static void Main(string[] args)
{
while (true)
{
var json = Console.ReadLine();
if (json == null)
{
break;
}
CalculationQuery data = Newtonsoft.Json.JsonConvert.DeserializeObject <CalculationQuery>(json);
//cErrorHandler m_objErrors = new cErrorHandler();
cPrepareSmallData m_objSmallEngine;
m_objSmallEngine = new cPrepareSmallData();
var colRisks = new List <double>();
var colReturns = new List <double>();
double[,] matWeights = new double[0, 0];
string err = m_objSmallEngine.runOptimizationProcess(out colRisks, out colReturns, out matWeights, data.MatCovariance, data.ArrReturns);
CalculationResponse resp = new CalculationResponse
{
colReturns = colReturns,
colRisks = colRisks,
matWeights = matWeights,
errorString = err
};
Console.WriteLine(Newtonsoft.Json.JsonConvert.SerializeObject(resp));
//cErrorHandler m_objErrors = new cErrorHandler();
}
}
public String runOptimizationProcess(out List <double> colRisks, out List <double> colReturns, out double[,] matWeights, double[,] dCovarMatrix, double[] dRatesVector,
double[] arrUpperBound, double[] arrLowerBound, List <List <double> > colEqualitySecs, double[] arrEqualityVals, int iEqualityNum, List <List <double> > colInequalitySecs,
double[] arrInequalityVals, int iEps, int iLoopsMax)
{ // Performs the entire optimization process and returns portfolio risk / returns + weights matrix
// Initialize collections
colRisks = new List <double>();
colReturns = new List <double>();
String sSciError = "";
matWeights = new double[0, 0];
CalculationQuery query = new CalculationQuery
{
ArrReturns = dRatesVector,
MatCovariance = dCovarMatrix
};
lock (lockObject)
{
cQLDService.compiler.StandardInput.WriteLine(Newtonsoft.Json.JsonConvert.SerializeObject(query));
var res = cQLDService.compiler.StandardOutput.ReadLine();
CalculationResponse resp = Newtonsoft.Json.JsonConvert.DeserializeObject <CalculationResponse>(res);
colRisks = resp.colRisks;
colReturns = resp.colReturns;
matWeights = resp.matWeights;
sSciError = resp.errorString;
}
return(sSciError);
}//runOptimizationProcess
public decimal Calculate(CalculationQuery query)
{
var result = calculator.CalculateSalaryFor(query.PersonId, query.Date.DateTime);
return(result);
}