public CovarianceItem GetCovariance(DateTime markDate_, bool forceRefresh_ = false)
{
// for speed, hard-code to to where we know cov data currently starts
if (markDate_.Year < 2001) return null;
if (!forceRefresh_ && _dict.ContainsKey(markDate_))
return _dict[markDate_];
string fileName = getFileName(markDate_);
if (!forceRefresh_)
{
var cached = Singleton<DiscCache>.Instance.Read<CovarianceItem>(fileName,true);
if (cached != null)
{
_dict[markDate_] = cached;
return cached;
}
}
try
{
var ds = Singleton<ConnMngr>.Instance.Execute(DBNames.SQLSERVER_DBAGHLA_HK, getSql(markDate_));
if (ConnMngr.HasResult(ds))
{
var ccys = Singleton<ComIDs>.Instance.ToArray();
var arr = new double[ccys.Length, ccys.Length];
foreach (DataRow row in ds.Tables[0].Rows)
{
int id1 = Convert.ToInt32(row["ID1"]);
int id2 = Convert.ToInt32(row["ID2"]);
double value = Convert.ToDouble(row["cov"]);
arr[id1 - 1, id2 - 1] = value;
arr[id2 - 1, id1 - 1] = value;
}
var covItem = new CovarianceItem(arr, new List<int>(ccys.Select(x => x.ID)));
_dict[markDate_] = covItem;
Singleton<DiscCache>.Instance.Write(fileName, covItem);
return covItem;
}
}
catch (Exception ex_)
{
this.LogError(string.Format("Error getting Covariance. ({0})", ex_.Message));
}
return null;
}
public CovarianceItem GetCovariance(DateTime markDate_, bool forceRefresh_=false)
{
var key = getKey(markDate_);
if (!forceRefresh_ && _dict.ContainsKey(key))
return _dict[key];
if (!forceRefresh_)
{
var cached = Singleton<DiscCache>.Instance.Read<CovarianceItem>(key.DiskFileName,"covariances",true);
if (cached != null)
{
_dict[key] = cached;
return cached;
}
}
try
{
var ds = Singleton<ConnMngr>.Instance.Execute(DBNames.SQLSERVER_DBAGHLA_HK, key.SQL);
if (ConnMngr.HasResult(ds))
{
var ccys = Singleton<FXIDs>.Instance.ToArray();
var arr = new double[ccys.Length, ccys.Length];
foreach (DataRow row in ds.Tables[0].Rows)
{
int id1 = Convert.ToInt32(row["ID1"]);
int id2 = Convert.ToInt32(row["ID2"]);
double value = Convert.ToDouble(row["cov"]);
arr[id1 - 1, id2 - 1] = value;
arr[id2 - 1, id1 - 1] = value;
}
var covItem = new CovarianceItem(arr, new List<int>(ccys.Select(x => x.ID)));
_dict[key] = covItem;
Singleton<DiscCache>.Instance.Write(key.DiskFileName, "covariances", covItem);
return covItem;
}
}
catch(Exception ex_)
{
this.LogError(string.Format("Error getting Covariance. ({0})", ex_.Message));
}
return null;
}
internal void Create(string stratName_, string[] columnHeadings_, double[] wts_, CovarianceItem cov_)
{
lblWtsHeading.Text = string.Format("Weights for '{0}'", stratName_);
if (columnHeadings_ == null || wts_ == null)
{
Logger.Warn("WtsContVar.Create called without any weights - won't display anything", typeof(WtsContToVar));
return;
}
simpleWtsColumnChart1.Create(columnHeadings_, wts_);
if (cov_ == null)
{
Logger.Warn("WtsContVar.Create called without a covariance - won't be able to display risk parts of analysis", typeof(WtsContToVar));
return;
}
simpleWtsColumnChart2.Create(columnHeadings_, cov_.GetContToVar(wts_));
lblTargetVol.Text = string.Format("TargetVol={0}", cov_.GetVol(wts_).ToString("##0.0#%"));
}
public static CovarianceItem SquashIntoUsedCells(CovarianceItem item_)
{
List<int> cellsWithValue = new List<int>();
for (int i = 0; i < item_.ComponentIds.Count; ++i)
{
int index = item_.ComponentIds[i] - 1;
if (item_.Data[0, index] == 0.0 || double.IsNaN(item_.Data[0, index]))
continue;
cellsWithValue.Add(item_.ComponentIds[i]);
}
double[,] grid = new double[cellsWithValue.Count, cellsWithValue.Count];
for (int i = 0; i < cellsWithValue.Count; ++i)
{
int iIndex = cellsWithValue[i] - 1;
for (int j = i; j < cellsWithValue.Count; ++j)
{
int jIndex = cellsWithValue[j] - 1;
grid[i, j] = grid[j, i] = item_.Data[iIndex, jIndex];
}
}
return new CovarianceItem(grid, cellsWithValue);
}