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- var statusCode = barraSolveResults.GetStatusCode();
- Console.WriteLine(statusCode + " " + barraSolveResults.GetMessage() + " " + barraSolveResults.GetAdditionalInfo());
- if (statusCode == EOptStatusCode.eOK)
- {
- try
- {
- var barraPortfolioOutput = barraSolver.GetPortfolioOutput();
- COMManager.AddReference(barraPortfolioOutput);
- Console.WriteLine("Risk(%) = {0:0.0000}", barraPortfolioOutput.GetRisk());
- Console.WriteLine("Return(%) = {0:0.0000}", barraPortfolioOutput.GetReturn());
- Console.WriteLine("Utility = {0:0.0000}", barraPortfolioOutput.GetUtility());
- Console.WriteLine("Turnover(%) = {0:0.0000}", barraPortfolioOutput.GetTurnover());
- Console.WriteLine("Penalty = {0:0.0000}", barraPortfolioOutput.GetPenalty());
- Console.WriteLine("TranxCost(%)= {0:0.0000}", barraPortfolioOutput.GetTransactioncost());
- Console.WriteLine("Beta = {0:0.0000}", barraPortfolioOutput.GetBeta());
- Console.WriteLine();
- // Output the non-zero weight in the optimized portfolio
- Console.WriteLine("Asset Holdings:");
- var portfolio = barraPortfolioOutput.GetPortfolio();
- var idSet = portfolio.GetAssetIDSet();
- var assetId = idSet.GetFirst();
- COMManager.AddReference(portfolio, idSet, assetId);
- while (!assetId.Equals(""))
- {
- var weight = portfolio.GetAssetWeight(assetId);
- Console.WriteLine("{0}: {1:0.0000}", assetId, weight);
- var barraSolverOutput = barraPortfolioOutput.GetAssetTradeListInfo(assetId);
- Console.WriteLine("Trade Type: {0}\tInitial Shares: {1}\tFinal Shares: {2}\tCost: {3}",
- barraSolverOutput.GetTradeType(), barraSolverOutput.GetInitialShares(),
- barraSolverOutput.GetFinalShares(),
- barraSolverOutput.GetFixedTransactionCost());
- assetId = idSet.GetNext();
- }
- Console.WriteLine();
- }
- catch (Exception ex)
- {
- Console.Error.WriteLine("Something bad happened: {0}", ex.Message);
- }
- }
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