public Result Run()
{
PortfoliosEnsemble trials = new PortfoliosEnsemble();
Task <Trial[]> stocks = Task <Trial[]> .Factory.StartNew(() =>
{
return(stocksSimulation.Run(withProfile: stocksProfile));
});
Task <Trial[]> bonds = Task <Trial[]> .Factory.StartNew(() =>
{
return(bondsSimulation.Run(withProfile: bondsProfile));
});
Task <Trial[]> savings = Task <Trial[]> .Factory.StartNew(() =>
{
return(savingsSimulation.Run(withProfile: savingsProfile));
});
trials.StocksTrials = stocks.Result;
trials.BondsTrials = bonds.Result;
trials.SavingsTrials = savings.Result;
return(ProcessTrials(trials));
}
private Result ProcessTrials(PortfoliosEnsemble trials)
{
Result result = new Result();
int trialLength = stocksProfile.TrialLength;
double withdrawalAmount = stocksProfile.WithdrawalAmount +
bondsProfile.WithdrawalAmount +
savingsProfile.WithdrawalAmount;
// Aggregate trials
var portfolios = new Portfolio[MonteCarloSimulation.NUM_TRIALS];
for (var i = 0; i < portfolios.Length; i++)
{
portfolios[i] = new Portfolio
{
Stocks = trials.StocksTrials[i],
Bonds = trials.BondsTrials[i],
Savings = trials.SavingsTrials[0], // They are all the same, 0 takes least time to access probably
Total = new Trial()
};
portfolios[i].Total.Balances = new double[trialLength];
for (var j = 0; j < trialLength; j++)
{
portfolios[i].Total.Balances[j] = trials.StocksTrials[i].Balances[j] +
trials.BondsTrials[i].Balances[j] +
trials.SavingsTrials[i].Balances[j];
}
}
// Get success rate
Task <int> successRate = new Task <int>(() =>
{
int numberOfSuccesses = 0;
for (var i = 0; i < MonteCarloSimulation.NUM_TRIALS; i++)
{
if (portfolios[i].Total.Balances[trialLength - 2] >= withdrawalAmount)
{
numberOfSuccesses++;
}
}
return((int)Math.Round(100 * numberOfSuccesses / (double)MonteCarloSimulation.NUM_TRIALS));
});
// Get percentiles
IEnumerable <double[]> findPercentiles()
{
for (int i = 0; i < portfolios.Length; i++)
{
// Make sure that NUM_TRIALS - 1 in MonteCarloSimulation is an even multiple of NUM_PERCENTILES - 1
if (i % ((portfolios.Length - 1) / (NUM_PERCENTILES - 1)) == 0)
{
yield return(portfolios[i].Total.Balances);
}
}
}
Task <IEnumerable <double[]> > getPercentiles = new Task <IEnumerable <double[]> >(findPercentiles);
// Look at distribution of stock returns
Task getStocksReturns = new Task(() =>
{
(result.StocksReturnRateFrequencies, result.StocksReturnRateXLabels) =
GetDistributionOf(trials.StocksTrials.SelectMany(trial => trial.ReturnRates));
});
// Look at distribution of bond returns
Task getBondsReturns = new Task(() =>
{
(result.BondsReturnRateFrequencies, result.BondsReturnRateXLabels) =
GetDistributionOf(trials.BondsTrials.SelectMany(trial => trial.ReturnRates));
});
Task getPeaksAndEnds = new Task(() =>
{
List <double> stockPeaks = new List <double>(3);
List <double> bondPeaks = new List <double>(3);
List <double> stockEnds = new List <double>(3);
List <double> bondEnds = new List <double>(3);
var n = MonteCarloSimulation.NUM_TRIALS;
double[] allStockPeaks = new double[n];
double[] allStockEnds = new double[n];
double[] allBondPeaks = new double[n];
double[] allBondEnds = new double[n];
for (int i = 0; i < n; i++)
{
allStockPeaks[i] = trials.StocksTrials[i].Peak;
allStockEnds[i] = trials.StocksTrials[i].Final;
allBondPeaks[i] = trials.BondsTrials[i].Peak;
allBondEnds[i] = trials.BondsTrials[i].Final;
}
allStockPeaks.ParallelMergeSort();
allStockEnds.ParallelMergeSort();
allBondPeaks.ParallelMergeSort();
allBondEnds.ParallelMergeSort();
for (var i = 1; i < 4; i++)
{
var index = n / 4 * i;
stockPeaks.Add(allStockPeaks[index] - (i == 1 ? 0 : stockPeaks.Sum()));
bondPeaks.Add(allBondPeaks[index] - (i == 1 ? 0 : bondPeaks.Sum()));
stockEnds.Add(allStockEnds[index] - (i == 1 ? 0 : stockEnds.Sum()));
bondEnds.Add(allBondEnds[index] - (i == 1 ? 0 : bondEnds.Sum()));
}
result.StocksRetirementAmounts = stockPeaks;
result.BondsRetirementAmounts = bondPeaks;
result.StocksEndAmounts = stockEnds;
result.BondsEndAmounts = bondEnds;
});
// Sort the trials
portfolios.ParallelMergeSort(CompareTrials);
// Run each task
getPercentiles.Start();
successRate.Start();
getStocksReturns.Start();
getBondsReturns.Start();
getPeaksAndEnds.Start();
result.PortfolioPercentiles = getPercentiles.Result;
result.SuccessRate = successRate.Result;
getBondsReturns.Wait();
getStocksReturns.Wait();
getPeaksAndEnds.Wait();
return(result);
}
