/// <summary>
/// Performs the regression for a single date
/// </summary>
/// <param name="date">The date.</param>
/// <param name="simulatedCFs">The simulated c fs.</param>
/// <param name="simulatedRegs">The simulated regs.</param>
/// <param name="subPortfolio">The sub portfolio.</param>
/// <returns></returns>
private double[] PerformRegression(Date date, SimulatedCashflows simulatedCFs, SimulatedRegressors simulatedRegs,
List <int> subPortfolio)
{
double[] cfs = simulatedCFs.GetPathwisePV(date, subPortfolio);
double[] fitted = simulatedRegs.FitCFs(date, cfs);
return(fitted);
}
/// <summary>
/// Gets all the data that might be of interest after a simulation.
/// </summary>
/// <param name="portfolioIn">The portfolio in.</param>
/// <param name="valueDate">The value date.</param>
/// <param name="fwdValueDates">The forward value dates.</param>
/// <returns></returns>
public ResultStore GetValuePaths(Product[] portfolioIn, Date valueDate, Date[] fwdValueDates)
{
CalculateAll(portfolioIn, valueDate, fwdValueDates);
ResultStore results = new ResultStore();
results.Add("regressedFwdsPVs", regressedValues);
double[,] fwdCashflowPVs = new double[N, fwdValueDates.Count()];
for (int i = 0; i < fwdValueDates.Count(); i++)
{
fwdCashflowPVs.SetColumn(i, simulatedCFs.GetPathwisePV(fwdValueDates[i], originalTrades));
}
results.Add("fwdCashflowPVs", fwdCashflowPVs);
for (int regressorNumber = 0; regressorNumber < simulatedRegs.GetNumberOfRegressors(); regressorNumber++)
{
results.Add("regressor" + regressorNumber.ToString(), simulatedRegs.GetRegressors(regressorNumber, fwdValueDates));
}
return(results);
}
/// <summary>
/// Gets all the data that might be of interest after a simulation.
/// </summary>
/// <param name="portfolioIn">The portfolio in.</param>
/// <param name="valueDate">The value date.</param>
/// <param name="fwdValueDates">The forward value dates.</param>
/// <returns></returns>
public ResultStore GetValuePaths(IProduct[] portfolioIn, Date valueDate, Date[] fwdValueDates)
{
CalculateAll(portfolioIn, valueDate, fwdValueDates);
var results = new ResultStore();
results.Add("regressedFwdsPVs", _regressedValues);
var fwdCashflowPVs = new double[_numberOfPaths, fwdValueDates.Count()];
for (var i = 0; i < fwdValueDates.Length; i++)
{
fwdCashflowPVs.SetColumn(i, _simulatedCFs.GetPathwisePV(fwdValueDates[i], _originalTrades));
}
results.Add("fwdCashflowPVs", fwdCashflowPVs);
for (var regressorNumber = 0; regressorNumber < _simulatedRegs.GetNumberOfRegressors(); regressorNumber++)
{
results.Add("regressor" + regressorNumber,
_simulatedRegs.GetRegressors(regressorNumber, fwdValueDates));
}
return(results);
}