From 33613a85afc4b1481367fbe92a17ee59c240250b Mon Sep 17 00:00:00 2001
From: Sven Eisenhauer <sven@sven-eisenhauer.net>
Date: Fri, 10 Nov 2023 15:11:48 +0100
Subject: add new repo

---
 .../Aufgabe2und3/src/HistoricSimulation.cpp        | 82 ++++++++++++++++++++++
 1 file changed, 82 insertions(+)
 create mode 100644 Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/HistoricSimulation.cpp

(limited to 'Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/HistoricSimulation.cpp')

diff --git a/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/HistoricSimulation.cpp b/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/HistoricSimulation.cpp
new file mode 100644
index 0000000..412eac1
--- /dev/null
+++ b/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/HistoricSimulation.cpp
@@ -0,0 +1,82 @@
+/*
+ * HistoricSimulation.cpp
+ *
+ *  Created on: 27.05.2011
+ *      Author: eisenhauer
+ */
+
+#include "HistoricSimulation.h"
+#include <algorithm>
+#include <iostream>
+#include <iomanip>
+#include <stdio.h>
+
+const double PORTFOLIO[] = {200000.0,150000.0,250000.0,300000.0,200000.0};
+
+HistoricSimulation::HistoricSimulation()
+{
+}
+
+HistoricSimulation::~HistoricSimulation() {
+}
+
+void HistoricSimulation::doSimulation(const Parametrisation& param, const enHoldingTime& nenHoldingTime)
+{
+	const std::vector<StockPrices>& stockPrices = param.getStockPrices();
+	uint8_t u8HoldingTime = static_cast<uint8_t>(nenHoldingTime);
+	uint32_t N = stockPrices.size() - u8HoldingTime;
+	uint32_t n = 0;
+	mData.clear();
+	std::vector<double> portfolio(static_cast<uint8_t>(nenEndOfCompanies));
+	double portfolioValue = 0.0;
+
+	for (uint8_t c=0; c < nenEndOfCompanies; c++)
+	{
+		mData.push_back(std::vector<double>(N));
+		portfolio.at(c) = param.getLastValue(static_cast<enCompany>(c) ) * PORTFOLIO[c];
+		portfolioValue += portfolio.at(c);
+	}
+
+	for(uint32_t counter = u8HoldingTime; counter < stockPrices.size() ; counter++)
+	{
+		for (uint8_t c=0; c < nenEndOfCompanies; c++)
+		{
+			double compRelChange = 0.0;
+			switch(nenHoldingTime)
+			{
+			case nenOneDay:
+				compRelChange = stockPrices.at(counter).mStock.at(c).mValueRelChangeOne;
+				break;
+			case nenTenDays:
+				compRelChange = stockPrices.at(counter).mStock.at(c).mValueRelChangeTen;
+				break;
+			}
+			double actCompValue = portfolio.at(c) + (portfolio.at(c) * compRelChange / 100);
+			mData.at(c).at(n) = actCompValue;
+		}
+		n++;
+	}
+
+	std::vector<double> simulatedPortfolioValues(N);
+	for (n = 0; n < N; n++) {
+		double sum = 0.0;
+		for (uint8_t c=0; c < nenEndOfCompanies; c++)
+		{
+			sum += mData.at(c).at(n);
+		}
+		simulatedPortfolioValues.at(n) = sum;
+	}
+	std::vector<double> simulatedPortfolioChanges(N);
+	for (n = 0; n < N; n++) {
+		simulatedPortfolioChanges.at(n) = portfolioValue - simulatedPortfolioValues.at(n);
+	}
+	std::sort(simulatedPortfolioChanges.begin(),simulatedPortfolioChanges.end());
+	uint32_t quantilIdx = (N / 100) - 1;
+	double VaR = simulatedPortfolioChanges.at(quantilIdx);
+	std::string strHoldTime = (nenHoldingTime==nenOneDay)?"one day: ":"ten days: ";
+	std::cout << "Historic simulation VaR for " + strHoldTime << VaR << " EUR" << std::endl;
+//	printf("%u\n",quantilIdx);
+//	for (n = 0; n < N; n++) {
+//		std::cout << simulatedPortfolioChanges.at(n) << std::endl;
+//	}
+}
-- 
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