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Sean Kessler
2024-02-22 14:52:53 -05:00
parent 72c94666c5
commit 29b417e3f7
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MarketDataLib/MarketDataModel/SharpeRatioModel.cs Normal file
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using MarketData.Numerical;
using MarketData.ValueAtRisk;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace MarketData.MarketDataModel
{
public class PortfolioHoldingsWithSharpeRatio : List<PortfolioHoldingWithSharpeRatio>
{
private PortfolioHoldingsWithSharpeRatio()
{
}
public PortfolioHoldingsWithSharpeRatio(List<PortfolioHoldingWithSharpeRatio> portfolioHoldingsWithSharpeRatio)
{
TotalSharpeRatio = 0.00;
if (null == portfolioHoldingsWithSharpeRatio) return;
foreach (PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in portfolioHoldingsWithSharpeRatio) Add(portfolioHoldingWithSharpeRatio);
Exposure = (from PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this select portfolioHoldingWithSharpeRatio.Exposure).Sum();
TotalSharpeRatio = (from PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this select portfolioHoldingWithSharpeRatio.WeightAdjustedSharpeRatio).Sum();
}
public PortfolioHoldingsWithSharpeRatio(PortfolioHoldings portfolioHoldings,DateTime analysisDate)
{
TotalSharpeRatio = 0.00;
if (null == portfolioHoldings) return;
foreach (PortfolioHolding portfolioHolding in portfolioHoldings) Add(new PortfolioHoldingWithSharpeRatio(portfolioHolding));
Exposure = (from PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this select portfolioHoldingWithSharpeRatio.Exposure).Sum();
foreach (PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this)
{
SharpeRatioGenerator.GenerateSharpeRatio(portfolioHoldingWithSharpeRatio, analysisDate, 12);
}
foreach (PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this)
{
portfolioHoldingWithSharpeRatio.WeightExp = portfolioHoldingWithSharpeRatio.Exposure / Exposure;
portfolioHoldingWithSharpeRatio.WeightAdjustedSharpeRatio = portfolioHoldingWithSharpeRatio.WeightExp * portfolioHoldingWithSharpeRatio.SharpeRatio;
}
TotalSharpeRatio = (from PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this select portfolioHoldingWithSharpeRatio.WeightAdjustedSharpeRatio).Sum();
foreach (PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this)
{
portfolioHoldingWithSharpeRatio.SharpeRatioContribution = portfolioHoldingWithSharpeRatio.WeightAdjustedSharpeRatio / TotalSharpeRatio;
}
}
//public PortfolioHoldingsWithSharpeRatio(PortfolioTrades portfolioTrades, DateTime? analysisDate = null)
//{
// TotalSharpeRatio = 0.00;
// if (null == analysisDate) analysisDate = DateTime.Now;
// List<MarketDataModel.Position> positions = portfolioTrades.GetPositions(analysisDate.Value);
// foreach (MarketDataModel.Position position in positions) Add(new PortfolioHoldingWithSharpeRatio(position));
// Exposure = (from PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this select portfolioHoldingWithSharpeRatio.Exposure).Sum();
// foreach (PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this)
// {
// SharpeRatioGenerator.GenerateSharpeRatio(portfolioHoldingWithSharpeRatio, analysisDate.Value, 12);
// }
// foreach (PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this)
// {
// portfolioHoldingWithSharpeRatio.WeightExp = portfolioHoldingWithSharpeRatio.Exposure / Exposure;
// portfolioHoldingWithSharpeRatio.WeightAdjustedSharpeRatio = portfolioHoldingWithSharpeRatio.WeightExp * portfolioHoldingWithSharpeRatio.SharpeRatio;
// }
// TotalSharpeRatio = (from PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this select portfolioHoldingWithSharpeRatio.WeightAdjustedSharpeRatio).Sum();
// foreach (PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio in this)
// {
// portfolioHoldingWithSharpeRatio.SharpeRatioContribution = portfolioHoldingWithSharpeRatio.WeightAdjustedSharpeRatio / TotalSharpeRatio;
// }
//}
public double TotalSharpeRatio { get; set; } // This is the total Sharpe Ration for all positions
public double Exposure { get; set; }
}
public class PortfolioHoldingWithSharpeRatio
{
private PortfolioHoldingWithSharpeRatio()
{
}
public PortfolioHoldingWithSharpeRatio(MarketDataModel.Position position)
{
Symbol = position.Symbol;
Exposure = position.Exposure;
}
public PortfolioHoldingWithSharpeRatio(PortfolioHolding portfolioHolding)
{
Symbol = portfolioHolding.Symbol;
Exposure = portfolioHolding.Exposure;
}
public String Symbol { get; set; }
public double Exposure { get; set; }
public double WeightExp { get; set; }
public double AverageReturn { get; set; }
public double RiskPremium { get; set; }
public double Volatility { get; set; }
public double SharpeRatio { get; set; }
public double WeightAdjustedSharpeRatio { get; set; }
public double SharpeRatioContribution { get; set; }
}
}