internal List <StageClassification> ComputeStageClassification(List <Loanbook_Data> loanbook)
{
var stageClassification = new List <StageClassification>();
var sicrInput = GetSicrInputResult();
var assumption = GetImpairmentAssumptionsData();
var pdMapping = GetPdMappingResult(); //YYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYYy
var lbContractIds = loanbook.Select(o => o.ContractId).ToList();
sicrInput = sicrInput.Where(o => lbContractIds.Contains(o.ContractId)).ToList();
pdMapping = pdMapping.Where(o => lbContractIds.Contains(o.ContractId)).ToList();
var overrides = GetOverrideDataResult();
foreach (var row in sicrInput)
{
try
{
if (string.IsNullOrEmpty(row.ContractId))
{
continue; //YYYYYYYYYYYYYYYYYYYYYYYYYY
}
var newRow = new StageClassification();
if (row.ContractId.ToUpper().StartsWith(ECLStringConstants.i.ExpiredContractsPrefix))
{
newRow.ContractId = row.ContractId;
newRow.Stage = 3;
newRow.projectionMonth = 0;
stageClassification.Add(newRow);
continue;
}
var loanbookRecord = loanbook.FirstOrDefault(x => x.ContractId == row.ContractId);
var pdMappingRecord = pdMapping.FirstOrDefault(x => x.ContractId == row.ContractId);
newRow.ContractId = row.ContractId;
newRow.Stage = ComputeStage(row, loanbookRecord, assumption, pdMappingRecord.PdGroup);
var overridestage = overrides.FirstOrDefault(o => o.ContractId == row.ContractId);
if (overridestage != null)
{
if (overridestage.Stage != null)
{
newRow.Stage = overridestage.Stage ?? 1;
}
}
newRow.projectionMonth = 0;
try { newRow.projectionMonth = loanbookRecord.LIM_MONTH; } catch { }
newRow.ContractId = newRow.ContractId;
stageClassification.Add(newRow);
}catch (Exception ex)
{
Log4Net.Log.Info(row.ContractId);
Log4Net.Log.Error(ex);
}
}
Console.WriteLine($"Got LGD_StatgeClassification");
return(stageClassification);
}
private double ComputeFinalEclValue(List <FinalEcl> monthlyEcl, List <IrFactor> cummulativeDiscountFactor, List <LifetimeEad> lifetimeEad, List <LifetimeLgd> lifetimeLGD, string contractId, StageClassification stage, string eirGroup)
{
//xxxxxxxxxxxxxxxxxxx
double lifetimeLgdMonth0Value = 0;
try { lifetimeLgdMonth0Value = lifetimeLGD.FirstOrDefault(o => o.ContractId == contractId && o.Month == 0).Value; } catch { }
double lifetimeEadMonth0Value = 0;
try
{
lifetimeEadMonth0Value = lifetimeEad.FirstOrDefault(o => o.ContractId == contractId && o.ProjectionMonth == 0).ProjectionValue;
}
catch { }
double finalEclValue = 0;
switch (stage.Stage)
{
//case 1:
// double[] monthEclArray = monthlyEcl.Where(o => o.ContractId == contractId && o.EclMonth >= 1 && o.EclMonth <= FrameworkConstants.ScenerioWorkingMaxMonth).OrderBy(m => m.EclMonth).Select(n => n.MonthlyEclValue).ToArray();
// double[] monthCdfArray = cummulativeDiscountFactor.Where(o => o.EirGroup == eirGroup && o.ProjectionMonth >= 1 && o.ProjectionMonth <= FrameworkConstants.ScenerioWorkingMaxMonth).OrderBy(m => m.ProjectionMonth).Select(n => n.ProjectionValue).ToArray();
// finalEclValue = ExcelFormulaUtil.SumProduct(monthEclArray, monthCdfArray);
// break;
//case 2:
// double[] monthEclArray2 = monthlyEcl.Where(o => o.ContractId == contractId && o.EclMonth >= 1).OrderBy(m => m.EclMonth).Select(n => n.MonthlyEclValue).ToArray();// && o.EclMonth <= FrameworkConstants.ProjectionMonth).Select(n => n.MonthlyEclValue).ToArray();
// double[] monthCdfArray2 = cummulativeDiscountFactor.Where(o => o.EirGroup == eirGroup && o.ProjectionMonth >= 1).OrderBy(m => m.ProjectionMonth).Select(n => n.ProjectionValue).ToArray();// && o.ProjectionMonth < FrameworkConstants.ProjectionMonth).Select(n => n.ProjectionValue).ToArray(); //FrameworkConstants.ProjectionMonth
// finalEclValue = ExcelFormulaUtil.SumProduct(monthEclArray2, monthCdfArray2);
// break;
case 1:
double[] monthEclArray = monthlyEcl.Where(o => o.ContractId == contractId && o.EclMonth >= 1 && o.EclMonth <= FrameworkConstants.ScenerioWorkingMaxMonth).OrderBy(m => m.EclMonth).Select(n => n.MonthlyEclValue).ToArray();
double[] monthCdfArray = cummulativeDiscountFactor.Where(o => o.EirGroup == eirGroup && o.ProjectionMonth >= 1 && o.ProjectionMonth <= FrameworkConstants.ScenerioWorkingMaxMonth).OrderBy(m => m.ProjectionMonth).Select(n => n.ProjectionValue).ToArray();
finalEclValue = ExcelFormulaUtil.SumProduct(monthEclArray, monthCdfArray);
break;
case 2:
double[] monthEclArray2 = monthlyEcl.Where(o => o.ContractId == contractId && o.EclMonth >= 1).OrderBy(m => m.EclMonth).Select(n => n.MonthlyEclValue).ToArray(); // && o.EclMonth <= FrameworkConstants.ProjectionMonth).Select(n => n.MonthlyEclValue).ToArray();
double[] monthCdfArray2 = cummulativeDiscountFactor.Where(o => o.EirGroup == eirGroup && o.ProjectionMonth >= 1).OrderBy(m => m.ProjectionMonth).Select(n => n.ProjectionValue).ToArray(); // && o.ProjectionMonth < FrameworkConstants.ProjectionMonth).Select(n => n.ProjectionValue).ToArray(); //FrameworkConstants.ProjectionMonth
finalEclValue = ExcelFormulaUtil.SumProduct(monthEclArray2, monthCdfArray2);
break;
default:
finalEclValue = lifetimeEadMonth0Value * lifetimeLgdMonth0Value;
break;
}
return(finalEclValue);
}