public static void Run() { List<Position> list = new List<Position>(); /* list.Add(new Position()); list.Add(new Position("bond")); list.Add(new Position("stock")); * */ Portfolio p = new Portfolio(); double[] returns = {0.000, 0.13, -0.13}; DenseVector returns1 = new DenseVector(returns); double[] stdev = {0, 7.4, 7.4}; double[,] covariance = {{1, -.4, -.45}, {-.4, 1, .35}, {-0.45, 0.35, 1}}; DenseMatrix covariance1 = StatisticsExtension.CorrelationToCovariance(new DenseMatrix(covariance), new DenseVector(stdev)); PortfolioOptimizer po = new PortfolioOptimizer(p, .09002, covariance1, returns1); po.BuildRiskModel(); Console.ReadLine(); }
public static void Run() { List <Position> list = new List <Position>(); /* * list.Add(new Position()); * list.Add(new Position("bond")); * list.Add(new Position("stock")); * */ Portfolio p = new Portfolio(); double[] returns = { 0.000, 0.13, -0.13 }; DenseVector returns1 = new DenseVector(returns); double[] stdev = { 0, 7.4, 7.4 }; double[,] covariance = { { 1, -.4, -.45 }, { -.4, 1, .35 }, { -0.45, 0.35, 1 } }; DenseMatrix covariance1 = StatisticsExtension.CorrelationToCovariance(new DenseMatrix(covariance), new DenseVector(stdev)); PortfolioOptimizer po = new PortfolioOptimizer(p, .09002, covariance1, returns1); po.BuildRiskModel(); Console.ReadLine(); }