def multiVaRMinimum(portfolios, weightsVector, varTechniqueVector,
confidenceintervalVector, TVector, repVector):
"""This function calculates the minimum portfolio of a set of portfolios, each with their own VaR calculation
technique. The lookback period is determined by the data itself. The index of each input corresponds to each
portfolio. Historical Simulations do not require T (period of validity), therefore a 0 is put for their index in
TVector. If the portfolio is not to be analysed using Monte Carlo repVector[portfolio] = 0 """
vaRList = []
for index in range(len(portfolios)):
if varTechniqueVector[index] == "Parametric":
VaR = parametricVaR.paraPortfolioVaR(
portfolios[index], weightsVector[index],
confidenceintervalVector[index], TVector[index])
elif varTechniqueVector[index] == "Historical":
VaR = historicalVaR.historicalPortfolioVaR(
portfolios[index], confidenceintervalVector[index],
weightsVector[index])
else: # varTechniqueVector[index] == "Monte Carlo"
returnsList = monteCarloVaR.portfolioMonteCarlo2(
portfolios[index], [0, TVector[index]], weightsVector[index],
repVector[index])
VaR = historicalVaR.historicalSingleVaR(
returnsList, confidenceintervalVector[index])
vaRList.append(VaR)
minIndex = vaRList.index(min(vaRList))
print("Min portfolio is Portfolio: ")
print(minIndex + 1)
print("Min VaR value is: ")
print(vaRList[minIndex])
def exchangeOptimize(portfolio, assetCodes, weightsVector, selectedAsset,
varTechnique, T, reps):
"""For a specified derivative, this function searches the WikiFutures list to see if it is listed on another exchange
which is already being traded on in the portfolio. If it is, then the CVaR of the original portfolio is calculated
and added, and the CVaR of the new portfolio (where the asset is switched) is calculated and added.
If the new CVaR is lower, the function returns the exchange with which the new asset is allocated to."""
df = readData.readWikiFutures("wikifutures.csv")
# Get a list of exchanges in portfolio. Construct a dictionary of assets and weights for each exchange
exchangeList = []
exchangeAssetDict = {}
exchangeWeightDict = {}
exchangeIndex = {}
for index in range(len(assetCodes)):
exchange = df.loc[df['Quandl Code'] == assetCodes[index],
'Exchange'].item()
if exchange not in exchangeList:
exchangeList.append(exchange)
exchangeAssetDict[exchange] = [assetCodes[index]]
exchangeWeightDict[exchange] = [weightsVector[index]]
exchangeIndex[exchange] = [index]
else:
exchangeAssetDict[exchange].append(assetCodes[index])
exchangeWeightDict[exchange].append(weightsVector[index])
exchangeIndex[exchange].append(index)
#Calculate the CVaR by summing the CVaR of each exchanges' portfolio
cVaRList = []
exchangesPortfoliosDict = {}
for exchange in exchangeList:
exchangePortfolio1 = portfolio.drop(
portfolio.columns[exchangeIndex[exchange]], axis=1)
exchangePortfolio2 = exchangePortfolio1.tail(
df.loc[df['Quandl Code'] == exchangeAssetDict[exchange][0],
'Lookback'].item()) # Cut down to lookback
exchangesPortfoliosDict[exchange] = exchangePortfolio2.copy(deep=True)
exchangeWeights = exchangeWeightDict[exchange]
exchangeConfidence = df.loc[df['Quandl Code'] ==
exchangeAssetDict[exchange][0],
'Confidence'].item()
if varTechnique == "Parametric":
CVaR = parametricVaR.paraPortfolioCVaR(exchangePortfolio2,
exchangeWeights,
exchangeConfidence, T)
elif varTechnique == "Historical":
CVaR = historicalVaR.historicalPortfolioVaR(
exchangePortfolio2, exchangeConfidence, exchangeWeights)
else: # varTechnique == "Monte Carlo"
returnsList = monteCarloVaR.portfolioMonteCarlo2(
exchangePortfolio2, reps, [0, T], exchangeWeights)
CVaR = historicalVaR.historicalSingleVaR(returnsList,
exchangeConfidence)
cVaRList.append(CVaR)
cVaRTotal = 0
for CVaR in cVaRList:
cVaRTotal += CVaR
print("Current CVaR with asset " + selectedAsset + " is " +
str(cVaRTotal) + ".")
newCVaRTotal = cVaRTotal
newCode = 0
#Get name of asset and calculate the CVaR
selectedName = df.loc[df['Quandl Code'] == selectedAsset, 'Name'].item()
for index, row in df.iterrows():
exchange = row["Exchange"]
selectedAssetsExchange = df.loc[df['Quandl Code'] == selectedAsset,
'Exchange'].item()
if row["Name"] == selectedName and row[
"Exchange"] in exchangeList and row[
"Exchange"] is not selectedAssetsExchange:
subPortfolioCopy1 = (exchangesPortfoliosDict[exchange]).copy(
deep=True)
subWeightVectorCopy = list(exchangeWeightDict[exchange])
rowCode = row["Quandl Code"]
if rowCode not in assetCodes:
singlePortfoliodirty = readData.readQuandl(
[str(rowCode) + ".1"], 1000, True)
singlePortfolio2 = readData.cleanData(singlePortfoliodirty)
singlePortfolio = singlePortfolio2.tail(
df.loc[df['Quandl Code'] == exchangeAssetDict[exchange][0],
'Lookback'].item())
# MAKE TEMP OF selectAsset's portfolio
tempSelectedAssetPortfolio = exchangesPortfoliosDict[
selectedAssetsExchange].copy(deep=True)
tempSelectedAssetsWeightsList = list(
exchangeWeightDict[selectedAssetsExchange])
selectedAssetsIndex = 0
newAssetsIndex = 0
# Get the index of the selected assets exchange, to be used to remove the weight and portfolio values
for index in range(
len(exchangeAssetDict[selectedAssetsExchange])):
if exchangeAssetDict[selectedAssetsExchange][
index] == selectedAsset:
selectedAssetsIndex = index
# Get the index of the new assets exchange
for index in range(len(exchangeAssetDict[exchange])):
if exchangeAssetDict[exchange][index] == rowCode:
newAssetsIndex = index
tempSelectedAssetPortfolio.drop(
tempSelectedAssetPortfolio.columns[selectedAssetsIndex],
axis=1,
inplace=True)
tempWeight = tempSelectedAssetsWeightsList.pop(
selectedAssetsIndex)
# Add the new asset to the corresponding exchanges dataframe and the weight vector
subWeightVectorCopy.append(tempWeight)
subPortfolioCopy = (
subPortfolioCopy1.join(singlePortfolio)).copy(deep=True)
# recalculate the CVaR intermediateCVaRTotal
cVaRRemainder = cVaRTotal - cVaRList[
selectedAssetsIndex] - cVaRList[newAssetsIndex]
newExchangeConfidence = df.loc[df['Quandl Code'] ==
exchangeAssetDict[exchange][0],
'Confidence'].item()
oldexchangeConfidence = df.loc[
df['Quandl Code'] ==
exchangeAssetDict[selectedAssetsExchange][0],
'Confidence'].item()
# Get CVaR of selected Asset
if varTechnique == "Parametric":
CVaRSelectedAsset = parametricVaR.paraPortfolioCVaR(
tempSelectedAssetPortfolio,
tempSelectedAssetsWeightsList, oldexchangeConfidence,
T)
elif varTechnique == "Historical":
CVaRSelectedAsset = historicalVaR.historicalPortfolioVaR(
tempSelectedAssetPortfolio, oldexchangeConfidence,
tempSelectedAssetsWeightsList)
else: # varTechnique == "Monte Carlo"
returnsList = monteCarloVaR.portfolioMonteCarlo2(
tempSelectedAssetPortfolio, reps, [0, T],
tempSelectedAssetsWeightsList)
CVaRSelectedAsset = historicalVaR.historicalSingleVaR(
returnsList, oldexchangeConfidence)
# Get CVaR of new asset
if varTechnique == "Parametric":
CVaRNewAsset = parametricVaR.paraPortfolioCVaR(
subPortfolioCopy, subWeightVectorCopy,
newExchangeConfidence, T)
elif varTechnique == "Historical":
CVaRNewAsset = historicalVaR.historicalPortfolioVaR(
subPortfolioCopy, newExchangeConfidence,
subWeightVectorCopy)
else: # varTechnique == "Monte Carlo"
returnsList = monteCarloVaR.portfolioMonteCarlo2(
subPortfolioCopy, reps, [0, T], subWeightVectorCopy)
CVaRNewAsset = historicalVaR.historicalSingleVaR(
returnsList, newExchangeConfidence)
tempCVaRTotal = CVaRNewAsset + CVaRSelectedAsset + cVaRRemainder
if tempCVaRTotal < cVaRTotal:
newCVaRTotal = tempCVaRTotal
newCode = row["Quandl Code"]
if newCode == 0:
print("No matching assets were found in other exchanges.")
elif newCode == selectedAsset:
print("CVaR cannot be minimized by switching this asset.")
else:
print("CVaR can be minimized by switching with asset " + newCode +
". New CVaR is " + str(newCVaRTotal) + ".")
# Read and clean the single asset data with a lookback of 1000 business days.
dirtydata = readData.readQuandl(["CHRIS/ICE_CC4.1"], 1000, True)
cleandata = readData.cleanData(dirtydata)
t2 = time.clock()
# Perform a single asset parametric VaR calculation
paraVaR = parametricVaR.singleParametricVaR(cleandata, 99, 1)
t3 = time.clock()
# Perform a single asset historical VaR calculation
histVaR = historicalVaR.historicalSingleVaR(cleandata, 99)
t4 = time.clock()
# Perform a single asset Monte Carlo VaR calculation, with 250 simulations.
monteReturns = monteCarloVaR.singleMonteCarlo(cleandata, [0, 1], 250)
monteVaR = historicalVaR.historicalSingleVaR(monteReturns, 99)
t5 = time.clock()
print("Parametric Results are: ")
print(paraVaR)
print("Historic Results are: ")
print(histVaR)
print("Monte Carlo Results are: ")
def optimizeSimilarAssets(portfolio, assetCodes, weightsVector, selectedAsset,
alternativeAssets, varTechnique, T, reps,
confidence):
""" Out of a list of alternative assets for a selected asset, this function is able to suggest an alternative asset for
which the overall portfolio VaR is minimized. For maximum realism, the portfolio must be at a single exchange,
as all VaR is calculated used the same method, lookback, and confidence."""
# Calculate the current VaR
if varTechnique == "Parametric":
currentVaR = parametricVaR.paraPortfolioVaR(portfolio, weightsVector,
confidence, T)
elif varTechnique == "Historical":
currentVaR = historicalVaR.historicalPortfolioVaR(
portfolio, confidence, weightsVector)
else: # varTechniqueVector[index] == "Monte Carlo"
returnsList = monteCarloVaR.portfolioMonteCarlo2(
portfolio, [0, T], weightsVector, reps)
currentVaR = historicalVaR.historicalSingleVaR(returnsList, confidence)
# Identify index of selected asset in weightsVector
selectedAssetIndex = 0
for index in range(len(assetCodes)):
if assetCodes[index] == selectedAsset:
selectedAssetIndex = index
# Pop the selected asset and weight. Append selected weight to the end of the weight vector
selectedWeight = weightsVector.pop(selectedAssetIndex)
weightsVector.append(selectedWeight)
portfolio.drop(portfolio.columns[selectedAssetIndex], axis=1, inplace=True)
# For each alternativeAsset, read the asset data and append selected asset portfolio and weight to the end.
# Find the length of the original dataset
lengthOriginal = len(portfolio)
minVaR = currentVaR
print("Original VaR is " + str(minVaR))
minAsset = selectedAsset
for alternativeAsset in alternativeAssets:
singlePortfoliodirty = readData.readQuandl([alternativeAsset],
lengthOriginal * 2, True)
singlePortfolio2 = readData.cleanData(singlePortfoliodirty)
singlePortfolio = (singlePortfolio2.tail(lengthOriginal)).copy(
deep=True)
subPortfolioDirtyCopy = (portfolio.join(singlePortfolio)).copy(
deep=True)
subPortfolioCopy = readData.cleanData(subPortfolioDirtyCopy).copy(
deep=True)
print(subPortfolioCopy)
print(weightsVector)
# Recalculate the VaR, if lower then replace the min VaR with new VaR and new asset
if varTechnique == "Parametric":
newVaR = parametricVaR.paraPortfolioVaR(subPortfolioCopy,
weightsVector, confidence,
T)
elif varTechnique == "Historical":
newVaR = historicalVaR.historicalPortfolioVaR(
subPortfolioCopy, confidence, weightsVector)
else: # varTechniqueVector[index] == "Monte Carlo"
returnsList = monteCarloVaR.portfolioMonteCarlo2(
subPortfolioCopy, [0, T], weightsVector, reps)
newVaR = historicalVaR.historicalSingleVaR(returnsList, confidence)
if newVaR < minVaR:
minVaR = newVaR
minAsset = alternativeAsset
# Print out results
if minAsset == selectedAsset:
print("VaR cannot be minimized by switching to an alternative asset.")
else:
print("VaR can be minimized by switching with asset " + minAsset +
". New VaR is " + str(minVaR) + ".")
# Read and clean the single multi data with a lookback of 2000 business days.
dirtydata = readData.readQuandl([
"CHRIS/ICE_CC4.1", "CHRIS/ASX_UB6.1", "CHRIS/ASX_WM1.1", "CHRIS/ASX_VW1.1",
"CHRIS/ASX_WM2.1"
], 2000, True)
cleandata = readData.cleanData(dirtydata)
# Perform a multi asset Monte Carlo VaR calculation, with 250 simulations.
rangeOfSimulations = [16, 160, 1600, 16000, 160000, 1600000]
results = []
for simulations in rangeOfSimulations:
t4 = time.clock()
monteReturns = monteCarloVaR.portfolioMonteCarlo(
cleandata, [0.1, 0.2, 0.3, 0.25, 0.15], simulations)
t5 = time.clock()
monteVaR = historicalVaR.historicalSingleVaR(monteReturns, 99)
t6 = time.clock()
results.append(t6 - t4)
print("VaR time was: " + str(t6 - t5))
print(str(t5 - t4))
plt.plot(rangeOfSimulations, results)
plt.xscale('log')
plt.grid('on')
plt.show()