getScenarios

Obtain scenarios from portfolio object

Syntax

Y = getScenarios(obj)

Description

Use the getScenarios function with a PortfolioCVaR or PortfolioMAD objects to obtain scenarios.

For details on the workflows, see PortfolioCVaR Object Workflow, and PortfolioMAD Object Workflow.

Y = getScenarios(obj) obtains scenarios for PortfolioCVaR or PortfolioMAD objects.

Examples

Obtain Scenarios for a CVaR Portfolio Object

For a given PortfolioCVaR object p, display the defined scenarios.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0; 
    0.00408 0.0289 0.0204 0.0119;
    0.00192 0.0204 0.0576 0.0336;
    0 0.0119 0.0336 0.1225 ];

m = m/12;
C = C/12;

rng(11);

AssetScenarios = mvnrnd(m, C, 10);

p = PortfolioCVaR;
p = setScenarios(p, AssetScenarios);
p = setDefaultConstraints(p);
p = setProbabilityLevel(p, 0.95);

Y = getScenarios(p)

Y = 10×4

   -0.0056    0.0440    0.1186    0.0488
   -0.0368   -0.0753    0.0087    0.1124
    0.0025    0.0856    0.0484    0.1404
    0.0318    0.0826    0.0377    0.0404
    0.0013   -0.0561   -0.1466   -0.0621
    0.0035    0.0310   -0.0183    0.1225
   -0.0519   -0.1634   -0.0526    0.1528
    0.0029   -0.1163   -0.0627   -0.0760
    0.0192   -0.0182   -0.1243   -0.1346
    0.0440    0.0189    0.0098    0.0821

The function rng($$seed$$) resets the random number generator to produce the documented results. It is not necessary to reset the random number generator to simulate scenarios.

Obtain Scenarios for a MAD Portfolio Object

For a given PortfolioMAD object p, display the defined scenarios.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0; 
    0.00408 0.0289 0.0204 0.0119;
    0.00192 0.0204 0.0576 0.0336;
    0 0.0119 0.0336 0.1225 ];
m = m/12;
C = C/12;

rng(11);

AssetScenarios = mvnrnd(m, C, 10);

p = PortfolioMAD;
p = setScenarios(p, AssetScenarios);
p = setDefaultConstraints(p);

Y = getScenarios(p)

Y = 10×4

   -0.0056    0.0440    0.1186    0.0488
   -0.0368   -0.0753    0.0087    0.1124
    0.0025    0.0856    0.0484    0.1404
    0.0318    0.0826    0.0377    0.0404
    0.0013   -0.0561   -0.1466   -0.0621
    0.0035    0.0310   -0.0183    0.1225
   -0.0519   -0.1634   -0.0526    0.1528
    0.0029   -0.1163   -0.0627   -0.0760
    0.0192   -0.0182   -0.1243   -0.1346
    0.0440    0.0189    0.0098    0.0821

The function rng($$seed$$) resets the random number generator to produce the documented results. It is not necessary to reset the random number generator to simulate scenarios.

Input Arguments

obj — Object for portfolio

object

Object for portfolio, specified using a PortfolioCVaR or PortfolioMAD object.

For more information on creating a PortfolioCVaR or PortfolioMAD object, see

• PortfolioCVaR

• PortfolioMAD

Data Types: object

Output Arguments

Y — Scenarios matrix

matrix

Scenarios matrix, returned as a NumScenarios-by-NumAssets matrix for a PortfolioCVaR or PortfolioMAD object.

Tips

You can also use dot notation to obtain scenarios from a PortfolioCVaR or PortfolioMAD object.

Y = obj.getScenarios;