public OptimalPortoliosViewModel CreatePortfolio(User user, CreatePortfolioCommand cmd)
{
if (cmd.CalcType == enumEfCalculationType.Custom && cmd.Exchanges.Count < 1)
{
for (int i = 0; i < user.Licence.Stocks.Count; i++)
{
cmd.Exchanges.Add(Convert.ToInt32(user.Licence.Stocks[i].id));
}
}
OptimalPortoliosViewModel vm = new OptimalPortoliosViewModel();
var portID = 0;
var count = cPortHandler.GetPortfolioCount(user.UserID);
if (count < user.Licence.Service.Iportfolios)
{
portID = cPortHandler.CreateDefaultPortfolio(user, cmd);
}
else
{
vm.Messages.Add(new Message {
LogLevel = LogLevel.Error, Text = "You've exceeded the number of portfolios you can create. Please delete any unwanted portfolios"
});
}
if (portID > 0)
{
vm = opService.GetPortfolioOptimazation(user, new Models.Queries.OptimazationQuery
{
CalcType = cmd.CalcType,
PortID = portID,
Securities = cmd.Securities,
Exchanges = cmd.Exchanges,
Risk = cmd.Risk //LR on 18/07/18
});
if (vm.Messages.Count == 0)
{
cPortHandler.SelectedPortfolio.Details.LastOptimization = DateTime.Today;
cPortHandler.SelectedPortfolio.Details.SecsNum = vm.Portfolios[vm.PortNumA].Securities.Count;
cPortHandler.SelectedPortfolio.Details.CurrentStDev = vm.Portfolios[vm.PortNumA].Risk;
UpdatePortfolioCommand updCmd = new UpdatePortfolioCommand
{
CalcType = cPortHandler.SelectedPortfolio.Details.CalcType,
Equity = cmd.Equity,
Risk = vm.Portfolios[vm.PortNumA].Risk,
PortID = portID,
Securities = vm.Portfolios[vm.PortNumA].Securities
};
cPortHandler.UpdatePortfolio(updCmd);
}
else
{
cPortHandler.DeletePortfolio(portID);
}
}
return(vm);
}
public OptimalPortoliosViewModel GetPortfolioOptimazation(User user, OptimazationQuery query)
{
OptimalPortoliosViewModel vm = new OptimalPortoliosViewModel();
cPort.openExistingPortfolio(query.PortID, false);
lock (lockObject)
{
var stocks = query.Exchanges != null && query.Exchanges.Count > 0 &&
query.Exchanges.Count <= user.Licence.Stocks.Count ? query.Exchanges : user.Licence.Stocks.Select(t => t.id).ToList();
//if (!cPort.instantiatePortfolioVariables(true, cPort.Details.CalcCurrency, stocks , query.Securities))
if (!cPort.instantiateVariablesForPortfolio(true, cPort.Details.CalcCurrency, stocks, query.Securities))
{
vm.Messages.Add(new Models.App.Message {
LogLevel = Models.App.LogLevel.Error, Text = "Error Get Portfolio Data. Please Contanct System Administrator"
});
}
else
{
cPort.ColHandler.setDisabledSecsToActive();
if (query.Securities.Count > 0)
{
cPort.ColHandler.ActiveSecs = getFilteredSecByCustomList(query); //custom portfolio build
}
else // filter Active securities from Securities by exchangesIds and risk level: sec.stdYield
{
cPort.ColHandler.ActiveSecs = getFilteredSecByExchangesAndRisk(query);
}
cPort.Details.CalcType = query.CalcType;
// cPort.Classes.Optimizer.SecuritiesCol = cPort.ColHandler.ActiveSecs;
ISecurities cSecsCol = cPort.ColHandler.ActiveSecs;
//vm = cPort.Classes.Optimizer.calculateNewEfficientFrontier(ref cSecsCol, cPort.ColHandler.Benchmarks, new cDateRange(DateTime.Today.AddYears(-cProperties.DatesInterval), DateTime.Today), true, false);
vm = cPort.Classes.Optimizer.calculateNewEfficientFrontier(ref cSecsCol, cPort.ColHandler.Benchmarks, new cDateRange(DateTime.Today.AddYears(-3).AddDays(-1), DateTime.Today.AddDays(-1)), true, false);
cPort.ColHandler.ActiveSecs = cSecsCol;
}
}
return(vm);
}//GetPortfolioOptimazation
}//initMainVars
#endregion Constructors, Initialization & Destructor
#region Methods
#region Calculation methods
public OptimalPortoliosViewModel calculateNewEfficientFrontier(ref ISecurities cSecsCol, ISecurities cBenchmarksCol, cDateRange drCalcRange, Boolean isClearDisabled, Boolean isBacktest)
{ // Calculates the Efficient Frontier including the rates vector and covariance matrix
/// Parameters: cSecsCol - collection of securities for optimization
/// drCalcRange - date range for calculation
OptimalPortoliosViewModel vmOptimal = new OptimalPortoliosViewModel();
try
{
//m_colSecurities = cSecsCol;
if (cSecsCol.Count > 0)
{ // Data exists for calculations
if (isClearDisabled)
{
m_objColHandler.DisabledSecs.Clear();
}
// Calculate covariance
m_objPortfolio.Classes.CovarCorrel.calcRiskAndCovariance(drCalcRange, ref cBenchmarksCol, false, isBacktest);
m_arrCovarData = m_objPortfolio.Classes.CovarCorrel.calcRiskAndCovariance(drCalcRange, ref cSecsCol, true, isBacktest);
//m_colSecurities = cSecsCol;
// Calculate optimal portfolios
runEfficientFrontierModule(cSecsCol);
setStartingRiskLevel();
setSecuritiesQuantities(cSecsCol);
setSecuritiesDatatable(cSecsCol); // In case of Backtesting there is no need to call this function
//m_objCovarCalcs.reportCovarianceMatrix(cSecsCol, m_dtSecsData, Portfolios[PortNumA], m_objPortfolio.Details.Equity, isBacktest);
//m_objCovarCalcs.reportCovarianceMatrix(cSecsCol, m_dtSecsData, Portfolios[0], m_objPortfolio.Details.Equity, isBacktest);
}
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
setCalcSuccess();
if (!m_isSuccessfulCalc)
{
vmOptimal.Messages.Add(new Models.App.Message {
Text = "Failed to calculate due to: " + m_strEngineErrors, LogLevel = Models.App.LogLevel.Fatal
});
}
else
{
vmOptimal = AutoMapper.Mapper.Map <OptimalPortoliosViewModel>(m_objPortfolio.Classes.Optimizer);
vmOptimal.PortID = m_objPortfolio.Details.ID;
vmOptimal.PortDetails = m_objPortfolio.Details;
for (int iPorts = 0; iPorts < vmOptimal.Portfolios.Count; iPorts++)
{
for (int iSecs = 0; iSecs < vmOptimal.Portfolios[iPorts].Securities.Count; iSecs++)
{ // Securities displayed on page
vmOptimal.Portfolios[iPorts].Securities[iSecs].StdYield *= Math.Sqrt(52);
vmOptimal.Portfolios[iPorts].Securities[iSecs].FinalRate *= 52; //vmOptimal.PortNumA
vmOptimal.Portfolios[iPorts].Securities[iSecs].StandardDeviation *= 1;
}
}
}
return(vmOptimal);
}//calculateNewEfficientFrontier
