/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <param name="stddev"></param>
public static void CalculatePortfolioStdDev(this fPortfolio portfolio, out double stddev)
{
var data = fPortfolio.Engine.CallFunction("getSeries", portfolio.Expression);
var weights = fPortfolio.Engine.CallFunction("getWeights", portfolio.Expression);
var expr = fPortfolio.Engine.CallFunction("varRisk", data, weights);
stddev = expr.AsNumeric().ToArray().First();
}
/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <param name="mean"></param>
public static void GetMeanReturns(this fPortfolio portfolio, out double[] mean)
{
// Get returns
var expr = fPortfolio.Engine.CallFunction("getMean", portfolio.Expression);
var ret = expr.AsNumeric().ToArray();
mean = ret;
}
/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <param name="weights"></param>
public static void GetWeights(this fPortfolio portfolio, out double[] weights)
{
// Get weights
var expr = fPortfolio.Engine.CallFunction("getWeights", portfolio.Expression);
var w = expr.AsNumeric();
weights = w.ToArray();
}
/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <param name="covrisk"></param>
public static void GetCovRiskBudgets(this fPortfolio portfolio, out double[,] covrisk)
{
var expr = fPortfolio.Engine.CallFunction("getCovRiskBudgets", portfolio.Expression);
var crmat = expr.AsNumericMatrix();
int numrows = crmat.RowCount;
int numcols = crmat.ColumnCount;
covrisk = new double[numrows, numcols];
crmat.CopyTo(covrisk, numrows, numcols);
}
/// <summary>
/// Get Portfolio weights
/// </summary>
/// <param name="portfolio"></param>
/// <param name="weights"></param>
public static void GetWeights(this fPortfolio portfolio, out double[,] weights)
{
// Get weights
var expr = fPortfolio.Engine.CallFunction("getWeights", portfolio.Expression, "portfolio");
var wmat = expr.AsNumericMatrix();
int numrows = wmat.RowCount;
int numcols = wmat.ColumnCount;
weights = new double[numrows, numcols];
wmat.CopyTo(weights, numrows, numcols);
}
/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <param name="risk"></param>
public static void GetPortfolioRisk(this fPortfolio portfolio, out double[,] risk)
{
// Get returns
var expr = fPortfolio.Engine.CallFunction("getTargetRisk", portfolio.Expression, "portfolio");
var riskmat = expr.AsNumericMatrix();
int numrows = riskmat.RowCount;
int numcols = riskmat.ColumnCount;
risk = new double[numrows, numcols];
riskmat.CopyTo(risk, numrows, numcols);
}
/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <param name="mean"></param>
public static void GetPortfolioMeanReturns(this fPortfolio portfolio, out double[,] mean)
{
// Get returns
var expr = fPortfolio.Engine.CallFunction("getTargetReturn", portfolio.Expression, "portfolio");
var meanmat = expr.AsNumericMatrix();
int numrows = meanmat.RowCount;
int numcols = meanmat.ColumnCount;
mean = new double[numrows, numcols];
meanmat.CopyTo(mean, numrows, numcols);
}
/// <summary>
/// Get Portfolio Covariance Matrix
/// </summary>
/// <param name="portfolio">portfolio object</param>
/// <returns></returns>
public static double[,] GetCovarianceMatrix(this fPortfolio portfolio)
{
var expr = fPortfolio.Engine.CallFunction("getCov", portfolio.Expression);
var mat = expr.AsNumericMatrix();
int numrows = mat.RowCount;
int numcols = mat.ColumnCount;
double[,] cov = new double[numrows, numcols];
mat.CopyTo(cov, numrows, numcols);
return(cov);
}
/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <returns></returns>
public static double[,] GetCorrelationMatrix(this fPortfolio portfolio)
{
var data = fPortfolio.Engine.CallFunction("getSeries", portfolio.Expression);
var expr = fPortfolio.Engine.CallFunction("cor", data);
var mat = expr.AsNumericMatrix();
int numrows = mat.RowCount;
int numcols = mat.ColumnCount;
double[,] cor = new double[numrows, numcols];
mat.CopyTo(cor, numrows, numcols);
return(cor);
}
/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <param name="timeseries"></param>
public static void GetData(this fPortfolio portfolio, out double[,] timeseries, out string[] timevector)
{
var expr = fPortfolio.Engine.CallFunction("getSeries", portfolio.Expression);
var timeexpr = fPortfolio.Engine.CallFunction("time", expr);
var timestring = fPortfolio.Engine.CallFunction("as.character", timeexpr);
var mat = expr.AsNumericMatrix();
var time = timestring.AsCharacter();
timevector = time.ToArray <string>();
int numrows = mat.RowCount;
int numcols = mat.ColumnCount;
timeseries = new double[numrows, numcols];
mat.CopyTo(timeseries, numrows, numcols);
}
/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <param name="timeseries"></param>
public static ITimeSeries <double> GetTimeSeries(this fPortfolio portfolio)
{
string[] timevector;
double[,] timeseries;
var expr = fPortfolio.Engine.CallFunction("getSeries", portfolio.Expression);
var timeexpr = fPortfolio.Engine.CallFunction("time", expr);
var timestring = fPortfolio.Engine.CallFunction("as.character", timeexpr);
var mat = expr.AsNumericMatrix();
var time = timestring.AsCharacter();
timevector = time.ToArray <string>();
int numrows = mat.RowCount;
int numcols = mat.ColumnCount;
timeseries = new double[numrows, numcols];
mat.CopyTo(timeseries, numrows, numcols);
return(TimeSeriesFactory <double> .Create(timeseries, timevector));
}
/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <param name="covrisk"></param>
public static void GetCovRiskBudgets(this fPortfolio portfolio, out double[] covrisk)
{
var expr = fPortfolio.Engine.CallFunction("getCovRiskBudgets", portfolio.Expression);
covrisk = expr.AsNumeric().ToArray();
}
