private void btProcessPCA_Click(object sender, EventArgs e)
{
#region link up PCA stuff...
PCA.PCAinitialCalcs InitialCalcs = new PCA.PCAinitialCalcs(ds.Tables[0]);
//update grid view for principal components
BsPCA1.DataSource = InitialCalcs.dtEigenV;
dgvEigenVectorAnalysis.DataSource = BsPCA1;
//update grid view for vector matrix
BsPCA2.DataSource = InitialCalcs.dtEigenM;
dgvEigenVectors.DataSource = BsPCA2;
//upate the pca gridview for the pCA datatable
BsPCA3.DataSource = InitialCalcs.PCAcomp;
dgvPrincipalComponents.DataSource = BsPCA3;
dgvPrincipalComponents.AllowUserToAddRows = false;//prevent any new rows being added
#endregion
#region Monte Carlo Simulation
//initialise new MonteCarlo..
MC.MonteCarlo MCclac = new MC.MonteCarlo();
//convert the pcatable into an array[]
MCclac.PCAvariables = dataconversion.arrayconvert(InitialCalcs.PCAcomp); //convert the pca array into a usuable format..
MCclac.timedeltas = new double[] { 1, 10, 20, 30 }; //(double)1, (double)(1 + (con.Rollingdays / 252)), (1 + ((con.Rollingdays * 2) / 252)), (1 + ((con.Rollingdays * 3) / 252)) };
//select the initial curve...
MCclac.forwardcurvesimulations = InitialCalcs.initdata.Rows[InitialCalcs.initdata.Rows.Count - 1]; //select last row...used a initial curve....
MCclac.ForwardSimulations = InitialCalcs.initdata.Clone();
//set of the process
MCclac.Process();
s1.Datatab = MCclac.simlist[0];
s2.Datatab = MCclac.simlist[1];
s3.Datatab = MCclac.simlist[2];
s4.Datatab = MCclac.simlist[3];
simulations.Data.Add(s1);
simulations.Data.Add(s2);
simulations.Data.Add(s3);
simulations.Data.Add(s4);
BsSim4.DataSource = simulations.Data;
dgvsimulations.DataSource = BsSim4;
dgvsimulations.AllowUserToAddRows = false;
dgvsimulations.AutoGenerateColumns = true;
BsSimData5.DataSource = BsSim4;
BsSimData5.DataMember = "Datatab";
dgvForCurveSim.DataSource = BsSimData5;
//dgvForCurveSim.DataMember = "Datatab";
dgvForCurveSim.AllowUserToAddRows = false;
dgvForCurveSim.AutoGenerateColumns = true;
//chart bind below for the moment leave commented out...
//chartdatatable(MCclac.ForwardSimulations, chtSimForwCurve);
#endregion
#region optimisation
#region optimisation code
//initialise new optimisation....
OPT.Optimisation Ops = new OPT.Optimisation(con);
//this is for th intrinsic evaluation....
//set up the inital curve, pass through to the find the optimisation...
//you are starting with april ...ending with march....
var stringArray = InitialCalcs.initdata.Rows[InitialCalcs.initdata.Rows.Count - 1].ItemArray.Cast <double>().ToArray();
//take april to january 2016-2017 period...
double[,] curve = new double[12, 2];
for (int r = 0; r < 12; r++)
{
curve[r, 0] = r;
curve[r, 1] = (double)stringArray[r + 3];
}
//compute the optimisation...
Ops.OptFunc(curve, InjectionVol, WithdrawalVol);//simulation 1 intrinsic...
simoutputlist.Add(Ops);
//you need to pass on the open positions so they can be taken into consideration for the next sale,
//to do this we need to pass through current injections and widthdrawls...
for (int i = 0; i < 12; i++)
{
InjectionVol[i, 0] = i;
InjectionVol[i, 1] = (double)Ops.Imptable.Rows[0][i];
}
for (int i = 0; i < 12; i++)
{
WithdrawalVol[i, 0] = i;
WithdrawalVol[i, 1] = (double)Ops.Withtable.Rows[0][i];
}
//collapse the intrinsic model...
Ops = null;
//find the four forward curves your going to use...0
//you have to effective create 1 datatables, populate with the simulations from the four runs....
// Ops.SimulationResults;//simulation1 instrinsic....
//we need to initial a new sim results for every run...
//initialise new optimisation....
double len = (double)s1.Datatab.Rows.Count;
for (int si = 0; si < len; si++)
{
OPT.Optimisation tempOps = new OPT.Optimisation(con);//create a new instance of the optimisation..
//run each of the simulations, if one of the revaluations does not add value, exclude it!
//first find the curve to use...
int iloop = 0;
for (int a = 0; a < 4; a++)
{
var tempcurve = MCclac.simlist[a].Rows[si].ItemArray.Cast <double>().ToArray();
//take april to january 2016-2017 period...
double[,] tempforwardcurve = new double[12, 2];
for (int r = 0; r < 12; r++)
{
tempforwardcurve[r, 0] = r;
tempforwardcurve[r, 1] = (double)tempcurve[r + 3];
}
//
tempOps.OptFunc(tempforwardcurve, InjectionVol, WithdrawalVol);//carry out the optimisation....
//check to see if the new simulation adds value exclude it if it doesn't
double resutl = Convert.ToDouble(tempOps.Proftable.Rows[a - iloop]["Total"]);
if (a > 0 && resutl < Convert.ToDouble(tempOps.Proftable.Rows[(a - iloop) - 1]["Total"]))
{//if the new optimisation is worse than the previous delete the optimisation...
tempOps.Proftable.Rows[a - iloop].Delete();
tempOps.ForCurvetable.Rows[a - iloop].Delete();
tempOps.Withtable.Rows[a - iloop].Delete();
tempOps.Imptable.Rows[a - iloop].Delete();
tempOps.Positiontable.Rows[a - iloop].Delete();
iloop++;
}
else
{
// {};
// simoutputlist.Add(tempOps);
//to do this we need to pass through current injections and widthdrawls...
for (int i = 0; i < 12; i++)
{
InjectionVol[i, 0] = i;
InjectionVol[i, 1] = (double)tempOps.Imptable.Rows[a - iloop][i];
}
for (int i = 0; i < 12; i++)
{
WithdrawalVol[i, 0] = i;
WithdrawalVol[i, 1] = (double)tempOps.Withtable.Rows[a - iloop][i];
}
}
}
simoutputlist.Add(tempOps);
}
//need to create the optimisation output....
//Review the intrinsic...
double highestval = 0;
int datatableno = 0;
double rownumb = 0;
double rownumcalc = 0;
for (int ti = 0; ti < simoutputlist.Count; ti++)
{
rownumcalc = 0;
foreach (DataRow dr in simoutputlist[ti].Proftable.Rows)
{
double currentval = Convert.ToDouble(dr["Total"]);
if (highestval < currentval)
{
datatableno = ti;
rownumb = rownumcalc;
highestval = currentval;
}
rownumcalc++;
}
}
intrinsicoutput = simoutputlist[0].Positiontable.Clone();
//you need to create a datatable to hold injections withdrawals and profit for intrinsic,
//also create three tables to hold injections , withdrawals and prositions for rolling...with reference to each revaluation period...
#endregion
#region binding sources optimisations..
//update grid view for intrinsic injections grid view...
BsOptimData6.DataSource = intrinsicoutput; //simoutputlist[0].Imptable;
dgvIntInjections.DataSource = BsOptimData6;
dgvIntInjections.AllowUserToAddRows = false; //prevent any new rows being added
//update grid view for intrinsic Withdrawals grid view...
BsOptimData7.DataSource = simoutputlist[0].Withtable;
dgvIntrinsicWithdrawals.DataSource = BsOptimData7;
dgvIntrinsicWithdrawals.AllowUserToAddRows = false;//prevent any new rows being added
//upate the gridview intrinsic profit/loss
BsOptimData8.DataSource = simoutputlist[0].Proftable;
dgvIntrinsicProfit.DataSource = BsOptimData8;
dgvIntrinsicProfit.AllowUserToAddRows = false;//prevent any new rows being added
//update grid view for rolling intrinsic injections grid view...
BsOptimData9.DataSource = simoutputlist[datatableno].Imptable;
dgvRolntrinsicInjection.DataSource = BsOptimData9;
dgvRolntrinsicInjection.AllowUserToAddRows = false;//prevent any new rows being added
//update grid view for rolling intrinsic Withdrawals grid view...
BsOptimData10.DataSource = simoutputlist[datatableno].Withtable;
dgvRoIntrinsicWithdrawal.DataSource = BsOptimData10;
dgvRoIntrinsicWithdrawal.AllowUserToAddRows = false;//prevent any new rows being added
//upate the gridview rolling intrinsic profit/loss
BsOptimData11.DataSource = simoutputlist[datatableno].Proftable;
dgvRolntrinsicProfit.DataSource = BsOptimData11;
dgvRolntrinsicProfit.AllowUserToAddRows = false;//prevent any new rows being added
#endregion
#endregion
}
private void btProcessPCA_Click(object sender, EventArgs e)
{
#region link up PCA stuff...
PCA.PCAinitialCalcs InitialCalcs = new PCA.PCAinitialCalcs(ds.Tables[0]);
//update grid view for principal components
BsPCA1.DataSource = InitialCalcs.dtEigenV;
dgvEigenVectorAnalysis.DataSource = BsPCA1;
//update grid view for vector matrix
BsPCA2.DataSource = InitialCalcs.dtEigenM;
dgvEigenVectors.DataSource = BsPCA2;
//upate the pca gridview for the pCA datatable
BsPCA3.DataSource = InitialCalcs.PCAcomp;
dgvPrincipalComponents.DataSource = BsPCA3;
dgvPrincipalComponents.AllowUserToAddRows = false;//prevent any new rows being added
#endregion
#region Monte Carlo Simulation
//initialise new MonteCarlo..
MC.MonteCarlo MCclac = new MC.MonteCarlo();
//convert the pcatable into an array[]
MCclac.PCAvariables = dataconversion.arrayconvert(InitialCalcs.PCAcomp);//convert the pca array into a usuable format..
MCclac.timedeltas = new double[] { 1, 10, 20, 30 };//(double)1, (double)(1 + (con.Rollingdays / 252)), (1 + ((con.Rollingdays * 2) / 252)), (1 + ((con.Rollingdays * 3) / 252)) };
//select the initial curve...
MCclac.forwardcurvesimulations = InitialCalcs.initdata.Rows[InitialCalcs.initdata.Rows.Count - 1];//select last row...used a initial curve....
MCclac.ForwardSimulations = InitialCalcs.initdata.Clone();
//set of the process
MCclac.Process();
s1.Datatab = MCclac.simlist[0];
s2.Datatab = MCclac.simlist[1];
s3.Datatab = MCclac.simlist[2];
s4.Datatab = MCclac.simlist[3];
simulations.Data.Add(s1);
simulations.Data.Add(s2);
simulations.Data.Add(s3);
simulations.Data.Add(s4);
BsSim4.DataSource = simulations.Data;
dgvsimulations.DataSource = BsSim4;
dgvsimulations.AllowUserToAddRows = false;
dgvsimulations.AutoGenerateColumns = true;
BsSimData5.DataSource = BsSim4;
BsSimData5.DataMember = "Datatab";
dgvForCurveSim.DataSource = BsSimData5;
//dgvForCurveSim.DataMember = "Datatab";
dgvForCurveSim.AllowUserToAddRows = false;
dgvForCurveSim.AutoGenerateColumns = true;
//chart bind below for the moment leave commented out...
//chartdatatable(MCclac.ForwardSimulations, chtSimForwCurve);
#endregion
#region optimisation
#region optimisation code
//initialise new optimisation....
OPT.Optimisation Ops = new OPT.Optimisation(con);
//this is for th intrinsic evaluation....
//set up the inital curve, pass through to the find the optimisation...
//you are starting with april ...ending with march....
var stringArray = InitialCalcs.initdata.Rows[InitialCalcs.initdata.Rows.Count - 1].ItemArray.Cast<double>().ToArray();
//take april to january 2016-2017 period...
double[,] curve = new double[12, 2];
for (int r = 0; r < 12; r++)
{
curve[r, 0] = r;
curve[r, 1] = (double)stringArray[r + 3];
}
//compute the optimisation...
Ops.OptFunc(curve, InjectionVol, WithdrawalVol);//simulation 1 intrinsic...
simoutputlist.Add(Ops);
//you need to pass on the open positions so they can be taken into consideration for the next sale,
//to do this we need to pass through current injections and widthdrawls...
for (int i = 0; i < 12; i++)
{
InjectionVol[i, 0] = i;
InjectionVol[i, 1] = (double)Ops.Imptable.Rows[0][i];
}
for (int i = 0; i < 12; i++)
{
WithdrawalVol[i, 0] = i;
WithdrawalVol[i, 1] = (double)Ops.Withtable.Rows[0][i];
}
//collapse the intrinsic model...
Ops = null;
//find the four forward curves your going to use...0
//you have to effective create 1 datatables, populate with the simulations from the four runs....
// Ops.SimulationResults;//simulation1 instrinsic....
//we need to initial a new sim results for every run...
//initialise new optimisation....
double len = (double)s1.Datatab.Rows.Count;
for (int si = 0; si < len; si++)
{
OPT.Optimisation tempOps = new OPT.Optimisation(con);//create a new instance of the optimisation..
//run each of the simulations, if one of the revaluations does not add value, exclude it!
//first find the curve to use...
int iloop = 0;
for (int a = 0; a < 4; a++)
{
var tempcurve = MCclac.simlist[a].Rows[si].ItemArray.Cast<double>().ToArray();
//take april to january 2016-2017 period...
double[,] tempforwardcurve = new double[12, 2];
for (int r = 0; r < 12; r++)
{
tempforwardcurve[r, 0] = r;
tempforwardcurve[r, 1] = (double)tempcurve[r + 3];
}
//
tempOps.OptFunc(tempforwardcurve, InjectionVol, WithdrawalVol);//carry out the optimisation....
//check to see if the new simulation adds value exclude it if it doesn't
double resutl = Convert.ToDouble(tempOps.Proftable.Rows[a - iloop]["Total"]);
if (a > 0 && resutl < Convert.ToDouble(tempOps.Proftable.Rows[(a - iloop) - 1]["Total"]))
{//if the new optimisation is worse than the previous delete the optimisation...
tempOps.Proftable.Rows[a - iloop].Delete();
tempOps.ForCurvetable.Rows[a - iloop].Delete();
tempOps.Withtable.Rows[a - iloop].Delete();
tempOps.Imptable.Rows[a - iloop].Delete();
tempOps.Positiontable.Rows[a - iloop].Delete();
iloop++;
}
else
{
// {};
// simoutputlist.Add(tempOps);
//to do this we need to pass through current injections and widthdrawls...
for (int i = 0; i < 12; i++)
{
InjectionVol[i, 0] = i;
InjectionVol[i, 1] = (double)tempOps.Imptable.Rows[a - iloop][i];
}
for (int i = 0; i < 12; i++)
{
WithdrawalVol[i, 0] = i;
WithdrawalVol[i, 1] = (double)tempOps.Withtable.Rows[a - iloop][i];
}
}
}
simoutputlist.Add(tempOps);
}
//need to create the optimisation output....
//Review the intrinsic...
double highestval = 0;
int datatableno = 0;
double rownumb = 0;
double rownumcalc = 0;
for (int ti = 0; ti < simoutputlist.Count; ti++)
{
rownumcalc = 0;
foreach (DataRow dr in simoutputlist[ti].Proftable.Rows)
{
double currentval = Convert.ToDouble(dr["Total"]);
if (highestval < currentval)
{
datatableno = ti;
rownumb = rownumcalc;
highestval = currentval;
}
rownumcalc++;
}
}
intrinsicoutput = simoutputlist[0].Positiontable.Clone();
//you need to create a datatable to hold injections withdrawals and profit for intrinsic,
//also create three tables to hold injections , withdrawals and prositions for rolling...with reference to each revaluation period...
#endregion
#region binding sources optimisations..
//update grid view for intrinsic injections grid view...
BsOptimData6.DataSource = intrinsicoutput;//simoutputlist[0].Imptable;
dgvIntInjections.DataSource = BsOptimData6;
dgvIntInjections.AllowUserToAddRows = false;//prevent any new rows being added
//update grid view for intrinsic Withdrawals grid view...
BsOptimData7.DataSource = simoutputlist[0].Withtable;
dgvIntrinsicWithdrawals.DataSource = BsOptimData7;
dgvIntrinsicWithdrawals.AllowUserToAddRows = false;//prevent any new rows being added
//upate the gridview intrinsic profit/loss
BsOptimData8.DataSource = simoutputlist[0].Proftable;
dgvIntrinsicProfit.DataSource = BsOptimData8;
dgvIntrinsicProfit.AllowUserToAddRows = false;//prevent any new rows being added
//update grid view for rolling intrinsic injections grid view...
BsOptimData9.DataSource = simoutputlist[datatableno].Imptable;
dgvRolntrinsicInjection.DataSource = BsOptimData9;
dgvRolntrinsicInjection.AllowUserToAddRows = false;//prevent any new rows being added
//update grid view for rolling intrinsic Withdrawals grid view...
BsOptimData10.DataSource = simoutputlist[datatableno].Withtable;
dgvRoIntrinsicWithdrawal.DataSource = BsOptimData10;
dgvRoIntrinsicWithdrawal.AllowUserToAddRows = false;//prevent any new rows being added
//upate the gridview rolling intrinsic profit/loss
BsOptimData11.DataSource = simoutputlist[datatableno].Proftable;
dgvRolntrinsicProfit.DataSource = BsOptimData11;
dgvRolntrinsicProfit.AllowUserToAddRows = false;//prevent any new rows being added
#endregion
#endregion
}
