Initial Commit

MarketData/MarketDataLib/MarketDataModel/Statistic.cs

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+//using System;
+//using System.Collections;
+//using System.Collections.Generic;
+//using System.Text;
+//using MarketData.Numerical;
+
+//namespace MarketData.MarketDataModel
+//{
+//  public class Statistic
+//  {
+//    private double meanReturn;
+//    private double volatility;
+//    private double meanPrice;
+//    private double beta;
+
+//    public Statistic()
+//    {
+//    }
+//    public double MeanReturn
+//    {
+//      get { return meanReturn; }
+//      set { meanReturn = value; }
+//    }
+//    public double Volatility
+//    {
+//      get { return volatility; }
+//      set { volatility = value; }
+//    }
+//    public double MeanPrice
+//    {
+//      get { return meanPrice; }
+//      set { meanPrice = value; }
+//    }
+//    public double Beta
+//    {
+//      get { return beta; }
+//      set { beta = value; }
+//    }
+//    public static Statistic GetStatistic(Prices prices, Prices benchmarkPrices)
+//    {
+//      try
+//      {
+//        Statistic statistic = new Statistic();
+//        if (0 == prices.Count || 0 == benchmarkPrices.Count) return null;
+//        float[] returns = prices.GetReturns();
+//        float[] pricesArray = prices.GetPrices();
+//        float[] benchmarkPricesArray = benchmarkPrices.GetPrices();
+//        statistic.MeanReturn = Numerics.Mean(ref returns);
+//        statistic.Volatility = Numerics.Volatility(ref returns);
+//        statistic.MeanPrice = Numerics.Mean(ref pricesArray);
+//        statistic.Beta = Numerics.Beta(ref pricesArray, ref benchmarkPricesArray);
+//        return statistic;
+//      }
+//      catch (Exception exception)
+//      {
+//        MDTrace.WriteLine(LogLevel.DEBUG, exception.ToString());
+//        return null;
+//      }
+//    }
+
+//    public static String Header
+//    {
+//       get { return "AverageReturn,Volatility,MeanPrice,Beta"; }
+//    }
+//    public override String ToString()
+//    {
+//      StringBuilder sb = new StringBuilder();
+//      sb.Append(String.Format("{0:0.00000}", MeanReturn)).Append(",");
+//      sb.Append(String.Format("{0:0.00000}", Volatility)).Append(",");
+//      sb.Append(String.Format("{0:0.00000}", MeanPrice)).Append(",");
+//      sb.Append(String.Format("{0:0.00000}", Beta)); ;
+//      return sb.ToString();
+//    }
+//  }
+//}