Commit Graph

8 Commits

Author SHA1 Message Date
Martin Molinero e294b3c3e2 Fix overflow exception
- Adding new `AlgorithmSettings` Min and Max absolute portfolio target
percentage
- Adding new `PortfolioConstructionModel.FilterInvalidInsightMagnitude()`
helper method that will be used by the `BlackLitterman` and
`MeanVariance` optiomization portfolio construction models to skip
insights with extreme magnitudes that will cause exceptions
- `PortfolioTarget.Percentage()` will now verify requested percent is
withing the settings values
2019-05-23 20:30:44 -03:00
Stefano Raggi bd4c799d2b Rename parameter classes from Context to Parameters 2018-11-29 22:05:49 +01:00
Stefano Raggi cb98955901 Fix failing unit tests 2018-11-27 22:50:17 +01:00
Martin Molinero 165f6fa43e Adjusting unit and regression tests 2018-08-28 12:27:21 -03:00
Stefano Raggi 4abc525a38 PortfolioTarget.Percent returns null if error 2018-08-21 18:10:51 +02:00
Martin Molinero 6da57a1e12 Improving GetMaximumOrderQuantityForTargetValue 2018-08-03 16:26:14 -03:00
Michael Handschuh 756ca9c741 Fix PortfolioTarget percent test name 2018-04-02 12:46:35 -04:00
Michael Handschuh b1e624dfdc Fixes bug in PortfolioTarget.Percent
Buying power model's GetMaximumOrderQuantityForTargetValue returns the
delta quantity needed to reach a particular position, so we need add
back in the existing quantity to get the total quantity required.
2018-04-02 11:30:13 -04:00