public static List <Sensitivity> NetSensitivities(Currency calculationCurrency, List <Sensitivity> sensitivities)
{
if (calculationCurrency == null)
{
throw new ArgumentNullException(nameof(calculationCurrency));
}
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
if (sensitivities.Count == 0)
{
return(new List <Sensitivity>(0));
}
List <Sensitivity> sensitivitiesNetted = new List <Sensitivity>(0)
.Concat
(
sensitivities
.Where(x => x.Category == SensitivityCategory.BaseCorrelation)
.GroupBy(x => x.Qualifier)
.Select(x => Sensitivity.BaseCorrelation(x.Key, Amount.Sum(x.Select(s => s.Amount), calculationCurrency)))
)
.Concat
(
sensitivities
.Where(x => x.Risk == SensitivityRisk.Commodity)
.GroupBy(x => new { x.Category, x.Qualifier, Bucket = (BucketCommodity)x.Bucket })
.Select(x => Sensitivity.Commodity(x.Key.Category, x.Key.Qualifier, x.Key.Bucket, Amount.Sum(x.Select(s => s.Amount), calculationCurrency)))
)
.Concat
(
sensitivities
.Where(x => x.Risk == SensitivityRisk.CreditNonQualifying)
.GroupBy(x => new { x.Category, x.Qualifier, Bucket = (BucketCreditNonQualifying)x.Bucket, x.Tenor })
.Select(x => Sensitivity.CreditNonQualifying(x.Key.Category, x.Key.Qualifier, x.Key.Bucket, x.Key.Tenor, Amount.Sum(x.Select(s => s.Amount), calculationCurrency)))
)
.Concat
(
sensitivities
.Where(x => (x.Risk == SensitivityRisk.CreditQualifying) && (x.Category != SensitivityCategory.BaseCorrelation))
.GroupBy(x => new { x.Category, x.Qualifier, Bucket = (BucketCreditQualifying)x.Bucket, x.Tenor, x.Label2 })
.Select(x => Sensitivity.CreditQualifying(x.Key.Category, x.Key.Qualifier, x.Key.Bucket, x.Key.Tenor, x.Key.Label2, Amount.Sum(x.Select(s => s.Amount), calculationCurrency)))
)
.Concat
(
sensitivities
.Where(x => x.Subrisk == SensitivitySubrisk.CrossCurrencyBasis)
.GroupBy(x => (Currency)x.Bucket)
.Select(x => Sensitivity.CrossCurrencyBasis(x.Key, Amount.Sum(x.Select(s => s.Amount), calculationCurrency)))
)
.Concat
(
sensitivities
.Where(x => x.Risk == SensitivityRisk.Equity)
.GroupBy(x => new { x.Category, x.Qualifier, Bucket = (BucketEquity)x.Bucket })
.Select(x => Sensitivity.Equity(x.Key.Category, x.Key.Qualifier, x.Key.Bucket, Amount.Sum(x.Select(s => s.Amount), calculationCurrency)))
)
.Concat
(
sensitivities
.Where(x => x.Risk == SensitivityRisk.Fx)
.GroupBy(x => new { x.Category, x.ThresholdIdentifier })
.Select(x => Sensitivity.Fx(x.Key.Category, x.Key.ThresholdIdentifier, Amount.Sum(x.Select(s => s.Amount), calculationCurrency)))
)
.Concat
(
sensitivities
.Where(x => x.Subrisk == SensitivitySubrisk.Inflation)
.GroupBy(x => new { x.Category, Bucket = (Currency)x.Bucket })
.Select(x => Sensitivity.Inflation(x.Key.Category, x.Key.Bucket, Amount.Sum(x.Select(s => s.Amount), calculationCurrency)))
)
.Concat
(
sensitivities
.Where(x => x.Subrisk == SensitivitySubrisk.InterestRate)
.GroupBy(x => new { x.Category, Bucket = (Currency)x.Bucket, x.Label2, x.Tenor })
.Select(x => Sensitivity.InterestRate(x.Key.Category, x.Key.Bucket, x.Key.Tenor, x.Key.Label2, Amount.Sum(x.Select(s => s.Amount), calculationCurrency)))
)
.ToList();
return(sensitivitiesNetted);
}