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); }
}
public static List <Portfolio> DoListPortfolio(double[,] finalArray, Asset[] selectedAssets, double start, double finish, double step, double[] constraints)
{
List <Portfolio> results = new List <Portfolio>();
double r = 0, p = 0;
bool isCycle = false;
while (start <= finish && !isCycle)
{
Portfolio result = ClassAssistant.DoCalculations(finalArray, selectedAssets, start, false, constraints);
if (result.Profit == p && result.Risk == r)
{
break;
}
else
{
if (start > result.Profit)
{
break;
}
else
{
double t = Math.Truncate(result.Profit / step);
start = step * t + step;
}
p = result.Profit;
r = result.Risk;
double sum = 0;
for (int k = 0; k < result.ConvertPortfolio().Length; k++)
{
result.ConvertPortfolio()[k] = Math.Round(result.ConvertPortfolio()[k], 4) * 100;
}
result.Profit = Math.Round(result.Profit, 5) * 100;
result.Risk = Math.Round(result.Risk, 4) * 100;
sum = result.GetSum;
foreach (var res in results)
{
if (res.Profit == result.Profit && res.Risk == result.Risk)
{
isCycle = true;
}
}
if (Math.Abs(sum - 100) <= 0.1 && !isCycle)
{
double[,] profit = CalculationClass.Profitability(finalArray);
result.StandDev = Math.Round(CalculationClass.StandardDeviation(profit, result), 4) * 100;
// result.Cost = Math.Round(CalculationClass.PortfolioCost(finalArray, result), 2);
results.Add(result);
}
}
}
return(results);
}