Value At Risk

Overview
The Value at Risk example has two main parts.

First, using Visual Basic, we wrote an ActiveX DLL and installed it on our server. This DLL references the @RISK Developer's Kit ActiveX library, and contains all the model logic for simulating the percent return of our investment with and without the effect of the put. It also contains code for generating progress and output graphs, and the formatted table of statistics that you see in the example's result window.

Second, we wrote a sequence of web pages to retrieve the model's input parameters from the user, to dynamically show the progress of the simulation, and to display the output results. One of the web pages in the sequence uses VBScript to call our DLL, passing it the model parameters specified by the user. When the simulation is complete, the results page combines together the statistics and graphs generated by the DLL into a nicely formatted page, suitable for display.

RDKX_ValueAtRisk.DLL
This DLL contains only a single publicly accessible method, called Simulate. The function takes as arguments all the input model parameters, as well as an output directory to which it will write graphs and results.

The Simulate method performs the following five steps:
     1. Initializes the RDK
     2. Sets up the Model
     3. Runs the Simulation
     4. Generates the Results
     5. Shuts Down the RDK

The function generates three files in the output directory specified, "HISTOGRAM.JPG", "CUMULATIVE.JPG," and "STATISTICS.HTML". The files are combined together by the calling .ASP page to make the final page that is displayed to the user.

There are two code modules that make up the RDKX_ValueAtRisk.DLL

1.	Application Class Module - this is the main, publicly accessible module of the .DLL, which contains the Simulate method.
2.	RDKEvents Class Module - this module contains the code that actually calculates the model's outputs each iteration of a simulation. In addition, it also contains code for making dynamic progress graphs during the simulation.
In the code listings, items in blue are an object, method or property from the RDKX.
Value_At_Risk_Results.ASP This .ASP page uses VBScript to call the RDKX_ValueAtRisk.DLL, which is installed on our server, and then combines the results generated by the DLL (the HISTOGRAM.JPG, CUMULATIVE.JPG, and STATISTICS.HTML files) into a nicely formatted web page. A previous web page passes in the model parameters that were defined by the user.

 

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