public async Task<double[]> CalcContToRisk(SysTimeSeries exposures_, DateTime asOf_, CarbonClient cc_)
{
// extract exposure on date
var expOnDate = exposures_.Data.GetValues(asOf_);
// get indexes for instruments in covariance
var indexes = new Tuple<int, bool>[expOnDate.Length];
for (int i = 0; i < indexes.Length; ++i)
indexes[i] = await FindIndexOfInstrument(exposures_.Data.ColumnHeadings[i], cc_);
// translate up the exposures into same dimensions as covariance
var exposuresInCovarianceDimensions = new double[Keys.Count];
for (int i = 0; i < indexes.Length; ++i)
{
if (indexes[i] == null) continue;
exposuresInCovarianceDimensions[indexes[i].Item1] = (indexes[i].Item2 ? -1d : 1d) * expOnDate[i];
}
// calculate contributions to risk
var contToRisk = GetContToVar(exposuresInCovarianceDimensions);
// translate back into porfolio dimensions
var riskInPortfolioDimensions = new double[expOnDate.Length];
for (int i = 0; i < riskInPortfolioDimensions.Length; ++i)
{
if (indexes[i] == null) continue;
riskInPortfolioDimensions[i] = contToRisk[indexes[i].Item1];
}
return riskInPortfolioDimensions;
}
public async Task<double> CalcVol(SysTimeSeries exposures_, DateTime asOf_, CarbonClient cc_)
{
// extract exposure on date
var expOnDate = exposures_.Data.GetValues(asOf_);
// get indexes for instruments in covariance
var indexes = new Tuple<int,bool>[expOnDate.Length];
for (int i = 0; i < indexes.Length; ++i)
indexes[i] = await FindIndexOfInstrument(exposures_.Data.ColumnHeadings[i], cc_);
// translate up the exposures into same dimensions as covariance
var exposuresInCovarianceDimensions = new double[Keys.Count];
for (int i = 0; i < indexes.Length; ++i)
{
if (indexes[i] == null) continue;
exposuresInCovarianceDimensions[indexes[i].Item1] = (indexes[i].Item2 ? -1d : 1d) * expOnDate[i];
}
return GetVol(exposuresInCovarianceDimensions);
}
public async Task<double> CalcLatestVol(SysTimeSeries exposures_, CarbonClient cc_)
{
if (exposures_ == null || exposures_.Data == null || exposures_.Data.Keys.Count == 0) return double.NaN;
return await CalcVol(exposures_, exposures_.Data.Keys[exposures_.Data.Keys.Count - 1], cc_);
}
public async Task<double[]> CalcLatestContToRisk(SysTimeSeries exposures_, CarbonClient cc_)
{
if (exposures_ == null || exposures_.Data == null || exposures_.Data.Keys.Count == 0) return null;
return await CalcContToRisk(exposures_, exposures_.Data.Keys[exposures_.Data.Keys.Count - 1], cc_);
}
