public PortfolioRiskStatsViewDto( int portfolioId, RiskStatsViewDto riskStatsViewDto ) : base( riskStatsViewDto.ValueAtRisk90, riskStatsViewDto.ExpectedShortfall90, riskStatsViewDto.ValueAtRisk95, riskStatsViewDto.ExpectedShortfall95, riskStatsViewDto.ValueAtRisk99, riskStatsViewDto.ExpectedShortfall99 ) { PortfolioId = portfolioId; }
public StockRiskStatsViewDto( int stockId, string stockName, RiskStatsViewDto riskStatsViewDto ) : base( riskStatsViewDto.ValueAtRisk90, riskStatsViewDto.ExpectedShortfall90, riskStatsViewDto.ValueAtRisk95, riskStatsViewDto.ExpectedShortfall95, riskStatsViewDto.ValueAtRisk99, riskStatsViewDto.ExpectedShortfall99 ) { StockId = stockId; StockName = stockName; }
public static async Task <RiskStatsViewDto> GetAssetRiskStats(List <double> fullReturnSet) { ImmutableList <double> roReturnSet = fullReturnSet.ToImmutableList(); (double var, double es)varAndEs90 = await Task.Run(() => GetVarAndEsAtConfidenceLvl(roReturnSet, 90)); (double var, double es)varAndEs95 = await Task.Run(() => GetVarAndEsAtConfidenceLvl(roReturnSet, 95)); (double var, double es)varAndEs99 = await Task.Run(() => GetVarAndEsAtConfidenceLvl(roReturnSet, 99)); RiskStatsViewDto partialResult = new RiskStatsViewDto( varAndEs90.var, varAndEs90.es, varAndEs95.var, varAndEs95.es, varAndEs99.var, varAndEs99.es ); return(partialResult); }