public void FillOutputs(EachDynamicPropSim parent, DateTime cur, Boolean bFirstRow)
{
Trace.Assert(parent.Incs.ContainsKey(cur));
double curInc = parent.Incs[cur];
DateTime prev = cur.AddDays(-1);
double pnl = 0;
double prevCumPnl = 0;
if (!bFirstRow)
{
Trace.Assert(parent.Investments.ContainsKey(prev));
Trace.Assert(parent.CumPnls.ContainsKey(prev));
double prevInvestment = parent.Investments[prev];
prevCumPnl = parent.CumPnls[prev];
pnl = prevInvestment * curInc;
}
double curCumPnl = prevCumPnl + pnl;
double investment = _investment;
parent.Pnls.Add(cur, pnl);
parent.CumPnls.Add(cur, curCumPnl);
parent.Investments.Add(cur, investment);
}
public void Execute(SortedList<DateTime, double> marketData)
{
List<Tuple<DateTime, DateTime>> simDateList = GetSimDateList(this._from, this._until, _startGapMonth, _durationMonth);
_marketData = marketData;
//_marketData = MarketDataManager.Ins().Get_PX_LAST_Data(
// this._ticker, this._currency);
if (_marketData.Count == 0)
{
logger.Error("Fatal error");
return;
}
foreach (Tuple<DateTime, DateTime> eachSimDate in simDateList)
{
// each simulation을 진행할 클래스를 만들어서 진행하고 결과를 받도록 한다.
EachDynamicPropSim eachSim = new EachDynamicPropSim(
this.Key, this._ticker, eachSimDate, _marketData, this._lossCutEach,
this._leverageEach, this._maxInvestmentEach, _policy);
eachSim.ExecuteSim();
EachSims.Add(eachSim);
}
SetStatisticData();
}
double GetInvestment(double cumPnl, EachDynamicPropSim parent)
{
return Math.Min((cumPnl - parent.LossCut) * parent.Leverage, parent.MaxInvestment);
}