Initial Commit

2025-03-25 21:42:32 -04:00
parent c266eecfeb
commit 30c33d3cfd
247 changed files with 60107 additions and 0 deletions
--- a/MarketData/MarketDataLib/ValueAtRisk/BinManager.cs
+++ b/MarketData/MarketDataLib/ValueAtRisk/BinManager.cs
@@ -0,0 +1,147 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+
+namespace MarketData.ValueAtRisk
+{
+  public class BinResult<T>
+  {
+    public double Value{get;private set;}
+    public T Item{get;private set;}
+    public BinResult()
+    {
+    }
+    public BinResult(double value,T item)
+    {
+      this.Value=value;
+      this.Item=item;
+    }
+  }
+  public class BinManager<T>
+  {
+    private List<BinItem<T>> binItems;
+    private long binCount;
+    private long samples;
+
+    public BinManager(long binCount=100)
+    {
+      this.binCount = binCount;
+      InitializeBins();
+    }
+    private void InitializeBins()
+    {
+      this.binItems = new List<BinItem<T>>();
+      this.samples=0;
+    }
+    public BinResult<T> GetVaRReturn(double[] values,List<T> items,double percentile) 
+    {
+      double minValue = float.NaN;
+      double maxValue = float.NaN;
+      double binSize = double.NaN;
+      T item=default(T);
+
+      InitializeBins();
+      GetMinMax(ref minValue,ref maxValue,values);
+      binSize=(maxValue-minValue)/(double)binCount;
+      for (double value = minValue; value < maxValue; value += binSize)
+      {
+        binItems.Add(new BinItem<T>(value));
+      }
+      for (int index = 0; index < values.Length; index++)
+      {
+        AddValueToBin(values[index]);
+        AddObjectToBin(values[index],items[index]);
+      }
+      double samplesAtRank = samples-(samples * (percentile/100.00));
+      if (samplesAtRank < 1) samplesAtRank = 1;
+      long samplesInRank = 0;
+      double percentVaR = 0;
+      for (int index = 0; index < binItems.Count; index++)
+      {
+        BinItem<T> binItem = binItems[index];
+        samplesInRank += binItem.BinCount;
+        percentVaR = binItem.BinValue;
+        item=binItem.BinObject;
+        if (samplesInRank > samplesAtRank) break;
+      }
+      return new BinResult<T>(percentVaR,item);
+    }
+    public double GetVaRReturn(double[] values,double percentile) 
+    {
+      double minValue = float.NaN;
+      double maxValue = float.NaN;
+      double binSize = double.NaN;
+
+      InitializeBins();
+      GetMinMax(ref minValue,ref maxValue,values);
+      binSize=(maxValue-minValue)/(double)binCount;
+      for (double value = minValue; value < maxValue; value += binSize)
+      {
+        binItems.Add(new BinItem<T>(value));
+      }
+      for (int index = 0; index < values.Length; index++)
+      {
+        AddValueToBin(values[index]);
+      }
+      double samplesAtRank = samples-(samples * (percentile/100.00));
+      if (samplesAtRank < 1) samplesAtRank = 1;
+      long samplesInRank = 0;
+      double percentVaR = 0;
+      for (int index = 0; index < binItems.Count; index++)
+      {
+        BinItem<T> binItem = binItems[index];
+        samplesInRank += binItem.BinCount;
+        percentVaR = binItem.BinValue;
+        if (samplesInRank > samplesAtRank) break;
+      }
+      return percentVaR;
+    }
+    private static void GetMinMax(ref double minValue,ref double maxValue,double[] values)
+    {
+      for (int index = 0; index < values.Length; index++)
+      {
+        double value = values[index];
+        if (0 == index)
+        {
+          minValue = maxValue = value;
+          continue;
+        }
+        if (value > maxValue) maxValue = value;
+        if (value < minValue) minValue = value;
+      }
+    }
+    private void AddValueToBin(double value)
+    {
+      bool added = false;
+      samples++;
+      for (int index = 0; index < binItems.Count; index++)
+      {
+        BinItem<T> binItem = binItems[index];
+        if (value <= binItem.BinValue)
+        {
+          binItem.BinCount++;
+          added = true;
+          break;
+        }
+      }
+      if (false == added && binItems.Count>0) binItems[binItems.Count - 1].BinCount++;
+    }
+    private void AddObjectToBin(double value,T item)
+    {
+      bool added = false;
+//      samples++;
+      for (int index = 0; index < binItems.Count; index++)
+      {
+        BinItem<T> binItem = binItems[index];
+        if (value <= binItem.BinValue)
+        {
+          binItem.BinObject=item;
+          added = true;
+          break;
+        }
+      }
+      if (false == added && binItems.Count>0) binItems[binItems.Count - 1].BinObject=item;
+    }
+  }
+}