public ConditionalAnalysis(SimulatedAnnualReturns simulatedAnnualReturns)
{
var parentIntervals = new Intervals(simulatedAnnualReturns.Parent);
var groupedReturns = new GroupedReturns(parentIntervals, simulatedAnnualReturns.Parent, simulatedAnnualReturns.Child);
foreach (TailType tailType in Enum.GetValues(typeof(TailType)))
{
var intervalReturns = groupedReturns.GetReturnsByTailType(tailType);
var parentIntervalReturns = groupedReturns.GetParentReturnsByTailType(tailType);
var unconditionalAnalysis = new UnconditionalAnalysis(intervalReturns, parentIntervalReturns);
SetAnalysisByTailType(tailType, unconditionalAnalysis);
}
}
public GroupedReturns(
Intervals parentIntervals,
decimal[] parentRetts,
decimal[] childRetts)
{
LeftTail = new List<decimal>();
LeftNormal = new List<decimal>();
RightNormal = new List<decimal>();
RightTail = new List<decimal>();
ParentLeftTail = new List<decimal>();
ParentLeftNormal = new List<decimal>();
ParentRightNormal = new List<decimal>();
ParentRightTail = new List<decimal>();
for (int cnt = 0; cnt < parentRetts.Length; cnt++)
{
var parentReturn = parentRetts[cnt];
var childReturn = childRetts[cnt];
if (parentReturn < parentIntervals.Worst)
{
LeftTail.Add(childReturn);
ParentLeftTail.Add(parentReturn);
}
else if (parentReturn < parentIntervals.Likely)
{
LeftNormal.Add(childReturn);
ParentLeftNormal.Add(parentReturn);
}
else if (parentReturn < parentIntervals.Best)
{
RightNormal.Add(childReturn);
ParentRightNormal.Add(parentReturn);
}
else
{
RightTail.Add(childReturn);
ParentRightTail.Add(parentReturn);
}
}
}
