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This commit is contained in:
Sean Kessler
2024-03-22 21:21:34 -04:00
parent c799cf9e6c
commit 3b84f4fe37
139 changed files with 89 additions and 101078 deletions
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6
MarketDataLib/MarketDataModel/ModelPerformance.cs
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@@ -23,7 +23,8 @@ namespace MarketData.MarketDataModel
if(null==prevModelPerformanceItem)
{
currentModelPerformanceItem.CumulativeGainLoss=currentModelPerformanceItem.GainLossDOD;
currentModelPerformanceItem.R=(currentModelPerformanceItem.MarketValue-currentModelPerformanceItem.Exposure)/currentModelPerformanceItem.Exposure;
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;
@@ -31,7 +32,8 @@ namespace MarketData.MarketDataModel
else
{
currentModelPerformanceItem.CumulativeGainLoss=currentModelPerformanceItem.GainLossDOD+prevModelPerformanceItem.CumulativeGainLoss;
currentModelPerformanceItem.R=prevModelPerformanceItem.Exposure.Equals(currentModelPerformanceItem.Exposure)?(currentModelPerformanceItem.MarketValue-prevModelPerformanceItem.MarketValue)/prevModelPerformanceItem.MarketValue:0;
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;