static void Main(string[] args)
{
var wireData = new WireData <Round>();
string file1 = @"c:\temp\losses_small_better";
string file2 = @"c:\temp\losses_small_better";
var joiner = new LossJoiner();
var limiter = new LossLimiter();
List <Round> roundsFromSource1 = wireData.ReadAll(file1);
joiner.AddData(roundsFromSource1);
List <Round> roundsFromSource2 = wireData.ReadAll(file2);
joiner.AddData(roundsFromSource2);
var allRounds = joiner.GetRounds();
var limitedRounds = limiter.Limit(allRounds, 30000);
var average = RiskMeasures.Average(limitedRounds);
var maxLoss = RiskMeasures.MaxLoss(limitedRounds);
var tvar10 = RiskMeasures.TailValueAtRisk(limitedRounds, 0.9);
Console.WriteLine($"Average: {average}");
Console.WriteLine($"maxLoss: {maxLoss}");
Console.WriteLine($"tvar10: {tvar10}");
Console.ReadKey();
}
public void Generate()
{
LossSimulator lossSimulator = new LossSimulator();
var fileName = @"c:\temp\losses_small_all";
var fileName2 = @"c:\temp\losses_large_all";
var losses = lossSimulator.GenerateStatic(20000, 100);
var losses2 = lossSimulator.GenerateStatic(100000, 100);
var betterLosses = lossSimulator.GenerateRandom(1000000, 1000);
var protobufData = new ProtobufData <Trial>();
var wireData = new WireData <Trial>();
//wireData.WriteAll(betterLosses.ToList(), @"c:\temp\losses_small_better", Console.WriteLine);
protobufData.WriteStreamedData(@"c:\temp\losses_large_streamed", betterLosses, Console.WriteLine);
wireData.WriteStreamedData(@"c:\temp\losses_large_streamed", betterLosses, Console.WriteLine);
//protobufData.WriteAll(losses.ToList(), fileName, Console.WriteLine);
//protobufData.WriteAll(losses2.ToList(), fileName2, Console.WriteLine);
//wireData.WriteAll(losses.ToList(), fileName, Console.WriteLine);
//wireData.WriteAll(losses2.ToList(), fileName2, Console.WriteLine);
List <Trial> r = protobufData.ReadAll(fileName);
List <Trial> r2 = protobufData.ReadAll(fileName2);
List <Trial> r3 = wireData.ReadAll(fileName);
List <Trial> r4 = wireData.ReadAll(fileName2);
//int roundCount = protobufData.WriteStreamedData(fileName + ".pb", losses, Console.WriteLine);
//int roundCount2 = wireData.WriteStreamedData(fileName + ".wir", losses, Console.WriteLine);
// IEnumerable<Trial> allData = wireData.GetStreamedData(fileName + ".wir", roundCount2);
//IEnumerable<Trial> allData2 = protobufData.GetStreamedData(fileName + ".pb", roundCount);
}