private void RollingReturnTest()
{
var ctx = new RepGenDataContext();
ReturnCalculation calc = new ReturnCalculation();
// calculate prices
//ctx.ModelReturn("CO");
var data = ctx.ModelReturn("CO", "HNW");
var prices = from d in data
select new ReturnData {
Value = calc.Price(d),
Date = d.Date
};
var p1 = prices.ToList();
p1.Insert(0, new ReturnData() { Value = 100D });
var p2 = p1.Skip(12 * 3);
var p3 = new List<ReturnData>();
int i = 0;
foreach (var item in p2) {
var rd = new ReturnData {
Value = calc.RollingReturn(item, p1.ElementAt(i++)),
Date = item.Date
};
p3.Add(rd);
}
foreach (var item in p3) {
Console.WriteLine("{0}\t{1}", item.Date, item.Value);
}
}
private List<ReturnData> calulateRollingReturn(List<ReturnData> data, int years)
{
ReturnCalculation calc = new ReturnCalculation();
var prices = from d in data
select new ReturnData
{
Value = calc.Price(d),
Date = d.Date
};
// create the 'From' list, starting with index value of 100
var from = prices.ToList();
from.Insert(0, new ReturnData() { Value = 100D });
// create the 'To' list, starting with a years * 12 offset
var to = from.Skip(12 * years);
// new list for return values
var rv = new List<ReturnData>();
int i = 0;
foreach (var item in to) {
var rd = new ReturnData
{
Value = calc.RollingReturn(item, from.ElementAt(i++), years),
Date = item.Date
};
rv.Add(rd);
}
return rv;
}
