portfolio.class.cpp

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class portfolio
{
public:
  int portfolio_id;
  string description;
  float weights[NBR_ASSET_CLASSES];

  bool get_portf_from_db(int id);
  string get_description();
//  float  get_risk(float alpha, float (*riskFunction)(float alpha, float (*AssetClass_mu), float (*AssetClass_varCov)), float (*AssetClass_mu), float (*AssetClass_varCov));
  void set_mu(float (*AssetClass_mu));
  void set_sigma(float (*AssetClass_varCov));
  float pMu;    
  float pLogR;  
  float pSigma; 
};

bool portfolio::get_portf_from_db(int id)
{
  string s = "";
  int k;
  try{
  sql::Driver *driver;
  sql::Connection *con;
  sql::Statement *stmt;
  sql::ResultSet *res;
  //  sql::PreparedStatement *pstmt;
  // Create a connection
  driver = get_driver_instance();
//  con = driver->connect("tcp://127.0.0.1:3306","efp","efp.cger");
  con = driver->connect(oConfig.db_host,oConfig.db_user,oConfig.db_pwd);
//  con->setSchema("efp");
  con->setSchema(db.db);

  stmt = con->createStatement();

  // -- the portfolio_id:
  this->portfolio_id = id;
  // -- the description:
  s = "SELECT * FROM " + oConfig.tbl_prefix + "_portfolios WHERE portfolio_id = " + std::to_string(id) + ";";
  res = db.stmt->executeQuery(s);
  while (res->next()) {this->description = res->getString("description");}
  // -- the portfolio composition in terms of asset classes:
  for (k=0; k < NBR_ASSET_CLASSES; k++) {this->weights[k] = 0;} 
  s = "SELECT * FROM " + oConfig.tbl_prefix + "_portfolio_compositions WHERE portfolio = " + std::to_string(id) + ";";
  res = stmt->executeQuery(s);
  while (res->next())
    {
      k = res->getInt("asset_class");
      this->weights[k-1] = atof(res->getString("percentage").c_str());
    }
/*XXX if (id == 10) {int kk; for (kk=1;kk<=NBR_ASSET_CLASSES;kk++) cout << "<br>weights[" <<  kk <<  "]" << weights[kk];}
*/
  }  // try
  catch (sql::SQLException &e) {
  error_message = error_message + t_errMsg["retrieve_portfolio_info"];
#ifdef DEBUG
  cout << "# ERR: SQLException in " << __FILE__;
  cout << "(" << __FUNCTION__ << ") on line " << __LINE__ << endl;
  cout << "# ERR: " << e.what();
  cout << " (MySQL error code: " << e.getErrorCode();
  cout << ", SQLState: " << e.getSQLState() << " )" << endl;
#endif
  }
return true; //TODO: add checks and return true if it is indeed correctly load and if there are no definition errors (such as asymetric covar matrix)
}

string portfolio::get_description()
{
 return this->description;
}

void portfolio::set_mu(float *AssetClass_mu)
{
  int k;
  float m = 0;
  for (k = 1; k <= NBR_ASSET_CLASSES; k++)
  {
    m += *(AssetClass_mu + k) * weights[k-1];
 //cout <<"<br>["<<k<<"]*(AssetClass_mu + k)="<<*(AssetClass_mu + k)<<" * weights[k-1]="<<weights[k-1]<<" ||Mu*w= " << *(AssetClass_mu + k) * weights[k-1];
  }
  
  this->pMu   = pow(1 + m,0.08333333) - 1;  // 0.0833 = 1/12
  //cout << "<BR>pMu=" << pMu;
  this->pLogR = log(1+ this->pMu);
}

void portfolio::set_sigma(float *AssetClass_varCov)
{
  int i,j;
  float s = 0;
  for (i = 1; i <= NBR_ASSET_CLASSES; i++)
  {
    for (j = 1; j <= NBR_ASSET_CLASSES; j++)
    {
          s+= weights[i-1] * (*(AssetClass_varCov + i * NBR_ASSET_CLASSES + j)) * weights[j-1];
    }
  }
  if (s >= 0)
  {
    this->pSigma = (float) sqrt(s);  // / sqrt(12);
  }
  else
  {
    this->pSigma = 0.0;
    error_message = error_message + "Error nbr Erno2332, invalid portfolio parameters.";
  }
//  cout << "<BR>pSigma=" << pSigma;
}