//public void Run()
//{
// var dataTable = ComputeSicrInput();
// string stop = "stop";
//}
//public List<SicrInputs> ComputeSicrInput()
//{
// var sicrInput = new List<SicrInputs>();
// //string[] testAccounts = { "15033346", "15036347", "222017177" };
// var loanbookTable = GetLoanbookData().Where(x => x.ContractId.Substring(0, 3) != ECLStringConstants.i.ExpiredContractsPrefix).ToList();
// var lifetimePds = _scenarioLifetimePd.ComputeLifetimePd();
// var redefaultLifetimePds = _scenarioRedefaultLifetimePd.ComputeRedefaultLifetimePd();
// //var pdMapping = _pdMapping.ComputePdMappingTable();
// foreach (var loanbookRow in loanbookTable)
// {
// var contractPdMapping = pdMapping.FirstOrDefault(x => x.ContractId == loanbookRow.ContractId);
// if (contractPdMapping == null)
// {
// continue;
// }
// string contractPdGroup = contractPdMapping.PdGroup;
// int contractTtmMonths = contractPdMapping.TtmMonths;
// string impairedDate = null;
// if(loanbookRow.ImpairedDate != null)
// {
// impairedDate=loanbookRow.ImpairedDate.ToString().Contains("1900") ? null : loanbookRow.ImpairedDate.ToString();
// }
// string defaultDate = null;
// if(loanbookRow.DefaultDate!=null)
// {
// defaultDate = loanbookRow.DefaultDate.ToString().Contains("1900") ? null : loanbookRow.DefaultDate.ToString();
// }
// int maxClassification = contractPdMapping.MaxClassificationScore;
// long maxDpd = contractPdMapping.MaxDpd;
// var sicrRow = new SicrInputs();
// sicrRow.ContractId = loanbookRow.ContractId;
// sicrRow.Pd12Month = ComputeLifetimeAndRedefaultPds(lifetimePds, contractPdGroup, 12);
// sicrRow.LifetimePd = ComputeLifetimeAndRedefaultPds(lifetimePds, contractPdGroup, contractTtmMonths);
// sicrRow.RedefaultLifetimePd = ComputeLifetimeAndRedefaultPds(redefaultLifetimePds, contractPdGroup, contractTtmMonths);
// sicrRow.Stage1Transition = Math.Round(ComputeStageDaysPastDue(impairedDate));
// sicrRow.Stage2Transition = ComputeStageDaysPastDue(defaultDate);
// sicrRow.DaysPastDue = ComputeDaysPastDue(maxClassification, maxDpd);
// sicrInput.Add(sicrRow);
// }
// return sicrInput;
//}
public SicrInputs ComputeSICRInput(Loanbook_Data loanbookRow, PdMappings contractPdMapping, List <LifeTimeObject> lifetimePds, List <LifeTimeObject> redefaultLifetimePds)
{
string contractPdGroup = contractPdMapping.PdGroup;
int contractTtmMonths = contractPdMapping.TtmMonths;
string impairedDate = null;
if (loanbookRow.ImpairedDate != null)
{
impairedDate = loanbookRow.ImpairedDate.ToString().Contains("1900") ? null : loanbookRow.ImpairedDate.ToString();
}
string defaultDate = null;
if (loanbookRow.DefaultDate != null)
{
defaultDate = loanbookRow.DefaultDate.ToString().Contains("1900") ? null : loanbookRow.DefaultDate.ToString();
}
int maxClassification = contractPdMapping.MaxClassificationScore;
long maxDpd = contractPdMapping.MaxDpd;
var sicrRow = new SicrInputs();
//sicrRow.ContractId = loanbookRow.ContractId;
sicrRow.Pd12Month = ComputeLifetimeAndRedefaultPds(lifetimePds, contractPdGroup, 12);
sicrRow.LifetimePd = ComputeLifetimeAndRedefaultPds(lifetimePds, contractPdGroup, contractTtmMonths);
sicrRow.RedefaultLifetimePd = ComputeLifetimeAndRedefaultPds(redefaultLifetimePds, contractPdGroup, contractTtmMonths);
sicrRow.Stage1Transition = int.Parse(Math.Round(ComputeStageDaysPastDue(impairedDate)).ToString());
sicrRow.Stage2Transition = int.Parse(Math.Round(ComputeStageDaysPastDue(defaultDate)).ToString());
sicrRow.DaysPastDue = ComputeDaysPastDue(maxClassification, maxDpd);
return(sicrRow);
}
private int ComputeForwardScore(SicrInputs sicrInputRecord, Loanbook_Data loanBookRecord, List <EclAssumptions> assumption)
{
var currentRating = loanBookRecord.CurrentRating ?? "";
double currentCreditRankRating = string.IsNullOrWhiteSpace(currentRating) ? 1 : Convert.ToDouble(assumption.FirstOrDefault(o => o.AssumptionGroup == 6 && o.Value == currentRating).Key.Replace("CreditRatingRank", ""));// && Convert.ToDouble(GetImpairmentAssumptionValue(assumption, ImpairmentRowKeys.CreditRatingRank + currentRating.ToString()));
double stage2to3creditRating = Convert.ToDouble(GetImpairmentAssumptionValue(assumption, ImpairmentRowKeys.CreditRatingDefaultIndicator));
double stage1to2Forward = Convert.ToDouble(GetImpairmentAssumptionValue(assumption, ImpairmentRowKeys.ForwardTransitionStage1to1));
double stage2to3Forward = Convert.ToDouble(GetImpairmentAssumptionValue(assumption, ImpairmentRowKeys.ForwardTransitionStage2to3));
long daysPastDue = sicrInputRecord.DaysPastDue;
if (currentCreditRankRating < stage2to3creditRating)
{
return(daysPastDue < stage1to2Forward ? 1 : (daysPastDue >= stage2to3Forward ? 3 : 2));
}
else
{
return(3);
}
}
private int ComputeStage(SicrInputs sicrInputRecord, Loanbook_Data loanBookRecord, List <EclAssumptions> assumption, string pdMapping)
{
int pdAbsoluteScore = ComputePdAbsoluteScore(sicrInputRecord, loanBookRecord, assumption);
int pdRelativeScore = ComputePdRelativeScore(sicrInputRecord, loanBookRecord, assumption);
int creditRatingScore = ComputeCreditRatingScore(loanBookRecord, assumption);
int watchlistScore = ComputeWatchlistIndicatorScore(loanBookRecord, assumption);
int restructureScore = ComputeRestructureIndicatorScore(loanBookRecord, assumption);
int forwardScore = ComputeForwardScore(sicrInputRecord, loanBookRecord, assumption);
int backwardScore = ComputeBackwardScore(sicrInputRecord, assumption);
int expDefault = ComputeExpDefaultScore(pdMapping);
int maxScore1 = Math.Max(pdAbsoluteScore, pdRelativeScore);
int maxScore2 = Math.Max(creditRatingScore, watchlistScore);
int maxScore3 = Math.Max(forwardScore, backwardScore);
int maxScore4 = Math.Max(restructureScore, expDefault);
int maxScore5 = Math.Max(maxScore1, maxScore2);
int maxScore6 = Math.Max(maxScore3, maxScore4);
return(Math.Max(maxScore5, maxScore6));
}
private int ComputePdAbsoluteScore(SicrInputs sicrInputRecord, Loanbook_Data loanBookRecord, List <EclAssumptions> assumption)
{
string absoluteType = GetImpairmentAssumptionValue(assumption, ImpairmentRowKeys.AbsoluteCreditQualityCriteria);
double absoluteThreshold = Convert.ToDouble(GetImpairmentAssumptionValue(assumption, ImpairmentRowKeys.AbsoluteCreditQualityThreshold));
switch (absoluteType)
{
case FrameworkConstants.CreditQualityCriteriaLifetimePd:
double sicrLifetimePd = sicrInputRecord.LifetimePd;
double loanLifetimePd = loanBookRecord.LifetimePD ?? 0;
return(((sicrLifetimePd - loanLifetimePd) > absoluteThreshold) ? 2 : 1);
case FrameworkConstants.CreditQualityCriteria12MonthPd:
double sicr12MonthPd = sicrInputRecord.Pd12Month;
double loan12MonthPd = loanBookRecord.Month12PD ?? 0;
return(((sicr12MonthPd - loan12MonthPd) > absoluteThreshold) ? 2 : 1);
default:
return(0);
}
}
private int ComputeBackwardScore(SicrInputs sicrInputRecord, List <EclAssumptions> assumption)
{
double stage2to1Backward = Convert.ToDouble(GetImpairmentAssumptionValue(assumption, ImpairmentRowKeys.BackwardTransitionsStage2to1));
double stage3to2Backward = Convert.ToDouble(GetImpairmentAssumptionValue(assumption, ImpairmentRowKeys.BackwardTransitionsStage3to2));
long stage1Transition = sicrInputRecord.Stage1Transition;
long stage2Transition = sicrInputRecord.Stage2Transition;
if (stage2Transition < stage3to2Backward && stage2Transition != 0)
{
return(3);
}
else
{
if ((stage1Transition < stage2to1Backward && stage1Transition != 0) || (stage2Transition < stage3to2Backward + stage2to1Backward && stage2Transition != 0))
{
return(2);
}
else
{
return(1);
}
}
}
