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); }
// 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); } }
public static List <Portfolio> DoListPortfolio(double[,] finalArray, Asset[] selectedAssets, double start, double finish, double step, double[] constraints) { List <Portfolio> results = new List <Portfolio>(); double r = 0, p = 0; bool isCycle = false; while (start <= finish && !isCycle) { Portfolio result = ClassAssistant.DoCalculations(finalArray, selectedAssets, start, false, constraints); if (result.Profit == p && result.Risk == r) { break; } else { if (start > result.Profit) { break; } else { double t = Math.Truncate(result.Profit / step); start = step * t + step; } p = result.Profit; r = result.Risk; double sum = 0; for (int k = 0; k < result.ConvertPortfolio().Length; k++) { result.ConvertPortfolio()[k] = Math.Round(result.ConvertPortfolio()[k], 4) * 100; } result.Profit = Math.Round(result.Profit, 5) * 100; result.Risk = Math.Round(result.Risk, 4) * 100; sum = result.GetSum; foreach (var res in results) { if (res.Profit == result.Profit && res.Risk == result.Risk) { isCycle = true; } } if (Math.Abs(sum - 100) <= 0.1 && !isCycle) { double[,] profit = CalculationClass.Profitability(finalArray); result.StandDev = Math.Round(CalculationClass.StandardDeviation(profit, result), 4) * 100; // result.Cost = Math.Round(CalculationClass.PortfolioCost(finalArray, result), 2); results.Add(result); } } } return(results); }