWts = wts_.GetValues(wts_.Dates[i]);
dollWts[i]=Statistics.Sum(todayWts);
leverage[i] = Statistics.SumAbs(todayWts);
if(i==0)
{
turnover[i] = flow[i]=dollWts[i];
}
else
{
double[] prevWts = wts_.GetValues(wts_.Dates[i-1]);
double t = 0d;
double f = 0d;
for (int j = 0; j < prevWts.Length; ++j)
{
if (todayWts[j] == prevWts[j] && todayWts[j] == 0d) continue;
t += prevWts[j]==0d ? todayWts[j] : Math.Abs((todayWts[j] - prevWts[j]) / prevWts[j]);
f += Math.Abs(todayWts[j] - prevWts[j]);
}
flow[i] = f;
turnover[i] = t;
}
}
SumWt = new DataEncapsValue(new DatedDataCollectionGen<double>(wts_.Dates.ToArray<DateTime>(), dollWts),"SumWt");
Turnover = new DataEncapsValue(new DatedDataCollectionGen<double>(wts_.Dates.ToArray<DateTime>(), turnover),"Turnover");
Flow = new DataEncapsValue(new DatedDataCollectionGen<double>(wts_.Dates.ToArray<DateTime>(), flow),"Flow");
Leverage = new DataEncapsValue(new DatedDataCollectionGen<double>(wts_.Dates.ToArray<DateTime>(), leverage),"Leverage");
//C2V = new DataEncapsValue(new DatedDataCollectionGen<double>(wts_.Dates.ToArray<DateTime>(), ExtensionMethods.GenerateArrayAllOfValue<double>(1d, wts_.Dates.Count)),"C2V");
double[] perf = new double[perf_.Dates.Count];
for (int i = 0; i < perf_.Dates.Count; ++i)
perf[i] = Statistics.Sum(perf_.GetValues(perf_.Dates[i]));
Return = new DataEncapsValue(new DatedDataCollectionGen<double>(perf_.Dates.ToArray<DateTime>(), perf),DataEncapsDispValueType.Sum,"Return");
}
public override void Create(ConstructGen<double> wts_, ConstructGen<double> c2v_, ConstructGen<double> perf_)
{
var indicies =
Singleton<FXIDs>.Instance.Where<Currency>(x => x.IsGroup(FX_Group))
.Select<Currency, int>(x => x.ArrayIndex)
.ToArray();
var wtsForGroup = wts_.GetColumnValues(indicies);
var c2vForGroup = c2v_.GetColumnValues(indicies);
var perfForGroup = perf_.GetColumnValues(indicies);
base.Create(wtsForGroup, c2vForGroup, perf_);
double[] ctvDaily = new double[c2vForGroup.Dates.Count];
for (int i = 0; i < c2vForGroup.Dates.Count; ++i)
ctvDaily[i] = Statistics.Sum(c2vForGroup.GetValues(c2vForGroup.Dates[i]));
C2V = new DataEncapsValue(new DatedDataCollectionGen<double>(c2vForGroup.Dates.ToArray(), ctvDaily),"C2V");
double[] perfDaily = new double[perfForGroup.Dates.Count];
for (int i = 0; i < perfForGroup.Dates.Count; ++i)
perfDaily[i] = Statistics.Sum(perfForGroup.GetValues(perfForGroup.Dates[i]));
Return = new DataEncapsValue(new DatedDataCollectionGen<double>(perfForGroup.Dates.ToArray(), perfDaily), DataEncapsDispValueType.Sum, "Return");
}
