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)]
