public CovContToRiskResult CalcContToRisk(SysTimeSeries exposures_, DateTime asOf_)
{
// extract exposure on date
var expOnDate = exposures_.Data.GetValues(asOf_);
return CalcContToRisk(exposures_.Data.ColumnHeadings, expOnDate);
}
private static void unpackSeries(SysTimeSeries series_)
{
var dates = series_.Data.Keys.ToArray();
for (int i = 0; i < series_.Data.ColumnHeadings.Length; ++i)
{
var sec = series_.Data.ColumnHeadings[i];
var s = series_.Data.GetColumnValues(i);
if (s != null && s.Length > 0 && s[s.Length - 1].IsZero())
{
m_list[sec] = new DatedDataCollectionGen<double>(dates.Slice(0, dates.Length - 1), s.Slice(0, s.Length - 1));
}
else
{
m_list[sec] = new DatedDataCollectionGen<double>(dates, s);
}
}
}
public bool LooselyEquals(SysTimeSeries other_)
{
bool different = other_ == null;
different = different || (HasData != other_.HasData);
different = different || (Data.ArrayLength != other_.Data.ArrayLength);
different = different || (Data.Keys.Count != other_.Data.Keys.Count);
different = different || (Data.LastKey() != other_.Data.LastKey());
different = different || (!Data.LastValues().SequenceEqual(other_.Data.LastValues()));
return !different;
}
//public double[] CalcLatestContToRisk(SysTimeSeries exposures_)
//{
// if (exposures_ == null || exposures_.Data == null || exposures_.Data.Keys.Count == 0) return null;
// return CalcContToRisk(exposures_, exposures_.Data.Keys[exposures_.Data.Keys.Count - 1]);
//}
//public double[] CalcContToRisk(SysTimeSeries exposures_, DateTime asOf_)
//{
// // extract exposure on date
// var expOnDate = exposures_.Data.GetValues(asOf_);
// return CalcContToRisk(exposures_.Data.ColumnHeadings, expOnDate);
//}
//public double[] CalcContToRisk(string[] exposureNames_, double[] exposureValues_)
//{
// // get indexes for instruments in covariance
// var indexes = new int[exposureNames_.Length];
// for (int i = 0; i < indexes.Length; ++i)
// if (exposureValues_[i].IsZero())
// indexes[i] = -1;
// else
// indexes[i] = FindIndexOfInstrument(exposureNames_[i]);
// // translate up the exposures into same dimensions as covariance
// var exposuresInCovarianceDimensions = new double[Keys.Count];
// for (int i = 0; i < indexes.Length; ++i)
// {
// if (indexes[i] == -1) continue;
// exposuresInCovarianceDimensions[indexes[i]] = exposureValues_[i];
// }
// // calculate contributions to risk
// var contToRisk = GetContToVar(exposuresInCovarianceDimensions);
// // translate back into porfolio dimensions
// var riskInPortfolioDimensions = new double[exposureValues_.Length];
// for (int i = 0; i < riskInPortfolioDimensions.Length; ++i)
// {
// if (indexes[i] == -1) continue;
// riskInPortfolioDimensions[i] = contToRisk[indexes[i]];
// }
// return riskInPortfolioDimensions;
//}
public CovContToRiskResult CalcLatestContToRisk(SysTimeSeries exposures_)
{
if (exposures_ == null || exposures_.Data == null || exposures_.Data.Keys.Count == 0) return null;
return CalcContToRisk(exposures_, exposures_.Data.Keys[exposures_.Data.Keys.Count - 1]);
}
public double CalcVol(SysTimeSeries exposures_, DateTime asOf_)
{
// extract exposure on date
var expOnDate = exposures_.Data.GetValues(asOf_);
return CalcVol(exposures_.Data.ColumnHeadings, expOnDate);
}
public double CalcLatestVol(SysTimeSeries exposures_)
{
if (exposures_ == null || exposures_.Data == null || exposures_.Data.Keys.Count == 0) return double.NaN;
return CalcVol(exposures_, exposures_.Data.Keys[exposures_.Data.Keys.Count - 1]);
}