private ICube GetRisk(IPvModel model)
{
switch (Metric)
{
case RiskMetric.AssetCurveDelta:
return(model.AssetDelta());
case RiskMetric.FxDelta:
return(model.FxDelta(model.VanillaModel.FundingModel.FxMatrix.BaseCurrency, _currencyProvider, false));
default:
throw new Exception($"Unable to process risk metric {Metric}");
}
}
private ICube GetRisk(IPvModel model)
{
switch (Metric)
{
case RiskMetric.AssetCurveDelta:
return(model.AssetDelta());
//case RiskMetric.AssetCurveDeltaGamma:
// return portfolio.AssetDeltaGamma(model);
case RiskMetric.FxDelta:
return(model.FxDeltaSpecific(_currencyProvider.GetCurrency("ZAR"), FxPairsForDelta, _currencyProvider, false));
//case RiskMetric.FxDeltaGamma:
// return portfolio.FxDelta(model, _currencyProvider.GetCurrency("ZAR"), _currencyProvider, true);
default:
throw new Exception($"Unable to process risk metric {Metric}");
}
}