// It's a good idea to make cash the last item in the correlation matrix -- we're going to be doing (essentially) a least-squares
// solution, so anything we can't neutralise will end up as an exposure in the last asset.
public MarketNeutralAllocation(double[,] Correlations)
{
NumAssets = Correlations.GetLength(0);
// It would be a good idea to sort this matrix to put cash at the end...
var corr = MathNet.Numerics.LinearAlgebra.Matrix.Create(Correlations);
MathNet.Numerics.LinearAlgebra.CholeskyDecomposition cd = new MathNet.Numerics.LinearAlgebra.CholeskyDecomposition(corr);
Cholesky = cd.GetL().GetArray();
}
bool CashIsRiskLess; // Good to have one risk-less asset if possible...better results.
public RiskParityAllocation(double[] Volatilities, double[,] Correlations, bool cashIsRiskLess)
{
Vols = Volatilities;
Corrs = Correlations;
CashIsRiskLess = cashIsRiskLess;
NumAssets = Volatilities.Length;
var corr = MathNet.Numerics.LinearAlgebra.Matrix.Create(Correlations);
MathNet.Numerics.LinearAlgebra.CholeskyDecomposition cd = new MathNet.Numerics.LinearAlgebra.CholeskyDecomposition(corr);
Cholesky = cd.GetL().GetArray();
// Initialise DE.
Initialise(NumAssets, 1000, 0.5, 0.5);
}