public cOptimalPort(double[,] dWeights, int iPos, double dRisk, double dReturn, ISecurities cSecsCol, IErrorHandler cErrors, double Equity, double AdjCoeff, string CalcCurrency)
{
m_objErrorHandler = cErrors;
m_iPortPos = iPos;
m_dPortRisk = dRisk;
m_dPortReturn = dReturn;
try
{
cOptimalStaticCalcs op = new cOptimalStaticCalcs();
setSecuritiesCollection(cSecsCol, dWeights, Equity, AdjCoeff, CalcCurrency);
m_dRateToRisk = m_dPortReturn / m_dPortRisk;
m_dDiversification = op.getDiversificationValue(dWeights, cSecsCol, iPos, m_dPortRisk);
double dSecValue;
double dCurrCash;
m_cash = 0;
for (var i = 0; i < m_colSecurities.Count; i++)
{
dSecValue = Math.Floor(m_colSecurities[i].Quantity) * m_colSecurities[i].Price / AdjCoeff;
dCurrCash = (m_colSecurities[i].Quantity - Math.Floor(m_colSecurities[i].Quantity)) * m_colSecurities[i].Price / AdjCoeff;
// cash : sum - after making qty whole + cents/agorot of security value
m_cash += dCurrCash + dSecValue - Math.Floor(dSecValue);
}
}
catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
}//constructor
}//calculateNewEfficientFrontier
private void runEfficientFrontierModule(ISecurities cSecsCol)
{ // Runs the efficient frontier calculation
try
{
// Initialize variables
double[,] weightsMat;
cOptimalStaticCalcs calcs = new cOptimalStaticCalcs();
// Constraints
m_objConstraints.refreshConstList();
m_objConstraints.setConstraintValues(cSecsCol);
// Parameters
m_arrRatesVector = getRatesArrForScilab(cSecsCol); // Create rates array
if ((m_arrRatesVector.Length == 0) || (m_arrCovarData == null))
{
m_strEngineErrors = "Missing data"; m_objErrorHandler.LogInfo(m_strEngineErrors); return;
}
// Calculation
List <double> colRisks = new List <double>(), colRates = new List <double>();
m_strEngineErrors = calcs.runOptimizationProcess(out colRisks, out colRates, out weightsMat, m_arrCovarData, m_arrRatesVector,
m_objConstraints.DoubleUpperBound, m_objConstraints.DoubleLowerBound, m_objConstraints.DoubleEqualitySecs, m_objConstraints.DoubleEqualityValues, m_objConstraints.IntEqualityNum,
m_objConstraints.Double_NonEqualitySecs, m_objConstraints.Double_NonEqualityValues, 0, cProperties.OptimalPorts);
if ((m_strEngineErrors != "") || (colRisks.Count == 0) || (colRates.Count == 0))
{
m_isSuccessfulCalc = false; return;
} // Error in calculation
// Set final variables
m_dWeightsMatrix = weightsMat;
setOptimalPortsCollection(cSecsCol, colRisks, colRates);
setMainWeightsMatrix(weightsMat);
if (m_colOptimalPorts.Count == 0)
{
m_isSuccessfulCalc = false; m_strEngineErrors = "Failed to calculate EF"; return;
}
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
}//runEfficientFrontierModule
