marketdata/MarketDataLib/ValueAtRisk/BinManager.cs

using System.Collections.Generic;

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;
            if (binSize == 0) binSize = 1e-10;

            // Create bins
            for (double value = minValue; value <= maxValue; value += binSize)
            {
                binItems.Add(new BinItem<T>(value));
            }

            // Add values and objects to bins
            for (int index = 0; index < values.Length; index++)
            {
                AddValueToBin(values[index]);
                AddObjectToBin(values[index], items[index]);
            }

            double samplesAtRank = samples - (samples * (percentile / 100.0));
            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;
            if (binSize == 0) binSize = 1e-10;

            // Create bins
            for (double value = minValue; value <= maxValue; value += binSize)
            {
                binItems.Add(new BinItem<T>(value));
            }

            // Add values to bins
            for (int index = 0; index < values.Length; index++)
            {
                AddValueToBin(values[index]);
            }

            double samplesAtRank = samples - (samples * (percentile / 100.0));
            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 (index == 0)
                {
                    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 (!added && binItems.Count > 0)
                binItems[binItems.Count - 1].BinCount++;
        }

        private void AddObjectToBin(double value, T item)
        {
            bool added = false;

            for (int index = 0; index < binItems.Count; index++)
            {
                BinItem<T> binItem = binItems[index];
                if (value <= binItem.BinValue)
                {
                    binItem.BinObject = item;
                    added = true;
                    break;
                }
            }

            if (!added && binItems.Count > 0)
                binItems[binItems.Count - 1].BinObject = item;
        }
    }
}