private static (double var, double es) GetVarAndEsAtConfidenceLvl(ImmutableList <double> returnsSet,
int confidenceLevel)
{
int fullCount = returnsSet.Count;
int confidenceLvlCount = fullCount * (100 - confidenceLevel) / 100;
ImmutableList <double> confidenceLvlReturnsList = returnsSet.Take(confidenceLvlCount).ToImmutableList();
double var = confidenceLvlReturnsList.Last();
double es = confidenceLvlReturnsList.AsParallel().Average();
return(var, es);
}
