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/ModelPerformance.cs
+++ b/MarketData/MarketDataLib/MarketDataModel/ModelPerformance.cs
@@ -0,0 +1,83 @@
+using System;
+using System.Text;
+using MarketData.Utils;
+using System.Collections.Generic;
+
+namespace MarketData.MarketDataModel
+{
+  public class ModelPerformanceSeries : List<ModelPerformanceItem>
+  {
+    public ModelPerformanceSeries()
+    {
+    }
+    public ModelPerformanceSeries(List<ModelPerformanceItem> modelPerformanceItemList)
+    {
+      foreach(ModelPerformanceItem modelPerformanceItem in modelPerformanceItemList) Add(modelPerformanceItem);
+    }
+    public void CalculatePerformance()
+    {
+      for(int index=0;index<this.Count;index++)
+      {
+        ModelPerformanceItem currentModelPerformanceItem=this[index];
+        ModelPerformanceItem prevModelPerformanceItem=0==index?null:this[index-1];
+        if(null==prevModelPerformanceItem)
+        {
+          currentModelPerformanceItem.CumulativeGainLoss=currentModelPerformanceItem.GainLossDOD;
+          if(0==currentModelPerformanceItem.Exposure)currentModelPerformanceItem.R=0;
+          else currentModelPerformanceItem.R=(currentModelPerformanceItem.MarketValue-currentModelPerformanceItem.Exposure)/currentModelPerformanceItem.Exposure;
+          currentModelPerformanceItem.OnePlusR=1.00+currentModelPerformanceItem.R;
+          currentModelPerformanceItem.CumProd=currentModelPerformanceItem.OnePlusR;
+          currentModelPerformanceItem.CumProdMinusOne=currentModelPerformanceItem.CumProd-1.00;
+        }
+        else
+        {
+          currentModelPerformanceItem.CumulativeGainLoss=currentModelPerformanceItem.GainLossDOD+prevModelPerformanceItem.CumulativeGainLoss;
+          if(0==currentModelPerformanceItem.Exposure)currentModelPerformanceItem.R=0;
+          else currentModelPerformanceItem.R=prevModelPerformanceItem.Exposure.Equals(currentModelPerformanceItem.Exposure)?(currentModelPerformanceItem.MarketValue-prevModelPerformanceItem.MarketValue)/prevModelPerformanceItem.MarketValue:0;
+          currentModelPerformanceItem.OnePlusR=1.00+currentModelPerformanceItem.R;
+          currentModelPerformanceItem.CumProd=currentModelPerformanceItem.OnePlusR*prevModelPerformanceItem.CumProd;
+          currentModelPerformanceItem.CumProdMinusOne=currentModelPerformanceItem.CumProd-1.00;
+        }
+      }
+    }
+  }
+  public class ModelPerformanceItem
+  {
+    public DateTime Date { get; set; }
+    public double Exposure { get; set; }           // This is the exposure on a given day.
+    public double MarketValue { get; set; }        // This is the MarketValue on a given day
+    public double GainLossDOD { get; set; }        // This is the gain loss change from day to day
+    public double GainLoss { get; set; }           // This is the gain loss on the given day
+    public double CumulativeGainLoss{get;set;}     // This is the cumulative gain loss.  The last item in the series contains the cumulative amount gained or lost.
+    public double R{get;set;}                      // This is the period Return.  (MV[n]-MV[n-1])/MV[n-1]
+    public double OnePlusR{get;set;}               // (R+1)
+    public double CumProd{get;set;}                // (R+1)*(R+1).....
+    public double CumProdMinusOne{get;set;}        // subtract 1 from CumProd to get a decimal return.  Each item in the series represents a cumulative return for that date.  The final element contains the cumulative return for the entire series
+    public bool ClosedPositions{get;set;}          // inidcates if any positions closed on this date
+    public ModelPerformanceItem()
+    {
+    }
+    public static String Header()
+    {
+      StringBuilder sb=new StringBuilder();
+      sb.Append("Date,Exposure,MarketValue,GainLossDOD,GainLoss,CumulativeGainLoss,R,OnePlusR,CumProd,CumProdMinusOne,ClosedPositions");
+      return sb.ToString();
+    }
+    public override String ToString()
+    {
+      StringBuilder sb=new StringBuilder();
+      sb.Append(Utility.AddQuotes(Utility.DateTimeToStringMMSDDSYYYY(Date))).Append(",");
+      sb.Append(Utility.AddQuotes(Utility.FormatCurrency(Exposure))).Append(",");
+      sb.Append(Utility.AddQuotes(Utility.FormatCurrency(MarketValue))).Append(",");
+      sb.Append(Utility.AddQuotes(Utility.FormatCurrency(GainLossDOD))).Append(",");
+      sb.Append(Utility.AddQuotes(Utility.FormatCurrency(GainLoss))).Append(",");
+      sb.Append(Utility.AddQuotes(Utility.FormatCurrency(CumulativeGainLoss))).Append(",");
+      sb.Append(Utility.AddQuotes(Utility.FormatPercent(R,2))).Append(",");
+      sb.Append(Utility.AddQuotes(Utility.FormatNumber(OnePlusR,2))).Append(",");
+      sb.Append(Utility.AddQuotes(Utility.FormatNumber(CumProd,2))).Append(",");
+      sb.Append(Utility.AddQuotes(Utility.FormatPercent(CumProdMinusOne,3))).Append(",");
+      sb.Append(Utility.AddQuotes(ClosedPositions.ToString()));
+      return sb.ToString();
+    }
+  }
+}