From 26a8c4794b0c3d2434fdc500010ed659bc4f4ca2 Mon Sep 17 00:00:00 2001 From: Sean Date: Thu, 19 Feb 2026 20:12:40 -0500 Subject: [PATCH] Use AI to fix some issues with the HVaR --- .../MarketDataLib/ValueAtRisk/BinManager.cs | 7 ++- MarketData/MarketDataLib/ValueAtRisk/HVaR.cs | 60 ++++++++++++------- .../ValueAtRisk/PortfolioHoldings.cs | 1 - 3 files changed, 43 insertions(+), 25 deletions(-) diff --git a/MarketData/MarketDataLib/ValueAtRisk/BinManager.cs b/MarketData/MarketDataLib/ValueAtRisk/BinManager.cs index 526bfdd..d978fdd 100755 --- a/MarketData/MarketDataLib/ValueAtRisk/BinManager.cs +++ b/MarketData/MarketDataLib/ValueAtRisk/BinManager.cs @@ -44,7 +44,8 @@ namespace MarketData.ValueAtRisk InitializeBins(); GetMinMax(ref minValue,ref maxValue,values); binSize=(maxValue-minValue)/(double)binCount; - for (double value = minValue; value < maxValue; value += binSize) + if (binSize == 0) binSize = 1e-10; + for (double value = minValue; value <= maxValue; value += binSize) { binItems.Add(new BinItem(value)); } @@ -76,7 +77,8 @@ namespace MarketData.ValueAtRisk InitializeBins(); GetMinMax(ref minValue,ref maxValue,values); binSize=(maxValue-minValue)/(double)binCount; - for (double value = minValue; value < maxValue; value += binSize) + if (binSize == 0) binSize = 1e-10; + for (double value = minValue; value <= maxValue; value += binSize) { binItems.Add(new BinItem(value)); } @@ -130,7 +132,6 @@ namespace MarketData.ValueAtRisk private void AddObjectToBin(double value,T item) { bool added = false; -// samples++; for (int index = 0; index < binItems.Count; index++) { BinItem binItem = binItems[index]; diff --git a/MarketData/MarketDataLib/ValueAtRisk/HVaR.cs b/MarketData/MarketDataLib/ValueAtRisk/HVaR.cs index 6e6d63a..4ca40e5 100755 --- a/MarketData/MarketDataLib/ValueAtRisk/HVaR.cs +++ b/MarketData/MarketDataLib/ValueAtRisk/HVaR.cs @@ -17,33 +17,50 @@ namespace MarketData.ValueAtRisk public static VaRResult GetVaR(PortfolioHoldings portfolioHoldings, double percentile,int returnDays=1) { VaRResult varResult=new VaRResult(); - if (null == portfolioHoldings || 0 == portfolioHoldings.Count) + + if (portfolioHoldings == null || portfolioHoldings.Count == 0) { - varResult.Success=false; - return varResult; + varResult.Success = false; + varResult.Message = "Portfolio is null or empty."; + return varResult; + } + +// Determine the minimum common price history across holdings + int minPriceCount = int.MaxValue; + + for (int i = 0; i < portfolioHoldings.Count; i++) + { + int count = portfolioHoldings[i].Prices.Count; + if (count < minPriceCount) + minPriceCount = count; } -// This ensures that the pricing information for each holding is symmetric. -// The piece of code that checks for jagged pricing should be handled differently. For example, we should be able to continue the VaR analysis and simply account for no exposure to the -// given symbol in the event of a lack of pricing data. This would handle the current issue with securities that have been trading for less than the number of observation days. - if (portfolioHoldings.Count > 1) + + // Enforce minimum observation requirement (optional but recommended) + if (minPriceCount < 30) // or whatever threshold you prefer { - int priceCount=-1; - for (int index = 1; index < portfolioHoldings.Count; index++) - { - if(portfolioHoldings[index].Prices.Count>priceCount)priceCount=portfolioHoldings[index].Prices.Count; - } - for (int index = 1; index < portfolioHoldings.Count; index++) - { - if (portfolioHoldings[index].Prices.Count != priceCount) + varResult.Success = false; + varResult.Message = $"Insufficient common price history ({minPriceCount} observations)."; + return varResult; + } + + // Truncate all holdings to the common window + for (int i = 0; i < portfolioHoldings.Count; i++) + { + if (portfolioHoldings[i].Prices.Count > minPriceCount) { - varResult.Success=false; - varResult.Message=String.Format("Insufficient price history for {0}. {1}/{2}",portfolioHoldings[index].Symbol,portfolioHoldings[index].Prices.Count,priceCount); - return varResult; + portfolioHoldings[i].Prices = new MarketDataModel.Prices(portfolioHoldings[i].Prices.Skip(portfolioHoldings[i].Prices.Count - minPriceCount).ToList()); } - } } + // Calculate total market value and then calculate the weightings of each holding double marketValue = portfolioHoldings.GetMarketValue(); + if (marketValue == 0) + { + varResult.Success = false; + varResult.Message = "Portfolio market value is zero."; + return varResult; + } + for (int index = 0; index < portfolioHoldings.Count; index++) { PortfolioHolding portfolioHolding = portfolioHoldings[index]; @@ -51,7 +68,8 @@ namespace MarketData.ValueAtRisk } // Calculate the weighted returns for the observation period portfolioHoldings.SetReturnDays(returnDays); - int numReturns=portfolioHoldings[0].Returns.Length; +// int numReturns=portfolioHoldings[0].Returns.Length; + int numReturns = portfolioHoldings.Min(p => p.Returns.Length); WeightedReturnsWithContribution weightedReturnsWithContrbution=new WeightedReturnsWithContribution(); for (int index = 0; index < numReturns; index++) { @@ -80,7 +98,7 @@ namespace MarketData.ValueAtRisk portfolioHoldingsBySymbol[contribution.Symbol].Contribution=contribution.ContributionValue; portfolioHoldingsBySymbol[contribution.Symbol].ContributionDate=contribution.AnalysisDate; } - return new VaRResult(binResult.Value, portfolioHoldings.GetMarketValue() * binResult.Value); + return new VaRResult(binResult.Value, marketValue * binResult.Value); } public int ReturnDays { diff --git a/MarketData/MarketDataLib/ValueAtRisk/PortfolioHoldings.cs b/MarketData/MarketDataLib/ValueAtRisk/PortfolioHoldings.cs index f472af4..7598815 100755 --- a/MarketData/MarketDataLib/ValueAtRisk/PortfolioHoldings.cs +++ b/MarketData/MarketDataLib/ValueAtRisk/PortfolioHoldings.cs @@ -126,7 +126,6 @@ namespace MarketData.ValueAtRisk } public void SetReturnDays(int days) { - if (returnDays == days) return; returnDays = days; returns = prices.GetReturnsAsDoubleArray(returnDays); }