public static Portfolio SinglePortfolio(double[,] array)
{
double[,] profit = CalculationClass.Profitability(array);
double[] averageProfit = CalculationClass.AverageProfitability(profit);
double[] profitSP = CalculationClass.ProfitabilitySP(profit);
double averageProfitSP = profitSP.Average();
double sum_d = 0;
double[] beta = CalculationClass.Beta(profit, averageProfit, profitSP, averageProfitSP, out sum_d);
double[] risk = CalculationClass.ResidualRisk(profit, averageProfit, profitSP, averageProfitSP, beta);
double riskSP = CalculationClass.RiskSP(sum_d, array.GetLength(1));
double R_sp = CalculationClass.R_sp(profitSP, averageProfitSP);
double[] w = new double[beta.Length];
for (int i = 0; i < w.Length; i++)
{
w[i] = Math.Round(1.0 / w.Length, 4) * 100;
}
double profitSP_model = Math.Round(SolverClass.GetProfitSP(averageProfit, beta, R_sp), 4) * 100;
double riskSP_model = Math.Round(riskSP, 4) * 100;// Math.Round(SolverClass.GetRiskSP(beta, risk, riskSP), 4) * 100;
Portfolio p = new Portfolio(w, profitSP_model, riskSP_model);
p.StandDev = Math.Round(riskSP, 4) * 100;
// p.Cost = Math.Round(CalculationClass.PortfolioCost(array, p), 2);
return(p);
}
// assets для Excel
private static Portfolio DoCalculations(double[,] array, Asset[] assets, double valueRiskOrProf, bool forExcel, double[] constraints)
{
try
{
double[,] profit = CalculationClass.Profitability(array);
double[] averageProfit = CalculationClass.AverageProfitability(profit);
double[] profitSP = CalculationClass.ProfitabilitySP(profit);
double averageProfitSP = profitSP.Average();
double sum_d = 0;
double[] beta = CalculationClass.Beta(profit, averageProfit, profitSP, averageProfitSP, out sum_d);
double[] risk = CalculationClass.ResidualRisk(profit, averageProfit, profitSP, averageProfitSP, beta);
double riskSP = CalculationClass.RiskSP(sum_d, array.GetLength(1));
double R_sp = CalculationClass.R_sp(profitSP, averageProfitSP);
if (forExcel)
{
WorkWithExcel.WriteFile(assets, averageProfit, beta, risk, 12, riskSP, R_sp, valueRiskOrProf);
return(null);
}
else
{
return(SolverClass.DoOpt(averageProfit, beta, risk, valueRiskOrProf, riskSP, R_sp, constraints));//, out p);
//return p;
}
}
catch (NullReferenceException) { return(null); }
}
