private double doOverallPnLCalculation(double percentile)
{
Matrix portfolioVolatility = weights.Multiply(volatilityMatrix.Multiply(weights.Transpose()));
if ((1 != portfolioVolatility.numRows) || (1 != portfolioVolatility.numColumns))
{
throw new CovarianceVaRCalculator_Exception("Bad configuration!");
}
return(Math.Sqrt(portfolioVolatility[0, 0]) * GaussianInverseCDF.doInverse(percentile) * lastTotalSum);
}
private SortedDictionary <string, Tuple <double, double> > diaggregatePnL(SortedDictionary <string, Security> secData, double percentile)
{
SortedDictionary <string, Tuple <double, double> > result = new SortedDictionary <string, Tuple <double, double> >();
int i = 0;
foreach (KeyValuePair <string, Security> sd in secData)
{
double individualVaR = weights[0, i] * Math.Sqrt(volatilityMatrix[i, i]) * GaussianInverseCDF.doInverse(percentile) * lastTotalSum;
Tuple <double, double> VaRs = new Tuple <double, double>(lastCalculatedVaR * weights[0, i], individualVaR);
result.Add(sd.Key, VaRs);
i++;
}
if (1 < allowDebugOutput)
{
foreach (KeyValuePair <string, Tuple <double, double> > r in result)
{
Console.WriteLine("VaR for {0}: {1} (if it was on its own: {2})", r.Key, r.Value.Item1, r.Value.Item2);
}
}
return(result);
}