public Distributions(Asset asset, WeightRate weightRate, PDFType pdf, InputModel model)
{
yearsOfAdditions = asset.yearsOfAdd;
yearsOfWithdrawls = asset.yearsOfWith;
additions = asset.addPerYear;
this.pdf = pdf;
withdrawls = asset.withperYear;
initialAmount = asset.currAmount;
this.model = model;
this.asset = asset;
percentiles = new List <Percentiles>(9);
switch (pdf)
{
case PDFType.Normal:
weightedRates = weightRate.weightedRatesNormal;
break;
case PDFType.Laplace:
weightedRates = weightRate.weightedRatesLaplace;
break;
case PDFType.T:
weightedRates = weightRate.weightedRatesT;
break;
}
Allpercentiles = new List <Percentiles>(weightedRates.Count);
GetYearlyBreakdown();
CalculateAverageWithdrawls();
Sort();
ConfidenceIntervals();
ProbabilityOfSuccess();
}
public Ziggurat(PDFType pdfType)
{
pdf = new PDF(0, 1);
switch (pdfType)
{
case PDFType.Normal:
pFunc = pdf.NormalPDF;
lowerBound = 0;
upperBound = 0x100000000;
guess = 3.56;
tailBound = 10;
break;
case PDFType.Laplace:
pFunc = pdf.LaplacePDF;
lowerBound = 0;
upperBound = 5000;
guess = 9;
tailBound = 10;
break;
case PDFType.T:
pFunc = pdf.TPDF;
lowerBound = 0;
upperBound = Int16.MaxValue;
guess = 4;
tailBound = 10;
break;
}
GenerateZigTable();
}
/** Allocate a new PDF Object */
PDFObject createPDFObject(PDFType type)
{
PDFObject obj = new PDFObject(pdfobjects.Count + 1, type);
pdfobjects.Add(obj);
return(obj);
}
private void MakeWeightRates(PDFType pdf, Task <List <List <double> > >[] tasks) //calculates the total gain % for the whole portfolio for each 10,000 trials
{
List <double> weightedTrial;
double currentTotal = 0;
for (int i = 0; i < tasks[0].Result.Count; i++)
{
weightedTrial = new List <double>(tasks[0].Result[0].Count);
for (int j = 0; j < tasks[0].Result[0].Count; j++)
{
for (int a = 0; a < tasks.Length; a++)
{
currentTotal += tasks[a].Result[i][j]; //a is the 9 asset classes, i is each trial, and j is the inividual year
}
weightedTrial.Add(currentTotal);
currentTotal = 0;
}
switch (pdf)
{
case PDFType.Normal:
weightedRatesNormal.Add(weightedTrial);
break;
case PDFType.Laplace:
weightedRatesLaplace.Add(weightedTrial);
break;
case PDFType.T:
weightedRatesT.Add(weightedTrial);
break;
}
}
}
/** Retrieve the PDFObject with the given type */
PDFObject getPDFObject(PDFType type)
{
foreach (PDFObject obj in pdfobjects)
{
if (obj.PDFType == type)
{
return(obj);
}
}
return(null);
}
private void CalculateRates(PDFType pdf)
{
Task <List <List <double> > >[] tasks = new Task <List <List <double> > > [9];
tasks[0] = (Task.Run(() =>
RunCarlo(asset.stocks.lower, pdf)));
tasks[1] = (Task.Run(() => RunCarlo(asset.stocks.mid, pdf)));
tasks[2] = (Task.Run(() => RunCarlo(asset.stocks.upper, pdf)));
tasks[3] = (Task.Run(() => RunCarlo(asset.bonds.lower, pdf)));
tasks[4] = (Task.Run(() => RunCarlo(asset.bonds.mid, pdf)));
tasks[5] = (Task.Run(() => RunCarlo(asset.bonds.upper, pdf)));
tasks[6] = (Task.Run(() => RunCarlo(asset.cash.lower, pdf)));
tasks[7] = (Task.Run(() => RunCarlo(asset.cash.mid, pdf)));
tasks[8] = (Task.Run(() => RunCarlo(asset.cash.upper, pdf)));
Task.WaitAll(tasks);
MakeWeightRates(pdf, tasks);
}
private List <List <double> > RunCarlo(Breakdown breakdown, PDFType pdf)
{
Ziggurat zigg;
switch (pdf)
{
case PDFType.Normal:
zigg = Startup.normalZigg;
break;
case PDFType.Laplace:
zigg = Startup.laplaceZigg;
break;
case PDFType.T:
zigg = Startup.tZigg;
break;
default:
zigg = Startup.normalZigg;
break;
}
Carlo carlo = Task.Run(() => new Carlo(breakdown.expectedReturn, breakdown.volatility, asset.yearsOfAdd + asset.yearsOfWith, zigg)).Result;
List <List <double> > rates = new List <List <double> >(carlo.rates.Count);
List <double> rate;
for (int i = 0; i < carlo.rates.Count; i++)
{
rate = new List <double>(carlo.rates[i].Count);
for (int j = 0; j < carlo.rates[i].Count; j++)
{
rate.Add(carlo.rates[i][j] * breakdown.portfolioWeight);
}
rates.Add(rate);
}
return(rates);
}
public PDFObject(int id, PDFType type)
{
objectId = id;
pdftype = type;
}
public void getPDFViewPath(PDFType pdfType)
{
this.formName = string.Concat(pdfType.ToString(), ".cshtml");
this.viewPath = "~/Views/RT/exportFile/BASIC/" + this.formName;
}
