/// <summary>
/// Calculating reserve by discounting cash flow with relevant zero coupon bond prices.
/// </summary>
public double ReserveCalculator(int timePoint, double shortRate, double[] cashFlows)
{
var reserve = 0.0;
// We minus with one, cause we are integrating over intervals (t_{i}, t_{i+1}], ..., (t_{n-1}, t_{n}].
for (var i = timePoint; i < TimePointToIndex(cashFlows.Length, true) - 1; i++)
{
reserve += EcoScenarioGenerator.ZeroCouponBondPrices(shortRate, ProjectionIndexToTimeInYear(timePoint),
ProjectionIndexToTimeInYear(i + 0.5))
* (cashFlows[TimePointToIndex(i + 1)] - cashFlows[TimePointToIndex(i)])
* 0.5 * ProjectionStepSize;
}
return(reserve);
}
/// <summary>
/// Projecting for all economic scenarios.
/// </summary>
public Balance Project()
{
for (var i = 0; i < NumberOfEconomicScenarios; i++)
{
var ecoResult = new StateIndependentProjectionResult(
Input.Policies.Keys,
NumberOfProjectionTimes,
EcoScenarioGenerator.SimulateMarket());
ProjectPerEconomicScenario(ecoResult);
ProjectionResult.Add(ecoResult);
}
return(CalculateBalance());
}
/// <summary>
/// Calculate controls for current time point.
/// </summary>
private void CalculateControlsForCurrentTimePoint(StateIndependentProjectionResult ecoResult, int timePoint)
{
//TODO OLIVER
foreach (var portfolio in ecoResult.PortfolioResults)
{
var x = 0.0;
if (timePoint % 12 == 0)
{
if (portfolio.Value.AssetProcess[timePoint] - portfolio.Value.PortfolioWideTechnicalReserve[timePoint] > 0)
{
x = 0.003 * (portfolio.Value.AssetProcess[timePoint] - portfolio.Value.PortfolioWideTechnicalReserve[timePoint]);
}
else
{
x = -(portfolio.Value.AssetProcess[timePoint] - portfolio.Value.PortfolioWideTechnicalReserve[timePoint]);
}
}
else
{
x = 0;
}
var h1 = new double(); //Use "Tax- and expense-modified risk-minimization for insurance payment processes" p.24 with gamma=delta=0
var rt = ecoResult.EconomicScenario[Assets.ShortRate][TimePointToIndex(timePoint)]; //todo - unsure if this is the right timePoint conversion here.
var timePointYear = ProjectionIndexToTimeInYear(timePoint);
var Y = 0.0;
for (var t = timePoint; t <= ProjectionTimeInYearToIndex(ProjectionEndTime); t++)
{
Y = (Input.MarketOriginalCashFlows[portfolio.Key][t] + portfolio.Value.QProcess[timePoint] * Input.MarketBonusCashFlows[portfolio.Key][t])
- (Input.MarketOriginalCashFlows[portfolio.Key][timePoint] + portfolio.Value.QProcess[timePoint] * Input.MarketBonusCashFlows[portfolio.Key][timePoint]);
h1 = h1 + EcoScenarioGenerator.ZeroCouponBondPriceDerivatives(rt, timePointYear, ProjectionIndexToTimeInYear(t))
/ EcoScenarioGenerator.ZeroCouponBondPriceDerivatives(rt, timePointYear, ProjectionEndTime)
* Y
* ProjectionStepSize;
}
portfolio.Value.TransactionProcess[Index.Zero][timePoint] = 0.0;
portfolio.Value.TransactionProcess[Index.One][timePoint] = x; //take 0.3% of "surplus" if positive, otherwise, transfer so surplus is non-negative
portfolio.Value.DividendProcess[Index.Zero][timePoint] = 0.01;
portfolio.Value.DividendProcess[Index.One][timePoint] = 0.01;
portfolio.Value.ShareInRiskyStockAssetProcess[timePoint] = h1;
}
ecoResult.EquityResults.ShareInRiskyAssetEquity[timePoint] = 0.0;
}
