public static double GetStd4Ticker(string fullTicker, DataTable covMatrix)
{
string TickerHead = ContractMetaInfo.GetContractSpecs(fullTicker).tickerHead;
DataRow[] covRows = covMatrix.Select("index='" + TickerHead + "'");
return(Math.Sqrt(covRows[0].Field <double>(TickerHead)));
}
public static double GetPortfolioRiskFromCovMatrix(DataTable positionTable, DataTable covMatrix)
{
double portfolioStd = 0;
DataRow[] positionRows = positionTable.Select("Qty<>0");
if (positionRows.Length > 0)
{
for (int i = 0; i < positionRows.Length; i++)
{
string tickerI = positionRows[i].Field <string>("FullTicker");
string tickerheadI = ContractMetaInfo.GetContractSpecs(tickerI).tickerHead;
DataRow[] covRows = covMatrix.Select("index='" + tickerheadI + "'");
portfolioStd = portfolioStd + covRows[0].Field <double>(tickerheadI) * Math.Pow(positionRows[i].Field <double>("Qty"), 2);
for (int j = i + 1; j < positionRows.Length; j++)
{
string tickerJ = positionRows[j].Field <string>("FullTicker");
string tickerheadJ = ContractMetaInfo.GetContractSpecs(tickerJ).tickerHead;
portfolioStd = portfolioStd + 2 * covRows[0].Field <double>(tickerheadJ) *
positionRows[i].Field <double>("Qty") * positionRows[j].Field <double>("Qty");
}
}
}
return(Math.Sqrt(portfolioStd));
}
public static double GetChangeInRiskAfterTickerInclusion(DataTable positionTable, DataTable covMatrix, string ticker2Include, double qty)
{
string TickerHead = ContractMetaInfo.GetContractSpecs(ticker2Include).tickerHead;
DataRow[] covRows = covMatrix.Select("index='" + TickerHead + "'");
DataRow[] positionRows = positionTable.Select("Qty<>0");
double portfolioVarChange = covRows[0].Field <double>(TickerHead) * Math.Pow(qty, 2);
for (int i = 0; i < positionRows.Length; i++)
{
string TickerI = positionRows[i].Field <string>("FullTicker");
string TickerHeadI = ContractMetaInfo.GetContractSpecs(TickerI).tickerHead;
portfolioVarChange = portfolioVarChange + 2 * covRows[0].Field <double>(TickerHeadI) *
positionRows[i].Field <double>("Qty") * qty;
}
return(portfolioVarChange);
}