75 lines
2.2 KiB
C#
75 lines
2.2 KiB
C#
//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();
|
|
// }
|
|
// }
|
|
//} |