/// <summary>
/// Instantaneous drift of the F_i in the T_k-forward-measure
///-F is a n-dim vector of the LIBOR forward rates
/// -alpha is a n-dim vector containing the tenors of the LIBOR rates
/// -k indicates that the T_k forward measure is used
/// - rho is n x n - Matrix containg the correlation betweeen the BM driving
/// the LIBOR rates
/// </summary>
/// <param name="t"></param>
/// <param name="forwardRate"></param>
/// <param name="i"></param>
/// <param name="k"></param>
/// <returns></returns>
private double Drift(double t, Vector <double> forwardRate, int i, int k)
{
if (i + 1 == k)
{
return(0);
}
if (i + 1 > k)
{
double sum = 0;
var si = Volatility[i](T[i] - t);
for (var j = i + 1; j <= k - 1; j++)
{
// TODO: Check volatility of L[j]
var sj = Volatility[j](T[j] - t);
sum += Alpha[j] * (forwardRate[j] + Delta[j]) / (1 + Alpha[j] * forwardRate[j]) * Correlation[i, j] * si * sj;
}
return(-sum);
}
else
{
double sum = 0;
var si = Volatility[i](T[i] - t);
for (var j = k; j <= i; j++)
{
// L[t,T[i], T[i+1]] => volatility sigma(T[i]-t)
var sj = Volatility[j](T[j] - t);
sum += Alpha[j] * (forwardRate[j] + Delta[j]) / (1 + Alpha[j] * forwardRate[j]) * Correlation[i, j] * si * sj;
}
return(sum);
}
}
public override void GetAll(IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
if (!Ind.Volatility(period).IsPopulated)
{
int oldCurrentBar = Ind.Bar.CurrentBar;
for (int i = 1; i <= Ind.Bar.MaxBar; i++)
{
Ind.Bar.CurrentBar = i;
object prototype = null;
if (i == 1)
{
prototype = new Volatility();
}
else
{
prototype = (Volatility)Ind.Volatility(period)[1].Clone();
}
Get(ref prototype, Ind);
Ind.Volatility(period)[0] = (Volatility)prototype;
Ind.Volatility(period).IsPopulated = true; // set here so instance is guaranteed to exits
}
Ind.Bar.CurrentBar = oldCurrentBar;
}
}
private async Task <bool> ProcessAsync(AssetPairSettings assetPair, DateTime date)
{
_log.Info($"Start processing {assetPair} {date.ToString("yyyy-MM-dd")}.");
try
{
var candles = (await _candlesRepository.GetAsync(assetPair.AssetPairId, date))
.OrderBy(c => c.CandleTimestamp).ToArray();
if (!candles.Any())
{
_log.Info($"There are no candles to process {assetPair} on {date.ToString("yyyy-MM-dd")}.");
return(false);
}
if (candles.Length < ChangesGap + MinDeviationCount)
{
_log.Info($"Not enought candles to process {assetPair} on {date.ToString("yyyy-MM-dd")}.");
return(false);
}
Volatility volatility = Calculate(assetPair, candles);
await _volatilityRepository.InsertAsync(volatility);
await _candlesRepository.DeleteAsync(candles);
_log.Info($"Processed {assetPair} {date.ToString("yyyy-MM-dd")} based on {candles.Length} candles.");
}
catch (Exception ex)
{
_log.Error(ex, $"Fail processing {assetPair} {date.ToString("yyyy-MM-dd")}.");
}
return(true);
}
protected Dice(double min, double max, Volatility volatility)
: this()
{
MinValue = min;
MaxValue = max;
Volatility = (double)volatility;
}
public Volatility Randomrize(Volatility volatility)
{
var randomrizedVolatility = _innerRandomrizer.Randomrize(volatility);
_volatilities.Add(randomrizedVolatility.Value);
return(volatility);
}
public Stock(ulong sharesAmount, CompanyInfo company,
Volatility volatility = Volatility.Low, bool isDividends = false)
{
SharesAmount = sharesAmount;
Price = company.Value / sharesAmount;
Company = company;
VolatilityRate = volatility;
IsDividends = isDividends;
}
public static double Next(double mean, double standardDeviation, Volatility volatility)
{
var v = (int) volatility;
var total = 0d;
for (var i = 0; i < v; i++)
{
total += SimpleRNG.GetNormal(mean, standardDeviation);
}
return total / v;
}
/// <summary>
/// Compute correlation matrix
/// </summary>
/// <param name="t"></param>
/// <param name="dt"></param>
/// <returns></returns>
private Matrix <double> CorrelationMatrix(double t, double dt)
{
var C = Matrix <double> .Build.Dense(NumRates, NumRates);
for (var i = 0; i < NumRates; i++)
{
for (var j = 0; j <= i; j++)
{
var i1 = i;
var j1 = j;
Func <double, double> func = x => Correlation[i1, j1] * Volatility[i1](T[i1] - x) * Volatility[j1](T[j1] - x);
var corr = Integrate.OnClosedInterval(func, t, t + dt);
C[i, j] = corr;
C[j, i] = corr;
}
}
return(C);
}
public T TryGet <T>(string cacheKey, Func <T> getObjectsForCache, Volatility volatility) where T : class
{
try
{
return(Get <T>(cacheKey) ?? Set <T>(cacheKey, getObjectsForCache.Invoke(), volatility));
}
catch (Exception ex)
{
logger.Error(TagGroup, "TryGet", ex);
return(default(T));
}
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
Volatility vol = Data.Volatility(IndicatorParameters)[Instant.ExposureDate];
if (vol != null)
{
return(String.Format("{0}|", vol.Value));
}
else
{
return(String.Format("{0}|", ""));
}
}
private int GetDuration(Volatility volatility)
{
switch (volatility)
{
case Volatility.Low:
return(1440);
case Volatility.Medium:
return(60);
case Volatility.High:
return(10);
default:
return(10);
}
}
private double[][] computeRollingFractile(int start, int end, int period)
{
double[][] disArr = new double[etfDailyData.Count()][];
//获取前复权的价格
double[] etfPrice = new double[etfDailyData.Count()];
for (int i = 0; i < etfDailyData.Count(); i++)
{
etfPrice[i] = etfDailyData[i].close * etfDailyData[i].adjustFactor / etfDailyData.Last().adjustFactor;
}
//获取ETF每日年化波动率
double[] etfVol = new double[etfDailyData.Count()];
etfVol = Volatility.HVYearly(etfPrice, step);
this.etfVol = etfVol;
//统计每日波动率分位数
List <double> volList = new List <double>();
for (int i = start; i < etfPrice.Count(); i++)
{
//按周期向前推算历史波动率
volList = etfVol.ToList().GetRange(start - period + 1, period).OrderBy(x => x).ToList();
if (i >= start)
{
int L = volList.Count() - 1;
disArr[i] = new double[11];
disArr[i][0] = volList[0];
disArr[i][1] = volList[(int)Math.Ceiling(L * 0.1)];
disArr[i][2] = volList[(int)Math.Ceiling(L * 0.2)];
disArr[i][3] = volList[(int)Math.Ceiling(L * 0.3)];
disArr[i][4] = volList[(int)Math.Ceiling(L * 0.4)];
disArr[i][5] = volList[(int)Math.Ceiling(L * 0.5)];
disArr[i][6] = volList[(int)Math.Ceiling(L * 0.6)];
disArr[i][7] = volList[(int)Math.Ceiling(L * 0.7)];
disArr[i][8] = volList[(int)Math.Ceiling(L * 0.8)];
disArr[i][9] = volList[(int)Math.Ceiling(L * 0.9)];
disArr[i][10] = volList[L];
}
}
return(disArr);
}
protected override void WriteDataXML(XElement ele, ElderScrollsPlugin master)
{
XElement subEle;
ele.TryPathTo("Sunrise/Begin", true, out subEle);
subEle.Value = SunriseBegin.ToString();
ele.TryPathTo("Sunrise/End", true, out subEle);
subEle.Value = SunriseEnd.ToString();
ele.TryPathTo("Sunset/Begin", true, out subEle);
subEle.Value = SunsetBegin.ToString();
ele.TryPathTo("Sunset/End", true, out subEle);
subEle.Value = SunsetEnd.ToString();
ele.TryPathTo("Volatility", true, out subEle);
subEle.Value = Volatility.ToString();
ele.TryPathTo("MoonData", true, out subEle);
MoonData.WriteXML(subEle, master);
}
/// <summary>
/// 计算历史波动率的分位数
/// </summary>
/// <returns></returns>
private double[][] computeFractile(int start, int end)
{
double[][] disArr = new double[etfDailyData.Count()][];
//获取前复权的价格
double[] etfPrice = new double[etfDailyData.Count()];
for (int i = 0; i < etfDailyData.Count(); i++)
{
etfPrice[i] = etfDailyData[i].close * etfDailyData[i].adjustFactor / etfDailyData.Last().adjustFactor;
}
//获取ETF每日年化波动率
double[] etfVol = new double[etfDailyData.Count()];
etfVol = Volatility.HVYearly(etfPrice, step);
this.etfVol = etfVol;
//统计每日波动率分位数
List <double> volList = new List <double>();
for (int i = 1; i < etfPrice.Count(); i++)
{
//按循序依次向数组中插入波动率
if (volList.Count() == 0)
{
volList.Add(etfVol[i]);
}
else
{
if (etfVol[i] < volList[0])
{
volList.Insert(0, etfVol[i]);
}
else if (etfVol[i] > volList.Last())
{
volList.Insert(volList.Count(), etfVol[i]);
}
else
{
for (int j = 1; j < volList.Count() - 1; j++)
{
if (etfVol[i] > volList[j - 1] && etfVol[i] <= volList[j])
{
volList.Insert(j, etfVol[i]);
continue;
}
}
}
}
if (i >= start)
{
int L = volList.Count() - 1;
disArr[i] = new double[11];
disArr[i][0] = volList[0];
disArr[i][1] = volList[(int)Math.Ceiling(L * 0.1)];
disArr[i][2] = volList[(int)Math.Ceiling(L * 0.2)];
disArr[i][3] = volList[(int)Math.Ceiling(L * 0.3)];
disArr[i][4] = volList[(int)Math.Ceiling(L * 0.4)];
disArr[i][5] = volList[(int)Math.Ceiling(L * 0.5)];
disArr[i][6] = volList[(int)Math.Ceiling(L * 0.6)];
disArr[i][7] = volList[(int)Math.Ceiling(L * 0.7)];
disArr[i][8] = volList[(int)Math.Ceiling(L * 0.8)];
disArr[i][9] = volList[(int)Math.Ceiling(L * 0.9)];
disArr[i][10] = volList[L];
}
}
return(disArr);
}
private void computeVol(string code, int period, ref List <HistoricalVol> volList)
{
var list = getHistoricalDailyData(code);
var mdata = (from x in list where x.close > 0 select x).ToList();
var timelist = mdata.Select(x => x.time).ToArray();
var closelist = mdata.Select(x => x.close).ToArray();
var vol = Volatility.HVYearly(closelist, period);
int start = volList.Count() - vol.Count();
string[] monthList = code.Split('.');
string month = monthList[0].Substring(monthList[0].Length - 2, 2);
for (int i = start; i < volList.Count(); i++)
{
if (month == "01" && period == period1)
{
volList[i].M01_1 = vol[i - start];
}
else if (month == "01" && period == period2)
{
volList[i].M01_2 = vol[i - start];
}
else if (month == "03" && period == period1)
{
volList[i].M03_1 = vol[i - start];
}
else if (month == "03" && period == period2)
{
volList[i].M03_2 = vol[i - start];
}
else if (month == "05" && period == period1)
{
volList[i].M05_1 = vol[i - start];
}
else if (month == "05" && period == period2)
{
volList[i].M05_2 = vol[i - start];
}
else if (month == "07" && period == period1)
{
volList[i].M07_1 = vol[i - start];
}
else if (month == "07" && period == period2)
{
volList[i].M07_2 = vol[i - start];
}
else if (month == "08" && period == period1)
{
volList[i].M08_1 = vol[i - start];
}
else if (month == "08" && period == period2)
{
volList[i].M08_2 = vol[i - start];
}
else if (month == "09" && period == period1)
{
volList[i].M09_1 = vol[i - start];
}
else if (month == "09" && period == period2)
{
volList[i].M09_2 = vol[i - start];
}
else if (month == "11" && period == period1)
{
volList[i].M11_1 = vol[i - start];
}
else if (month == "11" && period == period2)
{
volList[i].M11_2 = vol[i - start];
}
else if (month == "12" && period == period1)
{
volList[i].M12_1 = vol[i - start];
}
else if (month == "12" && period == period2)
{
volList[i].M12_2 = vol[i - start];
}
}
}
public T Set <T>(string cacheKey, T cacheObject, Volatility volatility) where T : class
{
return(cacheRepository.Set <T>(cacheKey, cacheObject, GetDuration(volatility)));
}
public Volatility Randomrize(Volatility volatility)
{
_calledTimes++;
return(volatility);
}
public WholeDice(double min, double max, Volatility volatility)
: base(min,max,volatility)
{
}
