public static Portfolio SinglePortfolio(double[,] array)
{
double[,] profit = CalculationClass.Profitability(array);
double[] averageProfit = CalculationClass.AverageProfitability(profit);
double[] profitSP = CalculationClass.ProfitabilitySP(profit);
double averageProfitSP = profitSP.Average();
double sum_d = 0;
double[] beta = CalculationClass.Beta(profit, averageProfit, profitSP, averageProfitSP, out sum_d);
double[] risk = CalculationClass.ResidualRisk(profit, averageProfit, profitSP, averageProfitSP, beta);
double riskSP = CalculationClass.RiskSP(sum_d, array.GetLength(1));
double R_sp = CalculationClass.R_sp(profitSP, averageProfitSP);
double[] w = new double[beta.Length];
for (int i = 0; i < w.Length; i++)
{
w[i] = Math.Round(1.0 / w.Length, 4) * 100;
}
double profitSP_model = Math.Round(SolverClass.GetProfitSP(averageProfit, beta, R_sp), 4) * 100;
double riskSP_model = Math.Round(riskSP, 4) * 100;// Math.Round(SolverClass.GetRiskSP(beta, risk, riskSP), 4) * 100;
Portfolio p = new Portfolio(w, profitSP_model, riskSP_model);
p.StandDev = Math.Round(riskSP, 4) * 100;
// p.Cost = Math.Round(CalculationClass.PortfolioCost(array, p), 2);
return(p);
}
public void FillTable(double[,] finalArray)
{
double[] average = CalculationClass.AverageProfitability(finalArray);
for (int i = 0; i < selectedAssets.Length; i++)
{
for (int j = 0; j < i + 1; j++)
{
double result = Math.Round(CalculationClass.Cor(finalArray, average, i, j), 4);
dataGridView[j + 1, i].Value = result;
if (result == 1)
{
dataGridView[j + 1, i].Style.BackColor = Color.IndianRed;
}
else
{
if (result < 0)
{
dataGridView[j + 1, i].Style.BackColor = Color.LightGreen;
}
else
{
dataGridView[j + 1, i].Style.BackColor = Color.Coral;
}
}
}
}
}
// assets для Excel
private static Portfolio DoCalculations(double[,] array, Asset[] assets, double valueRiskOrProf, bool forExcel, double[] constraints)
{
try
{
double[,] profit = CalculationClass.Profitability(array);
double[] averageProfit = CalculationClass.AverageProfitability(profit);
double[] profitSP = CalculationClass.ProfitabilitySP(profit);
double averageProfitSP = profitSP.Average();
double sum_d = 0;
double[] beta = CalculationClass.Beta(profit, averageProfit, profitSP, averageProfitSP, out sum_d);
double[] risk = CalculationClass.ResidualRisk(profit, averageProfit, profitSP, averageProfitSP, beta);
double riskSP = CalculationClass.RiskSP(sum_d, array.GetLength(1));
double R_sp = CalculationClass.R_sp(profitSP, averageProfitSP);
if (forExcel)
{
WorkWithExcel.WriteFile(assets, averageProfit, beta, risk, 12, riskSP, R_sp, valueRiskOrProf);
return(null);
}
else
{
return(SolverClass.DoOpt(averageProfit, beta, risk, valueRiskOrProf, riskSP, R_sp, constraints));//, out p);
//return p;
}
}
catch (NullReferenceException) { return(null); }
}
private void CorrelationPortfolio(Asset[] allAssets, int count, int period)
{
ParallelOptions parOpts = new ParallelOptions();
parOpts.CancellationToken = cancelToken.Token;
try
{
parOpts.CancellationToken.ThrowIfCancellationRequested();
double[,] finalArray = ClassAssistant.ReadDataForCorrelation(allAssets, Program.path + "\\data.txt", period); //ClassAssistant.ReadData(allAssets, path);
parOpts.CancellationToken.ThrowIfCancellationRequested();
double[] average = CalculationClass.AverageProfitability(finalArray);
parOpts.CancellationToken.ThrowIfCancellationRequested();
for (int i = count; i < allAssets.Length; i++)
{
double sum = 0;
for (int j = 0; j < count; j++)
{
sum += CalculationClass.Cor(finalArray, average, i, j);
}
allAssets[i].Correlation = Math.Round(sum / count, 2);
parOpts.CancellationToken.ThrowIfCancellationRequested();
}
}
catch (IOException ex)
{
string[] exception = ex.Message.Split(' ');
// DialogResult dr = MessageBox.Show("Ошибка при считывании файла " + exception[exception.Length - 1] + ". Замените этот актив или попробуйте еще раз.\nПовторить попытку?",
// "Ошибка!", MessageBoxButtons.RetryCancel, MessageBoxIcon.Error);
// MessageBox.Show(ex.Message);
counter++;
if (counter == 3)
{
MessageBox.Show("Ошибка при расчете корреляции!", "Ошибка!", MessageBoxButtons.OK, MessageBoxIcon.Error);
counter = 0;
}
else
{
CorrelationPortfolio(allAssets, count, period);
}
}
catch (OperationCanceledException ex) { throw ex; }
catch (Exception ex)
{
string[] exception = ex.Message.Split(' ');
DialogResult dr = MessageBox.Show(ex.Message, "Ошибка!", MessageBoxButtons.RetryCancel, MessageBoxIcon.Error);
if (dr == System.Windows.Forms.DialogResult.Retry)
{
CorrelationPortfolio(allAssets, count, period);
}
}
}
