private static Amount CalculateCorrelatedSumRisks(Currency calculationCurrency, List <MarginRisk> riskMargins)
{
Amount sum = Amount.OfZero(calculationCurrency);
foreach (MarginRisk marginRisk1 in riskMargins)
{
foreach (MarginRisk marginRisk2 in riskMargins)
{
SensitivityRisk risk1 = marginRisk1.Risk;
SensitivityRisk risk2 = marginRisk2.Risk;
if (risk1 != risk2)
{
Decimal correlation = ModelParameters.GetCorrelationRisk(risk1, risk2);
sum += marginRisk1.Value * marginRisk2.Value * correlation;
}
}
}
return(sum);
}