public List <LifeTimeObject> ComputeRedefaultLifetimePd()
{
var redefaultLifetimePd = new List <LifeTimeObject>();
var marginalPd = GetScenarioMarginalPd();
var pdCali = new CalibrationInput_PD_CR_RD_Processor().GetPDRedefaultFactorCureRate(this._eclId, this._eclType);
double readjustmentFactor = pdCali[0];
//double test = GetMonthMarginalPdForPdGroup(marginalPd, "2", 10, readjustmentFactor);
//double test2 = marginalPd.FirstOrDefault(row => row.PdGroup == "2" && row.Month == 10).Value;
//double test3 = test2 * readjustmentFactor;
//double test4 = test3 * test;
foreach (var row in marginalPd)
{
double prevValue = GetMonthMarginalPdForPdGroup(marginalPd, row.PdGroup,
row.Month,
readjustmentFactor);
double marginalPdValue = row.Value;
var dr = new LifeTimeObject();
dr.PdGroup = row.PdGroup;
dr.Month = row.Month;
dr.Value = row.Month == 1 ? Math.Min(marginalPdValue * readjustmentFactor, 1.0) : prevValue *Math.Min(marginalPdValue *readjustmentFactor, 1.0);
redefaultLifetimePd.Add(dr);
}
return(redefaultLifetimePd);
}
private LifeTimeObject GetPdGroupForConsAndComm(LifeTimeObject dr, List <PdInputAssumptionNonInternalModels> nonInternalModelInput, string columnName, int month, double vasicekIndexMonthValue)
{
if (columnName == "10" || columnName == ECLStringConstants.i.ExpiredContractsPrefix)
{
dr.PdGroup = columnName;
dr.Month = month;
dr.Value = month == 1 ? 1 : 0;
return(dr);
}
else
{
var consStageObj = nonInternalModelInput.FirstOrDefault(row => row.Month == month && row.PdGroup == columnName);
//************************
if (consStageObj == null)
{
consStageObj = new PdInputAssumptionNonInternalModels {
PdGroup = "CONS_STAGE_1"
};
}
//var consStageVal = 0.0;
//if(columnName== "CONS_STAGE_1")
//{
// consStageVal = consStageObj.CONS_STAGE_1;
//}
//if (columnName == "CONS_STAGE_2")
//{
// consStageVal = consStageObj.CONS_STAGE_2;
//}
//if (columnName == "COMM_STAGE_1")
//{
// consStageVal = consStageObj.COMM_STAGE_1;
//}
//if (columnName == "COMM_STAGE_2")
//{
// consStageVal = consStageObj.COMM_STAGE_2;
//}
dr.PdGroup = consStageObj.PdGroup;
dr.Month = month;
dr.Value = consStageObj.MarginalDefaultRate * vasicekIndexMonthValue;
return(dr);
}
}
public string Run()
{
var output = ComputeRedefaultLifetimePd();
var dt = new DataTable();
var c = new LifeTimeObject();
Type myObjOriginalType = c.GetType();
PropertyInfo[] myProps = myObjOriginalType.GetProperties();
for (int i = 0; i < myProps.Length; i++)
{
dt.Columns.Add(myProps[i].Name, myProps[i].PropertyType);
}
dt.Columns.Add($"{this._eclType.ToString()}EclId", typeof(Guid));
foreach (var _d in output)
{
_d.Id = Guid.NewGuid();
dt.Rows.Add(new object[]
{
_d.Id, _d.PdGroup, _d.Month, _d.Value, _eclId
});
}
var tableName = "";
if (_scenario == ECL_Scenario.Best)
{
tableName = ECLStringConstants.i.PdRedefaultLifetimeBests_Table(this._eclType);
}
else if (_scenario == ECL_Scenario.Downturn)
{
tableName = ECLStringConstants.i.PdRedefaultLifetimeDownturns_Table(this._eclType);
}
else if (_scenario == ECL_Scenario.Optimistic)
{
tableName = ECLStringConstants.i.PdRedefaultLifetimeOptimistics_Table(this._eclType);
}
var r = FileSystemStorage <LifeTimeObject> .WriteCsvData(_eclId, tableName, output);
return(r? "" : $"Could not Bulk Insert [{tableName}]");
}
public List <LifeTimeObject> ComputeLifetimePd()
{
var lifetimePd = new List <LifeTimeObject>();
var marginalPd = GetScenarioMarginalPd();
foreach (var row in marginalPd)
{
double month1 = GetMonth1MarginalPdForPdGroup(marginalPd, row.PdGroup, row.Month);
double pd = row.Value;
var dr = new LifeTimeObject();
dr.PdGroup = row.PdGroup;
dr.Month = row.Month;
dr.Value = row.Month == 1 ? row.Value : month1 * row.Value;
lifetimePd.Add(dr);
}
return(lifetimePd);
}
public List <LifeTimeObject> ComputeMaginalPd()
{
var marginalPds = new List <LifeTimeObject>();
var logOddsRatio = GetMonthlyLogOddsRatio();
var varsicekIndex = GetVasicekScenario();
varsicekIndex = varsicekIndex.OrderBy(o => o.Date).ToList();
var lstVarsicekIndex = new List <VasicekEtiNplIndex>();
lstVarsicekIndex = varsicekIndex.Take(24).ToList();
//int i = 0;
//int j = 1;
//while (lstVarsicekIndex.Count < 24)
//{
// if (varsicekIndex.Count > i)
// {
// varsicekIndex[i].Month = j;
// lstVarsicekIndex.Add(varsicekIndex[i]);
// }
// else
// {
// var adhoc = lstVarsicekIndex.Last();
// var itm = new VasicekEtiNplIndex { Month = j, Date = EndOfMonth(adhoc.Date, 3), EtiNpl = adhoc.EtiNpl, Fitted = adhoc.Fitted, Index = adhoc.Fitted, Residuals = adhoc.Residuals, ScenarioFactor = adhoc.ScenarioFactor, ScenarioIndex = adhoc.ScenarioIndex, ScenarioPd = adhoc.ScenarioPd };
// //adhocvarsicekIndex.Month = j;
// lstVarsicekIndex.Add(itm);
// }
// i = i + 3;
// j = j + 1;
//}
var nonInternalModelInput = GetNonInternalModelInputsData();
for (int month = 1; month <= ECLNonStringConstants.i.MaxMarginalLifetimeRedefaultPdMonth; month++)
{
int vasicekSearchMonth = Convert.ToInt32((month - 1) / 3) + 1;
double vasicekIndexMonthValue = 0;
try
{
vasicekIndexMonthValue = lstVarsicekIndex.FirstOrDefault(row => row.Month == (vasicekSearchMonth < 24 ? vasicekSearchMonth : 24)).ScenarioFactor;
}
catch
{
try
{
var lstV = lstVarsicekIndex.LastOrDefault();
vasicekIndexMonthValue = lstV.ScenarioFactor;
}
catch { }
}
//Pd group 1 to 9
for (int pdGroup = 1; pdGroup < 10; pdGroup++)
{
string pdGroupName = pdGroup.ToString();
double logOddsRatioMonthRankValue = 0;
try
{
logOddsRatioMonthRankValue = logOddsRatio.FirstOrDefault(row => row.Rank == pdGroup && row.Month == month).CreditRating;
}
catch {
try
{
var lstOddRatio = logOddsRatio.LastOrDefault(row => row.Rank == pdGroup);
logOddsRatioMonthRankValue = lstOddRatio.CreditRating;
}
catch { }
}
var dr = new LifeTimeObject();
dr.PdGroup = pdGroupName;
dr.Month = month;
dr.Value = logOddsRatioMonthRankValue * vasicekIndexMonthValue;
marginalPds.Add(dr);
}
//Pd Group Cons Stage 1
var pdGroup10 = new LifeTimeObject();
var consStage1Row = new LifeTimeObject();
var consStage2Row = new LifeTimeObject();
var commStage1Row = new LifeTimeObject();
var commStage2Row = new LifeTimeObject();
var pdGroupExp = new LifeTimeObject();
pdGroup10 = GetPdGroupForConsAndComm(pdGroup10, nonInternalModelInput, "10", month, vasicekIndexMonthValue);
consStage1Row = GetPdGroupForConsAndComm(consStage1Row, nonInternalModelInput, nonInternalModelInput_Types.CONS_STAGE_1, month, vasicekIndexMonthValue);
consStage2Row = GetPdGroupForConsAndComm(consStage2Row, nonInternalModelInput, nonInternalModelInput_Types.CONS_STAGE_2, month, vasicekIndexMonthValue);
commStage1Row = GetPdGroupForConsAndComm(commStage1Row, nonInternalModelInput, nonInternalModelInput_Types.COMM_STAGE_1, month, vasicekIndexMonthValue);
commStage2Row = GetPdGroupForConsAndComm(commStage2Row, nonInternalModelInput, nonInternalModelInput_Types.COMM_STAGE_2, month, vasicekIndexMonthValue);
pdGroupExp = GetPdGroupForConsAndComm(pdGroupExp, nonInternalModelInput, ECLStringConstants.i.ExpiredContractsPrefix, month, vasicekIndexMonthValue);
marginalPds.Add(pdGroup10);
marginalPds.Add(consStage1Row);
marginalPds.Add(consStage2Row);
marginalPds.Add(commStage1Row);
marginalPds.Add(commStage2Row);
marginalPds.Add(pdGroupExp);
}
return(marginalPds);
}
