def VAR_brokerageHouse(data, N=1000): results = [] for k in range(N): days = [random.choice(range(1, numberOfDays)) for k in range(Ndays)] PL = [simulate_client(data, client, days) for client in data] results.append(sum(PL)) results.sort() results.reverse() return -results[int(Percent * N)]
def VAR_client(data, client, N=1000): results = [] for k in range(N): days = [random.choice(range(1, numberOfDays)) for k in range(Ndays)] PL = simulate_client(data, client, days) results.append(PL) ##plt.plot(results); results.sort() results.reverse() return -results[int(Percent * N)]