protected static List <MarginWeighting> CalculateMarginsWeighting(SensitivityCategory category, Dictionary <String, Decimal> thresholdFactors, List <Sensitivity> sensitivities)
{
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
if (thresholdFactors == null)
{
throw new ArgumentNullException(nameof(thresholdFactors));
}
List <MarginWeighting> weightingMargins = new List <MarginWeighting>(sensitivities.Count);
foreach (Sensitivity sensitivity in sensitivities)
{
Decimal riskWeight = ModelParameters.GetWeightRisk(category, sensitivity);
Decimal thresholdFactor = (sensitivity.Subrisk == SensitivitySubrisk.CrossCurrencyBasis) ? 1m : thresholdFactors[sensitivity.Qualifier];
Amount weightingMarginAmount = sensitivity.Amount * riskWeight * thresholdFactor;
weightingMargins.Add(MarginWeighting.Of(sensitivity, weightingMarginAmount));
}
return(weightingMargins);
}
protected static List <MarginWeighting> CalculateMarginsWeighting(SensitivityCategory category, List <Sensitivity> sensitivities)
{
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
List <MarginWeighting> weightingMargins = new List <MarginWeighting>(sensitivities.Count);
foreach (Sensitivity sensitivity in sensitivities)
{
Decimal riskWeight = ModelParameters.GetWeightRisk(category, sensitivity);
Amount weightingMarginAmount = sensitivity.Amount * riskWeight;
weightingMargins.Add(MarginWeighting.Of(sensitivity, weightingMarginAmount));
}
return(weightingMargins);
}
