Initial Commit

2025-03-25 21:42:32 -04:00
parent c266eecfeb
commit 30c33d3cfd
247 changed files with 60107 additions and 0 deletions
--- a/MarketData/MarketDataLib/MarketDataModel/BetaModel.cs
+++ b/MarketData/MarketDataLib/MarketDataModel/BetaModel.cs
@@ -0,0 +1,88 @@
+using System;
+using System.Text;
+using System.Linq;
+using MarketData.Utils;
+using System.Collections.Generic;
+using MarketData.ValueAtRisk;
+using MarketData.Numerical;
+
+namespace MarketData.MarketDataModel
+{
+  public class PortfolioHoldingsWithBeta : List<PortfolioHoldingWithBeta>
+  {
+    private PortfolioHoldingsWithBeta()
+    {
+    }
+// Copy Constructor
+    public PortfolioHoldingsWithBeta(List<PortfolioHoldingWithBeta> portfolioHoldingsWithBeta)
+    {
+      PortfolioBeta = 0.00;
+      if (null == portfolioHoldingsWithBeta) return;
+      foreach (PortfolioHoldingWithBeta portfolioHoldingWithBeta in portfolioHoldingsWithBeta) Add(portfolioHoldingWithBeta);
+      foreach (PortfolioHoldingWithBeta portfolioHoldingWithBeta in this) PortfolioBeta += portfolioHoldingWithBeta.WeightedBeta;
+    }
+    public PortfolioHoldingsWithBeta(PortfolioHoldings portfolioHoldings,DateTime analysisDate)
+    {
+      PortfolioBeta = 0.00;
+      if (null == portfolioHoldings) return;
+      foreach (PortfolioHolding portfolioHolding in portfolioHoldings) Add(new PortfolioHoldingWithBeta(portfolioHolding, analysisDate));
+      foreach (PortfolioHoldingWithBeta portfolioHoldingWithBeta in this) PortfolioBeta += portfolioHoldingWithBeta.WeightedBeta;
+      foreach (PortfolioHoldingWithBeta portfolioHoldingWithBeta in this) portfolioHoldingWithBeta.BetaContribution = portfolioHoldingWithBeta.WeightedBeta / PortfolioBeta;
+    }
+    public PortfolioHoldingsWithBeta(PortfolioTrades portfolioTrades, DateTime analysisDate)
+    {
+      PortfolioBeta = 0.00;
+      double totalExposure = 0.00;
+      if (null == portfolioTrades) return;
+      List<MarketDataModel.Position> positions = portfolioTrades.GetPositions(analysisDate);
+      foreach (MarketDataModel.Position position in positions) Add(new PortfolioHoldingWithBeta(position, analysisDate));
+      foreach (PortfolioHoldingWithBeta portfolioHoldingWithBeta in this) totalExposure += portfolioHoldingWithBeta.Exposure;
+      foreach (PortfolioHoldingWithBeta portfolioHoldingWithBeta in this)
+      {
+        portfolioHoldingWithBeta.WeightExp = portfolioHoldingWithBeta.Exposure / totalExposure;
+        portfolioHoldingWithBeta.WeightedBeta = portfolioHoldingWithBeta.WeightExp * portfolioHoldingWithBeta.Beta;
+      }
+      foreach (PortfolioHoldingWithBeta portfolioHoldingWithBeta in this) PortfolioBeta += portfolioHoldingWithBeta.WeightedBeta;
+      foreach (PortfolioHoldingWithBeta portfolioHoldingWithBeta in this) portfolioHoldingWithBeta.BetaContribution = portfolioHoldingWithBeta.WeightedBeta / PortfolioBeta;
+    }
+    public double PortfolioBeta { get; private set; }
+    public double Exposure
+    {
+      get
+      {
+        return (from PortfolioHoldingWithBeta portfolioHoldingWithBeta in this select portfolioHoldingWithBeta.Exposure).Sum();
+      }
+    }
+  }
+  public class PortfolioHoldingWithBeta
+  {
+    private PortfolioHoldingWithBeta()
+    {
+    }
+    // Assumes that the portfolioTrade is an open trade
+//    public PortfolioHoldingWithBeta(MarketDataModel.Position position, DateTime? analysisDate = null)
+    public PortfolioHoldingWithBeta(MarketDataModel.Position position, DateTime analysisDate)
+    {
+      Symbol = position.Symbol;
+      Exposure = position.Exposure;
+      //if (null == analysisDate) analysisDate = DateTime.Now;
+      Beta = BetaGenerator.Beta(position.Symbol, analysisDate);
+    }
+//    public PortfolioHoldingWithBeta(PortfolioHolding portfolioHolding, DateTime? analysisDate = null)
+    public PortfolioHoldingWithBeta(PortfolioHolding portfolioHolding, DateTime analysisDate)
+    {
+      //if (null == analysisDate) analysisDate = DateTime.Now;
+      Symbol = portfolioHolding.Symbol;
+      Exposure = portfolioHolding.Exposure;
+      WeightExp = portfolioHolding.WeightExp;
+      Beta = BetaGenerator.Beta(portfolioHolding.Symbol, analysisDate);
+      WeightedBeta = portfolioHolding.WeightExp * Beta;
+    }
+    public String Symbol { get; set; }
+    public double Exposure { get; set; }
+    public double Beta { get; private set; }
+    public double WeightExp { get; set; }
+    public double WeightedBeta { get; set; }
+    public double BetaContribution { get; set; }
+  }
+}