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/MonteCarloSimulation.cpp      | 195 +++++++++++++++++++++
 1 file changed, 195 insertions(+)
 create mode 100644 Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/MonteCarloSimulation.cpp

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

diff --git a/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/MonteCarloSimulation.cpp b/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/MonteCarloSimulation.cpp
new file mode 100644
index 0000000..3ca5beb
--- /dev/null
+++ b/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/MonteCarloSimulation.cpp
@@ -0,0 +1,195 @@
+/*
+ * MonteCarloSimulation.cpp
+ *
+ *  Created on: 20.05.2011
+ *      Author: sven
+ */
+
+#include "Normaldistribution.h"
+#include "MonteCarloSimulation.h"
+#include <iomanip>
+#include <iostream>
+#include <algorithm>
+#include <vector>
+#include <fstream>
+
+static const unsigned NUMBER_OF_SIMULATIONS = 10000;
+
+const double PORTFOLIO[] = {200000.0,150000.0,250000.0,300000.0,200000.0};
+
+MonteCarloSimulation::MonteCarloSimulation()
+{
+	for (unsigned i=0; i<NUMBER_OF_SIMULATIONS; i++) {
+		mOneDaySimulatedCourseChanges.push_back(std::vector<double>(nenEndOfCompanies));
+		mTenDaySimulatedCourseChanges.push_back(std::vector<double>(nenEndOfCompanies));
+	}
+}
+
+MonteCarloSimulation::~MonteCarloSimulation() {
+}
+
+void MonteCarloSimulation::doSimulations(const Parametrisation& param, const CholeskyDecomposition& cholDecomp)
+{
+	std::vector<double> y(nenEndOfCompanies);
+	std::vector<double> mu(nenEndOfCompanies);
+	Normaldistribution norm;
+
+	for (int i=0; i<2; i++) {
+		enHoldingTime d = (i==0)?nenOneDay:nenTenDays;
+		const CholeskyMatrix& D = cholDecomp.getMatrix(d);
+		param.getArithAverages(mu,d);
+		for (unsigned i=0; i< NUMBER_OF_SIMULATIONS; i++) {
+			norm.calcRandomVector(D,mu,y);
+			if (d == nenOneDay) {
+				for (unsigned j=0; j<nenEndOfCompanies;j++) {
+					mOneDaySimulatedCourseChanges.at(i).at(j) = y.at(j);
+				}
+			} else if (d == nenTenDays) {
+				for (unsigned j=0; j<nenEndOfCompanies;j++) {
+					mTenDaySimulatedCourseChanges.at(i).at(j) = y.at(j);
+				}
+			}
+		}
+	}
+	std::vector<double> portfolio(nenEndOfCompanies);
+	double portfolioValue = 0.0;
+	for (unsigned c=0; c < nenEndOfCompanies; c++)
+	{
+		portfolio.at(c) = param.getLastValue(static_cast<enCompany>(c) ) * PORTFOLIO[c];
+		portfolioValue += portfolio.at(c);
+	}
+
+	std::vector< std::vector<double> > simulatedPortfolioOneDay;
+	std::vector< std::vector<double> > simulatedPortfolioTenDays;
+	std::vector<double> simulatedPortfolioValuesOneDay(NUMBER_OF_SIMULATIONS);
+	std::vector<double> simulatedPortfolioValuesTenDays(NUMBER_OF_SIMULATIONS);
+
+	for (unsigned i=0; i<NUMBER_OF_SIMULATIONS; i++) {
+		simulatedPortfolioOneDay.push_back(std::vector<double>(nenEndOfCompanies));
+		simulatedPortfolioTenDays.push_back(std::vector<double>(nenEndOfCompanies));
+		simulatedPortfolioValuesOneDay.at(i) = 0.0;
+		simulatedPortfolioValuesTenDays.at(i) = 0.0;
+	}
+
+	for (unsigned i=0; i<NUMBER_OF_SIMULATIONS; i++) {
+		for (unsigned j=0; j<nenEndOfCompanies;j++) {
+			simulatedPortfolioOneDay.at(i).at(j) = portfolio.at(j) + (portfolio.at(j) * mOneDaySimulatedCourseChanges.at(i).at(j) / 100.0);
+			simulatedPortfolioTenDays.at(i).at(j) = portfolio.at(j) + (portfolio.at(j) * mTenDaySimulatedCourseChanges.at(i).at(j) / 100.0);
+			simulatedPortfolioValuesOneDay.at(i) += simulatedPortfolioOneDay.at(i).at(j);
+			simulatedPortfolioValuesTenDays.at(i) += simulatedPortfolioTenDays.at(i).at(j);
+		}
+//		std::cout << std::setw(20) << std::fixed << (portfolioValue - simulatedPortfolioValuesOneDay.at(i))
+//				<< std::setw(20) << (portfolioValue - simulatedPortfolioValuesTenDays.at(i))
+//				<< std::endl;
+	}
+	std::sort(simulatedPortfolioValuesOneDay.begin(), simulatedPortfolioValuesOneDay.end());
+	std::sort(simulatedPortfolioValuesTenDays.begin(), simulatedPortfolioValuesTenDays.end());
+
+	std::vector<double> portfolioValueChangesOneDay(NUMBER_OF_SIMULATIONS);
+	std::vector<double> portfolioValueChangesTenDays(NUMBER_OF_SIMULATIONS);
+	std::ofstream of;
+	of.open("VaR.csv",std::ios::out);
+	for (unsigned i=0; i<NUMBER_OF_SIMULATIONS; i++) {
+		portfolioValueChangesOneDay.at(i) = simulatedPortfolioValuesOneDay.at(i) - portfolioValue;
+		portfolioValueChangesTenDays.at(i) = simulatedPortfolioValuesTenDays.at(i) - portfolioValue;
+//		std::cout << std::setw(20) << std::fixed << (portfolioValue - simulatedPortfolioValuesOneDay.at(i))
+//				<< std::setw(20) << (portfolioValue - simulatedPortfolioValuesTenDays.at(i))
+//				<< std::endl;
+		of << i << ";" << std::fixed << portfolioValueChangesOneDay.at(i)
+				<< ";" << portfolioValueChangesTenDays.at(i)
+				<< std::endl;
+	}
+	of.close();
+	unsigned VaRIdx = NUMBER_OF_SIMULATIONS / 100;
+	std::cout << "MonteCarlo VaR one day: " << std::setprecision(2) << std::fixed << portfolioValueChangesOneDay.at(VaRIdx)
+			<< " EUR" << std::endl;
+	std::cout << "MonteCarlo VaR ten days: " << std::setprecision(2) << std::fixed << portfolioValueChangesTenDays.at(VaRIdx)
+			<< " EUR" << std::endl;
+
+	// calculate arithmetic average of simulated values
+	std::vector<double> simAverOneDay(nenEndOfCompanies);
+	std::vector<double> simAverTenDays(nenEndOfCompanies);
+
+	for (unsigned n=0; n < NUMBER_OF_SIMULATIONS ; n++)
+	{
+		for (unsigned c = 0; c < nenEndOfCompanies; c++)
+		{
+			simAverOneDay.at(c) += mOneDaySimulatedCourseChanges.at(n).at(c);
+			simAverTenDays.at(c) += mTenDaySimulatedCourseChanges.at(n).at(c);
+		}
+	}
+	for (unsigned c = 0; c < nenEndOfCompanies; c++)
+	{
+		simAverOneDay.at(c) /= NUMBER_OF_SIMULATIONS;
+		simAverTenDays.at(c) /= NUMBER_OF_SIMULATIONS;
+	}
+	int width = 20;
+	int prec = 6;
+	std::cout << std::setw(width) << "Comp." << std::setw(width) << "sim. one day aver."
+			<< std::setw(width) << "sim. ten days aver." << std::endl;
+	for (unsigned c = 0; c < nenEndOfCompanies; c++)
+	{
+		std::cout << std::setw(width) << c << std::setw(width) << std::setprecision(prec) << simAverOneDay.at(c)
+					<< std::setw(width) << simAverTenDays.at(c) << std::endl;
+	}
+
+	// covariance matrices of simulation
+	CovarianceMatrix simOneDayCovMatrix;
+	CovarianceMatrix simTenDaysCovMatrix;
+	double sum,diffI,diffJ;
+	for (unsigned i = static_cast<unsigned>(nenDaimler) ; i < static_cast<unsigned>(nenEndOfCompanies); i++) {
+		simOneDayCovMatrix.push_back(std::vector<double>(nenEndOfCompanies));
+		simTenDaysCovMatrix.push_back(std::vector<double>(nenEndOfCompanies));
+	}
+
+	//one day
+	for (unsigned i = static_cast<unsigned>(nenDaimler) ; i < static_cast<unsigned>(nenEndOfCompanies); i++) {
+		for (unsigned j = static_cast<unsigned>(nenDaimler) ; j < static_cast<unsigned>(nenEndOfCompanies); j++) {
+			if (i <= j) {
+				sum = 0.0;
+				for (unsigned n=0 ; n < NUMBER_OF_SIMULATIONS ; n++) {
+					diffI = mOneDaySimulatedCourseChanges.at(n).at(i) - simAverOneDay.at(i);
+					diffJ = mOneDaySimulatedCourseChanges.at(n).at(j) - simAverOneDay.at(j);
+					sum += (diffI * diffJ) / (NUMBER_OF_SIMULATIONS - 1);
+				}
+				simOneDayCovMatrix.at(i).at(j) = sum;
+			} else {
+				simOneDayCovMatrix.at(i).at(j) = simOneDayCovMatrix.at(j).at(i);
+			}
+		}
+	}
+
+	// ten days
+	for (unsigned i = static_cast<unsigned>(nenDaimler) ; i < static_cast<unsigned>(nenEndOfCompanies); i++) {
+		for (unsigned j = static_cast<unsigned>(nenDaimler) ; j < static_cast<unsigned>(nenEndOfCompanies); j++) {
+			if (i <= j) {
+				sum = 0.0;
+				for (unsigned n=0 ; n < NUMBER_OF_SIMULATIONS ; n++) {
+					diffI = mTenDaySimulatedCourseChanges.at(n).at(i) - simAverTenDays.at(i);
+					diffJ = mTenDaySimulatedCourseChanges.at(n).at(j) - simAverTenDays.at(j);
+					sum += (diffI * diffJ) / (NUMBER_OF_SIMULATIONS - 1);
+				}
+				simTenDaysCovMatrix.at(i).at(j) = sum;
+			} else {
+				simTenDaysCovMatrix.at(i).at(j) = simTenDaysCovMatrix.at(j).at(i);
+			}
+		}
+	}
+
+	// dump covariance matrices
+	width = 12;
+	std::cout << "Covariance matrix for simulation for one days" << std::endl;
+	for (unsigned i = static_cast<unsigned>(nenDaimler) ; i < static_cast<unsigned>(nenEndOfCompanies); i++) {
+		for (unsigned j = static_cast<unsigned>(nenDaimler) ; j < static_cast<unsigned>(nenEndOfCompanies); j++) {
+			std::cout << std::setw(width) << std::setprecision(prec) << simOneDayCovMatrix.at(i).at(j);
+		}
+		std::cout << std::endl;
+	}
+	std::cout << "Covariance matrix for simulation for ten days" << std::endl;
+	for (unsigned i = static_cast<unsigned>(nenDaimler) ; i < static_cast<unsigned>(nenEndOfCompanies); i++) {
+		for (unsigned j = static_cast<unsigned>(nenDaimler) ; j < static_cast<unsigned>(nenEndOfCompanies); j++) {
+			std::cout << std::setw(width) << std::setprecision(prec) << simTenDaysCovMatrix.at(i).at(j);
+		}
+		std::cout << std::endl;
+	}
+}
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