1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
|
public class Asset
{
/// <summary>
/// Calculates the PnLs for the different scenarios given as historical data
/// </summary>
/// <returns>An array with the different PnLs for the scenarios</returns>
public double[] ScenarioPnL()
{
double[] _scenarios = this.GenerateScenarios();
double[] _scenarioPnL = new double[_scenarios.Length];
for (int _i = 0; _i < _scenarioPnL.Length; _i++)
{
_scenarioPnL[_i] = this.CurrentValue;
}
return _scenarioPnL;
}
private double[] GenerateScenarios()
{
if (!this.CheckInput())
{
return null;
}
//1 less scenario than there are historical values
double[] _scenarios = new double[this.HistoricalValues.Length - 1];
for (int _index = 0; _index < _scenarios.Length; _index++)
{
_scenarios[_index] =
this.CurrentValue *
(this.HistoricalValues[_index + 1] / this.HistoricalValues[_index]);
}
return _scenarios;
}
// checks the validity of input
private bool CheckInput()
{
if (this.Name == null)
{
throw new ArgumentException("Name of the asset is null or invalid ");
}
if (Double.IsNaN(this.CurrentValue))
{
throw new ArgumentException("Current value is invalid ");
}
foreach (double _historicalValue in this.HistoricalValues)
{
if (Double.IsNaN(_historicalValue))
{
throw new ArgumentException(" The historical value: "
+ _historicalValue + " is invalid in HistoricalValues");
}
}
return true;
}
//public Asset(string name, double currentValue,double w, double[] hist)
//{
// Name = name;
// CurrentValue = currentValue;
// Weight = w;
// HistoricalValues = hist;
//}
/// <summary>
/// Gets or sets Name of the asse
/// </summary>
public string Name { get; set; }
/// <summary>
/// Gets or sets Current value of the asset
/// </summary>
public double CurrentValue { get; set; }
/// <summary>
/// Gets or sets This is the weight of the asset in the portfolio
/// </summary>
public double Weight { get; set; }
/// <summary>
/// Gets or sets Historical value of the asset
/// </summary>
public double[] HistoricalValues { get; set; } |
