private void GetCorrelation()
{
try
{
if (navByDate == null)
{
return;
}
navByDate = navByDate.OrderBy(x => x.Key.Year).ThenBy(x => x.Key.Month).ThenBy(x => x.Key.Day).
ToDictionary(x => x.Key, x => x.Value);
var sensexReturn = Sensex.GetCloseByDate();
List <Tuple <double, double> > pairForCorrelation = new List <Tuple <double, double> >();
StringBuilder sb = new StringBuilder();
foreach (var date in navByDate.Keys)
{
bool found = false;
var preDate = this.FindPreviousDate(date, sensexReturn.Keys.ToList(), out found);
if (!found)
{
continue;
}
if (!sensexReturn.ContainsKey(preDate))
{
continue;
}
pairForCorrelation.Add(Tuple.Create(navByDate[date], sensexReturn[preDate]));
sb.AppendFormat("{0}\t{1}\t{2}\n", date, navByDate[date], sensexReturn[preDate]);
}
//this.Correlation = Sensex.Correlation(pairForCorrelation.Select(p => p.Item1).ToArray(), pairForCorrelation.Select(p => p.Item2).ToArray());
}
catch
{
}
}
private static double GetCorrelation(Dictionary <DateTime, double> r1, Dictionary <DateTime, double> r2)
{
List <double> retList1 = new List <double>();
List <double> retList2 = new List <double>();
bool updated = false;
foreach (var date in r1.Keys)
{
if (!r2.ContainsKey(date))
{
continue;
}
retList1.Add(r1[date]);
retList2.Add(r2[date]);
if (retList1.Count != retList2.Count)
{
}
updated = true;
}
if (!updated)
{
return(0);
}
return(Sensex.Correlation(retList1.ToArray(), retList2.ToArray()));
}
private double SensexReturn(out double standardDeviation)
{
try
{
List <DateTime> dates = new List <DateTime>(investmnetByDate.Keys);
var returns = Sensex.GetReturnByDate(dates, true);
int days = (Sensex.lastRecord.Item1 - Sensex.firstRecord.Item1).Days;
double ret = Sensex.lastRecord.Item2 / Sensex.firstRecord.Item2;
//ret = (Math.Pow(ret, (double) (1.0 / days)) - 1)*(365.0/days);
ret = Math.Pow(ret, 365.0 / days) - 1;
standardDeviation = this.GetStandardDeviation(returns.Values.Select(r => r).ToList());
//standardDeviation /= 100;
return(ret * 100);
}
catch
{
Console.WriteLine("Error in fetching/reading sensex data!");
}
finally
{
standardDeviation = 0;
}
return(0);
}
