public AssetWeightLog Execute(long caseNumber)
{
DateTime curDate = this.Input.StartDate;
AssetWeightLog log = new AssetWeightLog();
_opSet.SetOpFlag(caseNumber);
this._adjustment.Clear();
while (curDate <= this.Input.EndDate)
{
if (this._readyData.IsExistDate(curDate))
{
AssetWeight aw = this._allocBase.CalculateAssetWeight(curDate, this._readyData);
AssetAdjustment aa = this._adjustment.CalculateAssetWeight(_opSet, curDate, _readyData);
aw.Multiply(aa);
aw.SetScale();
log.Add(curDate, aw);
}
curDate = curDate.AddDays(1);
}
return log;
}
public AssetWeightLog Execute(long caseNumber)
{
IAllocBase allocBase = this._allocBases[(int)caseNumber];
DateTime curDate = this.Input.StartDate;
AssetWeightLog log = new AssetWeightLog();
_curKey = String.Format("SAO({0})", allocBase.GetKey());
while (curDate <= this.Input.EndDate)
{
if (this._readyData.IsExistDate(curDate))
{
AssetWeight aw = allocBase.CalculateAssetWeight(curDate, this._readyData);
AssetAdjustment aa = new AssetAdjustment(1, 1, 1);
aw.Multiply(aa);
aw.SetScale();
log.Add(curDate, aw);
}
curDate = curDate.AddDays(1);
}
return log;
}
public AssetWeightLog Execute(long caseNumber)
{
DateTime curDate = this.Input.StartDate;
AssetWeightLog log = new AssetWeightLog();
IAdjustment adj = this._adjs[(int)caseNumber];
log.ExperimentKey = _descriptions[(int)caseNumber];
while (curDate <= this.Input.EndDate)
{
if (this._readyData.IsExistDate(curDate))
{
AssetWeight aw = this._allocBase.CalculateAssetWeight(curDate, this._readyData);
AssetAdjustment aa = adj.CalculateAssetWeight(null, curDate, _readyData);
aw.Multiply(aa);
aw.SetScale();
log.Add(curDate, aw);
}
curDate = curDate.AddDays(1);
}
return log;
}
public ProfitAndLossResult GetResult(AssetWeightLog log)
{
ProfitAndLossResult result = new ProfitAndLossResult(_opSet.GetKey(), this.Input.InitInvestAmount);
result.CalculatePnL(log, _readyData);
result.AvgPnLPerYear = MathUtil.GetAvgPnLPerYear(result);
result.PPM = MathUtil.GetYearPnLPerMDD(result);
return result;
}
public void CalculatePnL(AssetWeightLog 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))
{
AssetWeight 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;
}