public static fPortfolioSpec Create(double[] weights)
{
Initialize();
ModelInfo modelInfo = new ModelInfo();
PortfolioInfo portfInfo = new PortfolioInfo(weights: weights);
SolverInfo solverInfo = new SolverInfo();
var expr = CreateExpressions(modelInfo, portfInfo, solverInfo);
return(new fPortfolioSpec(Engine.CallFunction("portfolioSpec", expr.Item1, expr.Item2, expr.Item3)));
}
private static Tuple <SymbolicExpression, SymbolicExpression, SymbolicExpression> CreateExpressions(ModelInfo modelInfo,
PortfolioInfo portfInfo, SolverInfo solverInfo)
{
var modelexpr = Engine.RList(new Tuple <string, SymbolicExpression>("type", Engine.RString(modelInfo.Type.ToRString())), // modeltype
new Tuple <string, SymbolicExpression>("optimize", Engine.RString(modelInfo.OptimizationObjective.ToRString())), // objective function
new Tuple <string, SymbolicExpression>("estimator", Engine.RString(modelInfo.Estimator.ToRString())), // estimator
new Tuple <string, SymbolicExpression>("tailRisk", Engine.RList()),
new Tuple <string, SymbolicExpression>("params", Engine.RList(new Tuple <string, SymbolicExpression>("alpha", Engine.RNumeric(0.05)))));
var portfolioexpr = Engine.RList(new Tuple <string, SymbolicExpression>("weights", portfInfo.TargetWeights), // target weights (default to NULL, dependent on objective function etc.. - correctly implement business rules
new Tuple <string, SymbolicExpression>("targetReturn", portfInfo.TargetReturn), // target return (default to NULL, dependent on objective function etc.. -
new Tuple <string, SymbolicExpression>("targetRisk", portfInfo.TargetRisk), // "
new Tuple <string, SymbolicExpression>("riskFreeRate", portfInfo.RiskFreeRate), // default to 0
new Tuple <string, SymbolicExpression>("nFrontierPoints", portfInfo.nFrontierPoints), // default to 50
new Tuple <string, SymbolicExpression>("status", Engine.R_NA()));
var optimexpr = Engine.RList(new Tuple <string, SymbolicExpression>("solver", Engine.RString(solverInfo.Solver.ToRString())),
new Tuple <string, SymbolicExpression>("objective", Engine.RString(solverInfo.OptimizationObjective.ToRString())),
new Tuple <string, SymbolicExpression>("params", Engine.RList()),
new Tuple <string, SymbolicExpression>("control", Engine.RList()),
new Tuple <string, SymbolicExpression>("trace", Engine.RBool(false)));
return(new Tuple <SymbolicExpression, SymbolicExpression, SymbolicExpression>(modelexpr, portfolioexpr, optimexpr));
}
/// <summary>
///
/// </summary>
/// <param name="spec"></param>
/// <returns></returns>
public static fPortfolioSpec Create(ModelInfo modelInfo, PortfolioInfo portfInfo, SolverInfo solverInfo)
{
Initialize();
var expr = CreateExpressions(modelInfo, portfInfo, solverInfo);
var specexpr = portfolioSpec().Invoke(new SymbolicExpression[] { expr.Item1, expr.Item2, expr.Item3 });
return(new fPortfolioSpec(specexpr));
}