SeriesFactorSet StrategyPosition::_matchFactors(const SeriesFactorMultiSetFrom& sfsAll) const
{
SeriesFactorSet sfsStrategy;
// Extract current factor
for( SeriesFactorMultiSetFrom::const_iterator citer = sfsAll.begin(); citer != sfsAll.end(); ) {
// Get current factor
SeriesFactor currentFactor = *citer;
double acc = currentFactor.factor();
#ifdef DEBUG
cout << "Analyzing Position daily factor from " << currentFactor.from_tm() << " to " << currentFactor.to_tm()
<< " factor " << currentFactor.factor() << endl;
#endif
// Accumulate all the following factors with the same from/to date
SeriesFactorMultiSetFrom::const_iterator citer_next = citer;
while( ++citer_next != sfsAll.end() && citer_next->from_tm() == currentFactor.from_tm() && citer_next->to_tm() == currentFactor.to_tm() ) {
#ifdef DEBUG
cout << "Found daily factor with same from/to dates, factor " << citer_next->factor() << endl;
#endif
acc *= citer_next->factor();
}
// Add cumulated factor
sfsStrategy.insert(SeriesFactor(currentFactor.from_tm(), currentFactor.to_tm(), acc));
// Start from first SeriesFactor with different from/to date
citer = citer_next;
}
return sfsStrategy;
}
bool SeriesFactorSet::insert( const SeriesFactor& sf )
{
if( ! __SeriesFactorSet::insert(sf).second )
return false;
// Cache new overall factor for performance
_factor *= sf.factor();
return true;
}