public PortfolioRiskStatsViewDto(
int portfolioId,
RiskStatsViewDto riskStatsViewDto
) : base(
riskStatsViewDto.ValueAtRisk90, riskStatsViewDto.ExpectedShortfall90,
riskStatsViewDto.ValueAtRisk95, riskStatsViewDto.ExpectedShortfall95,
riskStatsViewDto.ValueAtRisk99, riskStatsViewDto.ExpectedShortfall99
)
{
PortfolioId = portfolioId;
}
public StockRiskStatsViewDto(
int stockId, string stockName,
RiskStatsViewDto riskStatsViewDto
) : base(
riskStatsViewDto.ValueAtRisk90, riskStatsViewDto.ExpectedShortfall90,
riskStatsViewDto.ValueAtRisk95, riskStatsViewDto.ExpectedShortfall95,
riskStatsViewDto.ValueAtRisk99, riskStatsViewDto.ExpectedShortfall99
)
{
StockId = stockId;
StockName = stockName;
}
public static async Task <RiskStatsViewDto> GetAssetRiskStats(List <double> fullReturnSet)
{
ImmutableList <double> roReturnSet = fullReturnSet.ToImmutableList();
(double var, double es)varAndEs90 = await Task.Run(() => GetVarAndEsAtConfidenceLvl(roReturnSet, 90));
(double var, double es)varAndEs95 = await Task.Run(() => GetVarAndEsAtConfidenceLvl(roReturnSet, 95));
(double var, double es)varAndEs99 = await Task.Run(() => GetVarAndEsAtConfidenceLvl(roReturnSet, 99));
RiskStatsViewDto partialResult = new RiskStatsViewDto(
varAndEs90.var, varAndEs90.es,
varAndEs95.var, varAndEs95.es,
varAndEs99.var, varAndEs99.es
);
return(partialResult);
}
