/// <summary>
/// Projecting for per time point.
/// </summary>
public void ProjectPerTimePoint(int timePoint, StateIndependentProjectionResult ecoResult)
{
// Calculating for current time
CalculatePortFolioWideReserveForCurrentTimePoint(ecoResult, timePoint);
CalculateControlsForCurrentTimePoint(ecoResult, timePoint);
// Project shaped to next time point
ProjectShapesNextTimePoint(ecoResult, timePoint + 1);
}
/// <summary>
/// Projecting for per economic scenarios.
/// </summary>
public void ProjectPerEconomicScenario(StateIndependentProjectionResult ecoResult)
{
Initialize(ecoResult);
for (var i = 0; i < NumberOfProjectionTimes - 1; i++)
{
ProjectPerTimePoint(i, ecoResult);
}
}
/// <summary>
/// Initializing StateIndependentProjectionResult for time zero.
/// </summary>
public void Initialize(StateIndependentProjectionResult ecoResult)
{
// Equity
ecoResult.EquityResults.Equity[0] = Math.Pow(10, 7);
// Portfolio quantities
foreach (var portfolio in ecoResult.PortfolioResults)
{
portfolio.Value.AssetProcess[0] = Math.Pow(10, 8);
portfolio.Value.ProjectedBonusCashFlow[0] = 0.0;
portfolio.Value.QProcess[0] = 0.0;
}
}
/// <summary>
/// Projecting for all economic scenarios.
/// </summary>
public Balance Project()
{
for (var i = 0; i < NumberOfEconomicScenarios; i++)
{
var ecoResult = new StateIndependentProjectionResult(
Input.Policies.Keys,
NumberOfProjectionTimes,
EcoScenarioGenerator.SimulateMarket());
ProjectPerEconomicScenario(ecoResult);
ProjectionResult.Add(ecoResult);
}
return(CalculateBalance());
}
/// <summary>
/// Calculating reserve by discounting cash flow with relevant zero coupon bond prices.
/// </summary>
public void CalculatePortFolioWideReserveForCurrentTimePoint(StateIndependentProjectionResult ecoResult,
int timePoint)
{
foreach (var(portfolio, value) in ecoResult.PortfolioResults)
{
value.PortfolioWideTechnicalReserve[timePoint] = Input.PortfolioWideOriginalTechReserves[portfolio][TimePointToIndex(timePoint)]
+ value.QProcess[timePoint] * Input.PortfolioWideBonusTechReserves[portfolio][TimePointToIndex(timePoint)];
value.PortfolioWideMarketReserve[timePoint] =
ReserveCalculator(
timePoint,
ecoResult.EconomicScenario[Assets.ShortRate][TimePointToIndex(timePoint)],
Input.MarketOriginalCashFlows[portfolio]
.Zip(Input.MarketBonusCashFlows[portfolio], (x, y) => x + value.QProcess[timePoint] * y).ToArray());
}
}
/// <summary>
/// Projecting shapes to next time point.
/// </summary>
public void ProjectShapesNextTimePoint(StateIndependentProjectionResult ecoResult, int timePoint)
{
var shortRateToLastTimePoint = ecoResult.EconomicScenario[Assets.ShortRate][TimePointToIndex(timePoint - 1)];
var lastTimePointRiskyAssetPrice = ecoResult.EconomicScenario[Assets.RiskyAsset][TimePointToIndex(timePoint - 1)];
var riskyAssetPriceChange =
ecoResult.EconomicScenario[Assets.RiskyAsset][TimePointToIndex(timePoint)]
- lastTimePointRiskyAssetPrice;
var transactionSum = 0.0;
// Portfolio quantities
foreach (var(portfolio, value) in ecoResult.PortfolioResults)
{
// Projecting Q-process
value.QProcess[timePoint] = value.QProcess[timePoint - 1]
+ (value.DividendProcess[Index.Zero][timePoint - 1]
+ value.DividendProcess[Index.One][timePoint - 1] * value.QProcess[timePoint - 1]) * ProjectionStepSize;
value.ProjectedBonusCashFlow[timePoint] = value.ProjectedBonusCashFlow[timePoint - 1]
+ (value.QProcess[timePoint] - value.QProcess[timePoint - 1]) / 2
* (Input.MarketBonusCashFlows[portfolio][TimePointToIndex(timePoint)]
- Input.MarketBonusCashFlows[portfolio][TimePointToIndex(timePoint - 1)]);
value.AssetProcess[timePoint] = value.AssetProcess[timePoint - 1]
+ shortRateToLastTimePoint * (value.AssetProcess[timePoint - 1]
- value.ShareInRiskyStockAssetProcess[timePoint - 1] * lastTimePointRiskyAssetPrice) * ProjectionStepSize
+ value.ShareInRiskyStockAssetProcess[timePoint - 1] * riskyAssetPriceChange
- (Input.MarketOriginalCashFlows[portfolio][TimePointToIndex(timePoint)]
- Input.MarketOriginalCashFlows[portfolio][TimePointToIndex(timePoint - 1)])
- (value.ProjectedBonusCashFlow[timePoint] - value.ProjectedBonusCashFlow[timePoint - 1])
- value.TransactionProcess[Index.Zero][timePoint - 1] * ProjectionStepSize
- value.TransactionProcess[Index.One][timePoint - 1];
transactionSum += value.TransactionProcess[Index.Zero][timePoint - 1] * ProjectionStepSize
+ value.TransactionProcess[Index.One][timePoint - 1];
}
// Projecting E-process
var lastTimeEquity = ecoResult.EquityResults.Equity[timePoint - 1];
var shareInRiskyAsset = ecoResult.EquityResults.ShareInRiskyAssetEquity[timePoint - 1];
ecoResult.EquityResults.Equity[timePoint] = lastTimeEquity
+ shortRateToLastTimePoint * (lastTimeEquity
- shareInRiskyAsset * lastTimePointRiskyAssetPrice) * ProjectionStepSize
+ shareInRiskyAsset * riskyAssetPriceChange + transactionSum;
}
/// <summary>
/// Calculate controls for current time point.
/// </summary>
private void CalculateControlsForCurrentTimePoint(StateIndependentProjectionResult ecoResult, int timePoint)
{
//TODO OLIVER
foreach (var portfolio in ecoResult.PortfolioResults)
{
var x = 0.0;
if (timePoint % 12 == 0)
{
if (portfolio.Value.AssetProcess[timePoint] - portfolio.Value.PortfolioWideTechnicalReserve[timePoint] > 0)
{
x = 0.003 * (portfolio.Value.AssetProcess[timePoint] - portfolio.Value.PortfolioWideTechnicalReserve[timePoint]);
}
else
{
x = -(portfolio.Value.AssetProcess[timePoint] - portfolio.Value.PortfolioWideTechnicalReserve[timePoint]);
}
}
else
{
x = 0;
}
var h1 = new double(); //Use "Tax- and expense-modified risk-minimization for insurance payment processes" p.24 with gamma=delta=0
var rt = ecoResult.EconomicScenario[Assets.ShortRate][TimePointToIndex(timePoint)]; //todo - unsure if this is the right timePoint conversion here.
var timePointYear = ProjectionIndexToTimeInYear(timePoint);
var Y = 0.0;
for (var t = timePoint; t <= ProjectionTimeInYearToIndex(ProjectionEndTime); t++)
{
Y = (Input.MarketOriginalCashFlows[portfolio.Key][t] + portfolio.Value.QProcess[timePoint] * Input.MarketBonusCashFlows[portfolio.Key][t])
- (Input.MarketOriginalCashFlows[portfolio.Key][timePoint] + portfolio.Value.QProcess[timePoint] * Input.MarketBonusCashFlows[portfolio.Key][timePoint]);
h1 = h1 + EcoScenarioGenerator.ZeroCouponBondPriceDerivatives(rt, timePointYear, ProjectionIndexToTimeInYear(t))
/ EcoScenarioGenerator.ZeroCouponBondPriceDerivatives(rt, timePointYear, ProjectionEndTime)
* Y
* ProjectionStepSize;
}
portfolio.Value.TransactionProcess[Index.Zero][timePoint] = 0.0;
portfolio.Value.TransactionProcess[Index.One][timePoint] = x; //take 0.3% of "surplus" if positive, otherwise, transfer so surplus is non-negative
portfolio.Value.DividendProcess[Index.Zero][timePoint] = 0.01;
portfolio.Value.DividendProcess[Index.One][timePoint] = 0.01;
portfolio.Value.ShareInRiskyStockAssetProcess[timePoint] = h1;
}
ecoResult.EquityResults.ShareInRiskyAssetEquity[timePoint] = 0.0;
}
