public static (double CVA, double CCR) PvCapital_Split(DateTime originDate, DateTime[] EADDates, IAssetFxModel[] models,
Portfolio portfolio, HazzardCurve hazzardCurve, Currency reportingCurrency, IIrCurve discountCurve, double LGD, double partyCVAWeight, double riskWeight,
Dictionary <string, string> assetIdToHedgeMap, Dictionary <string, double> hedgeGroupCCFs, ICurrencyProvider currencyProvider, double[] epeProfile,
DateTime?B2B3ChangeDate = null, double[] eadProfile = null)
{
var pd = hazzardCurve.ConstantPD;
if (!B2B3ChangeDate.HasValue)
{
B2B3ChangeDate = DateTime.MaxValue;
}
var eads = eadProfile ?? EAD_Split(originDate, EADDates, epeProfile, models, portfolio, reportingCurrency, assetIdToHedgeMap, hedgeGroupCCFs, B2B3ChangeDate.Value, currencyProvider);
eads = eads.Select(e => e * riskWeight).ToArray();
var Ms = EADDates.Select(d => Max(1.0, portfolio.WeightedMaturity(d))).ToArray();
var dfs = Ms.Select(m => m == 0 ? 1.0 : (1.0 - Exp(-0.05 * m)) / (0.05 * m)).ToArray();
var ksCCR = eads.Select((e, ix) => BaselHelper.K(pd, LGD, Ms[ix]) * e).ToArray();
var ksCVA = eads.Select((e, ix) => XVACalculator.Capital_BaselII_CVA_SM(e * dfs[ix], Ms[ix], partyCVAWeight)).ToArray();
var pvCapitalCCR = PvProfile(originDate, EADDates, ksCCR, discountCurve);
var pvCapitalCVA = PvProfile(originDate, EADDates, ksCVA, discountCurve);
return(pvCapitalCVA, pvCapitalCCR);
}
public static double RWA_BaselII_CCR_IMM(DateTime originDate, DateTime[] exposureDates, double[] exposures, double PD, double LGD, double alpha = 1.4)
{
(var efExpPE, var M) = EEPE(originDate, exposureDates, exposures);
var ead = efExpPE * alpha;
var RWA = BaselHelper.RWA(PD, LGD, M, ead);
return(RWA);
}
public static double PvCcrCapital_BII_SM(DateTime originDate, DateTime[] EADDates, IAssetFxModel[] models, Portfolio portfolio,
HazzardCurve hazzardCurve, Currency reportingCurrency, IIrCurve discountCurve, double LGD, Dictionary <string, string> assetIdToHedgeMap,
Dictionary <string, double> hedgeGroupCCFs, ICurrencyProvider currencyProvider, double[] epeProfile, double[] eadProfile = null)
{
var pd = hazzardCurve.ConstantPD;
var eads = eadProfile ?? EAD_BII_SM(originDate, EADDates, epeProfile, models, portfolio, reportingCurrency, assetIdToHedgeMap, hedgeGroupCCFs, currencyProvider);
var Ms = EADDates.Select(d => Max(1.0, portfolio.WeightedMaturity(d))).ToArray();
var ks = eads.Select((e, ix) => BaselHelper.K(pd, LGD, Ms[ix]) * e).ToArray();
var pvCapital = PvProfile(originDate, EADDates, ks, discountCurve);
return(pvCapital);
}
public static double PVCapital_BII_IMM(DateTime originDate, DateTime[] EADDates, double[] EADs, HazzardCurve hazzardCurve,
IIrCurve discountCurve, double LGD, Portfolio portfolio)
{
if (EADDates.Length != EADs.Length)
{
throw new Exception("Number of EPE dates and EPE values must be equal");
}
var pd = hazzardCurve.ConstantPD;
var epees = EADs.Select((d, ix) => EADs.Skip(ix).Max()).ToArray();
var Ms = EADDates.Select(d => Max(1.0, portfolio.WeightedMaturity(d))).ToArray();
var ks = epees.Select((e, ix) => BaselHelper.K(pd, LGD, Ms[ix]) * e * 1.4).ToArray();
var pvCapital = PvProfile(originDate, EADDates, ks, discountCurve);
return(pvCapital);
}
