/// <summary>
/// Returns the base score of the CVSS object.
/// </summary>
/// <exception cref="System.ArgumentException">Thrown when vector is not valid.</exception>
public double BaseScore()
{
if (!IsValid())
{
throw new ArgumentException();
}
return(BaseMetric.Score());
}
/// <summary>
/// Create instance of the neural net with parameters
/// </summary>
/// <param name="optimizer"></param>
/// <param name="cost"></param>
/// <param name="metric"></param>
public NeuralNet(BaseOptimizer optimizer, BaseCost cost, BaseMetric metric = null)
{
Layers = new List <BaseLayer>();
TrainingLoss = new List <double>();
TrainingMetrics = new List <double>();
this.Optimizer = optimizer != null ? optimizer : throw new Exception("Need optimizer");
this.Cost = cost != null ? cost : throw new Exception("Need cost");
Metric = metric;
}
/// <summary>
/// Returns the selected value for a metric.
/// </summary>
/// <returns>
/// Returns the selected value or empty string if metric is not found.
/// </returns>
/// <example>
/// <code>
/// var selected = cvss.SelectedValue("Access Vector");
/// returns "Network"
/// </code>
/// </example>
/// <param name="metric">A valid metric e.g. "Access Vector", "Authentication", "Attack Vector".</param>
/// <exception cref="System.ArgumentException">Thrown when vector is not valid.</exception>
public string SelectedMetric(string metric)
{
if (!IsValid())
{
throw new ArgumentException();
}
if (!String.IsNullOrEmpty(BaseMetric.SelectedValue(metric)))
{
return(BaseMetric.SelectedValue(metric));
}
if (!String.IsNullOrEmpty(TemporalMetric.SelectedValue(metric)))
{
return(TemporalMetric.SelectedValue(metric));
}
if (!String.IsNullOrEmpty(EnvironmentalMetric.SelectedValue(metric)))
{
return(EnvironmentalMetric.SelectedValue(metric));
}
return("");
}
public void Compile(BaseOptimizer optimizer, LossType loss, MetricType metric)
{
OptimizerFn = optimizer;
LossFn = BaseLoss.Get(loss);
MetricFn = BaseMetric.Get(metric);
}
private AssetFxMCModel GetSut(bool expensiveFutures, BaseMetric baseMetric = BaseMetric.PV)
{
var buildDate = DateTime.Parse("2018-10-04");
var usd = TestProviderHelper.CurrencyProvider["USD"];
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var dfCurve = new IrCurve(new[] { buildDate, buildDate.AddDays(1000) }, new[] { 0.0, 0.0 }, buildDate, "disco", Math.Interpolation.Interpolator1DType.Linear, usd, "DISCO");
var comCurve = new PriceCurve(buildDate, new[] { buildDate, buildDate.AddDays(15), buildDate.AddDays(100) }, new[] { 100.0, 100.0, 100.0 }, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider)
{
Name = "CL",
AssetId = "CL"
};
var comSurface = new ConstantVolSurface(buildDate, 0.32)
{
AssetId = "CL"
};
var fModel = new FundingModel(buildDate, new Dictionary <string, IrCurve> {
{ "DISCO", dfCurve }
}, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxM = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxM.Init(usd, buildDate, new Dictionary <Currency, double>(), new List <FxPair>(), new Dictionary <Currency, string> {
{ usd, "DISCO" }
});
fModel.SetupFx(fxM);
var aModel = new AssetFxModel(buildDate, fModel);
aModel.AddVolSurface("CL", comSurface);
aModel.AddPriceCurve("CL", comCurve);
var product = AssetProductFactory.CreateTermAsianSwap(buildDate.AddDays(10), buildDate.AddDays(20), 99, "CL", usdCal, buildDate.AddDays(21), usd);
product.TradeId = "waaah";
product.DiscountCurve = "DISCO";
var pfolio = new Portfolio {
Instruments = new List <IInstrument> {
product
}
};
var creditSettings = new CreditSettings
{
ExposureDates = new DateTime[] { buildDate.AddDays(5), buildDate.AddDays(20), buildDate.AddDays(22) },
Metric = baseMetric
};
var settings = new McSettings
{
Generator = RandomGeneratorType.MersenneTwister,
McModelType = McModelType.Black,
NumberOfPaths = 2048,
NumberOfTimesteps = 1,
ReportingCurrency = usd,
ExpensiveFuturesSimulation = expensiveFutures,
Parallelize = false,
FuturesMappingTable = new Dictionary <string, string> {
{ "CL", "CL" }
},
CreditSettings = creditSettings
};
var sut = new AssetFxMCModel(buildDate, pfolio, aModel, settings, TestProviderHelper.CurrencyProvider, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CalendarProvider);
return(sut);
}
