?? commfuns.cpp
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// strings.cpp : implementation file
//
// This is a part of the Microsoft Foundation Classes C++ library.
// Copyright (C) 1992-1997 Microsoft Corporation
// All rights reserved.
//
// This source code is only intended as a supplement to the
// Microsoft Foundation Classes Reference and related
// electronic documentation provided with the library.
// See these sources for detailed information regarding the
// Microsoft Foundation Classes product.
#include "StdAfx.h"
#include "CommFuns.h"
#include "math.h"
BOOL CalculateYieldYear( CKData & kday, double * paverage, double * pstddev, long ldays, int nDayCurrent )
{
if( -1 != nDayCurrent && nDayCurrent >= kday.GetSize() )
return FALSE;
int nDayCount = 0;
double yieldSum = 0., yieldSquareSum = 0.;
if( -1 == nDayCurrent )
nDayCurrent = kday.GetSize()-1;
int nDayEnd = ( -1 == ldays ? 0 : nDayCurrent-ldays );
if( nDayEnd - STKLIB_DAYS_INONEYEAR < 0 )
return FALSE;
for( int nDay = nDayCurrent; nDay >= nDayEnd; nDay -- )
{
int nDayLast = nDay - STKLIB_DAYS_INONEYEAR;
if( nDayLast < 0 )
break;
if( kday.MaindataAt(nDayLast) > 1e-4 )
{
nDayCount ++;
double yieldNow = (double( kday.MaindataAt(nDay) - kday.MaindataAt(nDayLast) )) / kday.MaindataAt(nDayLast);
yieldSum += yieldNow;
yieldSquareSum += yieldNow*yieldNow;
}
}
if( nDayCount > 0 &&
nDayCount >= (-1 == ldays ? STKLIB_DAYS_INONEYEAR : ldays-STKLIB_DAYS_INONEYEAR) )
{
double average = yieldSum / nDayCount;
if( kday.MaindataAt(nDayEnd) > 1e-4 ) // HERE!!!, reset average directly!!!
{
average = (double)kday.MaindataAt(nDayCurrent) / kday.MaindataAt(nDayEnd);
double dYearCount = ((double)nDayCount) / STKLIB_DAYS_INONEYEAR;
average = pow( (double)10, (double)log10(fabs(average))/dYearCount ) - 1;
}
if( paverage )
*paverage = average;
if( pstddev )
{
*pstddev = yieldSquareSum / nDayCount - ((yieldSum / nDayCount)*(yieldSum / nDayCount));
if( *pstddev > 0 )
*pstddev = sqrt( *pstddev );
}
return TRUE;
}
return FALSE;
}
BOOL CalculateYieldDay( CKData & kday, double * paverage, double * pstddev, long ldays, int nDayCurrent )
{
if( -1 != nDayCurrent && nDayCurrent >= kday.GetSize() )
return FALSE;
int nDayCount = 0;
double yieldSum = 0., yieldSquareSum = 0.;
if( -1 == nDayCurrent )
nDayCurrent = kday.GetSize()-1;
int nDayEnd = ( -1 == ldays ? 0 : nDayCurrent-ldays );
if( nDayEnd - 1 < 0 )
return FALSE;
for( int nDay = nDayCurrent; nDay >= nDayEnd; nDay -- )
{
int nDayLast = nDay - 1;
if( nDayLast < 0 )
break;
if( kday.MaindataAt(nDayLast) > 1e-4 )
{
nDayCount ++;
double yieldNow = (double( kday.MaindataAt(nDay) - kday.MaindataAt(nDayLast) )) / kday.MaindataAt(nDayLast);
yieldSum += yieldNow;
yieldSquareSum += yieldNow*yieldNow;
}
}
if( nDayCount > 0 &&
nDayCount >= (-1 == ldays ? STKLIB_DAYS_INONEYEAR : ldays) )
{
double average = yieldSum / nDayCount;
if( kday.MaindataAt(nDayEnd) > 1e-4 ) // HERE!!!, reset average directly!!!
{
average = (double)kday.MaindataAt(nDayCurrent) / kday.MaindataAt(nDayEnd);
average = pow( (double)10, (double)log10(fabs(average))/nDayCount ) - 1;
}
if( paverage )
*paverage = average;
if( pstddev )
{
*pstddev = yieldSquareSum / nDayCount - ((yieldSum / nDayCount)*(yieldSum / nDayCount));
if( *pstddev > 0 )
*pstddev = sqrt( *pstddev );
}
return TRUE;
}
return FALSE;
}
BOOL CalculateBeiteYear( CKData & kday, CKData &kdayMain,
double market_yield_average, double market_yield_d,
double * pbeite, long ldays, int nDayCurrent )
{
if( -1 != nDayCurrent && nDayCurrent >= kday.GetSize() )
return FALSE;
if( kday.GetSize() == 0 || kdayMain.GetSize() == 0 )
return FALSE;
double yield_average = 0., yield_d = 0.;
if( !CalculateYieldYear( kday, &yield_average, &yield_d, ldays, nDayCurrent ) )
return FALSE;
int nDayCount = 0;
double sum = 0.;
// kday Index
if( -1 == nDayCurrent )
nDayCurrent = kday.GetSize()-1;
int nDayEnd = ( -1 == ldays ? 0 : nDayCurrent-ldays );
if( nDayEnd - STKLIB_DAYS_INONEYEAR < 0 )
return FALSE;
// kdayMain Index
int nDayCurrentMain = kdayMain.GetSize()-(kday.GetSize()-nDayCurrent);
if( nDayCurrentMain < 0 || nDayCurrentMain >= kdayMain.GetSize() )
return FALSE;
if( kday.ElementAt(nDayCurrent).m_date != kdayMain.ElementAt(nDayCurrentMain).m_date )
{
int k;
for( k=kdayMain.GetSize()-1; k>=0 ; k-- )
{
if( kday.ElementAt(nDayCurrent).m_date == kdayMain.ElementAt(k).m_date )
{
nDayCurrentMain = k;
break;
}
}
if( k < 0 )
return FALSE;
}
int nDayEndMain = ( -1 == ldays ? 0 : nDayCurrentMain-ldays );
if( nDayEndMain < 0 )
return FALSE;
// Begin Calculate
int nCountAdjust = 0;
for( int nDay = nDayCurrent; nDay >= nDayEnd ; nDay -- )
{
int nDayLast = nDay - STKLIB_DAYS_INONEYEAR;
int nDayMain = nDayCurrentMain-(nDayCurrent-nDay);
int nDayMainLast = nDayMain - STKLIB_DAYS_INONEYEAR;
if( nDayMainLast < 0 || nDayMain >= kdayMain.GetSize() || nDayLast < 0 || nDay >= kday.GetSize() )
break;
// SP_ASSERT( kday.ElementAt(nDay).m_date == kdayMain.ElementAt(nDayMain).m_date );
if( kday.ElementAt(nDay).m_date < kdayMain.ElementAt(nDayMain).m_date )
{
nCountAdjust ++;
if( nCountAdjust >= 5 )
break;
nDayCurrentMain --;
continue;
}
if( kday.ElementAt(nDay).m_date > kdayMain.ElementAt(nDayMain).m_date )
{
nCountAdjust ++;
if( nCountAdjust >= 5 )
break;
nDayCurrentMain ++;
continue;
}
if( kday.MaindataAt(nDayLast) > 1e-4 && kdayMain.MaindataAt(nDayMainLast) > 1e-4 )
{
nDayCount ++;
double yieldNow = (double( kday.MaindataAt(nDay) - kday.MaindataAt(nDayLast) )) / kday.MaindataAt(nDayLast);
double yieldNowMain= (double( kdayMain.MaindataAt(nDayMain) - kdayMain.MaindataAt(nDayMainLast) )) / kdayMain.MaindataAt(nDayMainLast);
sum += (yieldNow-yield_average) * (yieldNowMain-market_yield_average);
}
}
if( nDayCount > 0 &&
nDayCount+nCountAdjust >= (-1 == ldays ? STKLIB_DAYS_INONEYEAR : ldays-STKLIB_DAYS_INONEYEAR) )
{
if( pbeite )
*pbeite = ( sum / nDayCount) / (market_yield_d*market_yield_d);
return TRUE;
}
return FALSE;
}
BOOL CalculateBeiteDay( CKData & kday, CKData &kdayMain,
double market_yield_average, double market_yield_d,
double * pbeite, long ldays, int nDayCurrent )
{
if( -1 != nDayCurrent && nDayCurrent >= kday.GetSize() )
return FALSE;
if( kday.GetSize() == 0 || kdayMain.GetSize() == 0 )
return FALSE;
double yield_average = 0., yield_d = 0.;
if( !CalculateYieldDay( kday, &yield_average, &yield_d, ldays, nDayCurrent ) )
return FALSE;
int nDayCount = 0;
double sum = 0.;
// kday Index
if( -1 == nDayCurrent )
nDayCurrent = kday.GetSize()-1;
int nDayEnd = ( -1 == ldays ? 0 : nDayCurrent-ldays );
if( nDayEnd -1 < 0 )
return FALSE;
// kdayMain Index
int nDayCurrentMain = kdayMain.GetSize()-(kday.GetSize()-nDayCurrent);
if( nDayCurrentMain < 0 || nDayCurrentMain >= kdayMain.GetSize() )
return FALSE;
if( kday.ElementAt(nDayCurrent).m_date != kdayMain.ElementAt(nDayCurrentMain).m_date )
{
int k;
for( k=kdayMain.GetSize()-1; k>=0 ; k-- )
{
if( kday.ElementAt(nDayCurrent).m_date == kdayMain.ElementAt(k).m_date )
{
nDayCurrentMain = k;
break;
}
}
if( k < 0 )
return FALSE;
}
int nDayEndMain = ( -1 == ldays ? 0 : nDayCurrentMain-ldays );
if( nDayEndMain < 0 )
return FALSE;
// Begin Calculate
int nCountAdjust = 0;
for( int nDay = nDayCurrent; nDay >= nDayEnd; nDay -- )
{
int nDayLast = nDay - 1;
int nDayMain = nDayCurrentMain-(nDayCurrent-nDay);
int nDayMainLast = nDayMain-1;
if( nDayMainLast < 0 || nDayMain >= kdayMain.GetSize() || nDayLast < 0 || nDay >= kday.GetSize() )
break;
// SP_ASSERT( kday.ElementAt(nDay).m_date == kdayMain.ElementAt(nDayMain).m_date );
if( kday.ElementAt(nDay).m_date < kdayMain.ElementAt(nDayMain).m_date )
{
nCountAdjust ++;
if( nCountAdjust >= 5 )
break;
nDayCurrentMain --;
continue;
}
if( kday.ElementAt(nDay).m_date > kdayMain.ElementAt(nDayMain).m_date )
{
nCountAdjust ++;
if( nCountAdjust >= 5 )
break;
nDayCurrentMain ++;
continue;
}
if( kday.MaindataAt(nDayLast) > 1e-4 && kdayMain.MaindataAt(nDayMainLast) > 1e-4 )
{
nDayCount ++;
double yieldNow = (double( kday.MaindataAt(nDay) - kday.MaindataAt(nDayLast) )) / kday.MaindataAt(nDayLast);
double yieldNowMain= (double( kdayMain.MaindataAt(nDayMain) - kdayMain.MaindataAt(nDayMainLast) )) / kdayMain.MaindataAt(nDayMainLast);
sum += (yieldNow-yield_average) * (yieldNowMain-market_yield_average);
}
}
if( nDayCount > 0 &&
nDayCount+nCountAdjust >= (-1 == ldays ? STKLIB_DAYS_INONEYEAR : ldays) )
{
if( pbeite )
*pbeite = ( sum / nDayCount) / (market_yield_d*market_yield_d);
return TRUE;
}
return FALSE;
}
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