/// <summary>
///
/// </summary>
/// <param name="data"></param>
/// <param name="spec"></param>
/// <param name="constraint"></param>
/// <param name="IncludeMinVarLocus"></param>
/// <param name="title"></param>
/// <param name="description"></param>
/// <returns></returns>
public static fPortfolio portfolioFrontier(timeSeries data, fPortfolioSpec spec, fPortfolioConstraint constraint,
bool IncludeMinVarLocus = true, string title = "Title", string description = "Description")
{
Initialize();
var expr = Engine.CallFunction("portfolioFrontier", new Tuple <string, SymbolicExpression>("data", data.Expression), new Tuple <string, SymbolicExpression>("spec", spec.Expression),
new Tuple <string, SymbolicExpression>("constraints", constraint.Expression), new Tuple <string, SymbolicExpression>("include.mvl", Engine.RBool(IncludeMinVarLocus)),
new Tuple <string, SymbolicExpression>("title", Engine.RString(title)), new Tuple <string, SymbolicExpression>("description", Engine.RString(description)));
return(new fPortfolio(expr));
}
public static fPortfolioData Create(ITimeSeries <double> timeseries, fPortfolioSpec spec)
{
return(new fPortfolioData(portfolioData().Invoke(new SymbolicExpression[] { timeSeries.Create(timeseries.Data,
timeseries.DateTime, timeseries.Name).Expression, spec.Expression })));
}
/// <summary>
///
/// </summary>
/// <param name="timeSeriesData"></param>
/// <param name="spec"></param>
/// <returns></returns>
public static fPortfolioData Create(timeSeries timeseries, fPortfolioSpec spec)
{
return(new fPortfolioData(portfolioData().Invoke(new SymbolicExpression[] { timeseries.Expression, spec.Expression })));
}
/// <summary>
///
/// </summary>
/// <param name="data"></param>
/// <param name="spec"></param>
/// <param name="constraint"></param>
/// <returns></returns>
public static fPortfolio feasiblePortfolio(timeSeries data, fPortfolioSpec spec, fPortfolioConstraint constraint)
{
Initialize();
return(new fPortfolio(Engine.CallFunction("feasiblePortfolio", data.Expression, spec.Expression, constraint.Expression)));
}