public CounterpartyRiskOutput CalculateCounterpartyRisk(AggregatedMeasures measures, Parameters Parameters)
{
this.measures = measures;
this.Parameters = Parameters;
output = new CounterpartyRiskOutput();
output.VInter = CalculateVInter();
output.VIntra = CalculateVIntra();
output.V = CalculateV();
output.StD3 = CalculateStD3();
output.StD5 = CalculateStD5();
output.SumLGD = CalculateSumLGD();
output.KType1 = CalculateKType1();
output.KType2 = CalculateKType2();
output.TotalLossPotentialCounterPartyRisk = CalculateTotalLossPotentialCounterpartyRisk();
return(output);
}
public CounterpartyRiskOutput GetCounterpartyRisk(CounterpartyRiskInput input)
{
List <Contract> Contracts = RefineDTOContracts(input);
input.Parameters.SumReinsurersShareSimplified = CalcSumReinsurersShareSimplified(input);
AggregatedMeasures measures = AggregateMeasuresOnRating(Contracts);
CounterpartyRiskCalculator calculator = new CounterpartyRiskCalculator();
CounterpartyRiskOutput output = calculator.CalculateCounterpartyRisk(measures, input.Parameters);
ContractsFilter filter = new ContractsFilter();
List <CounterpartDTO> largestCounterparts = filter.FilterCounterpartsOnLGD(Contracts);
output.LargestCounterparts = largestCounterparts;
return(output);
}
public AggregatedMeasures AggregateMeasuresOnRating(List <Contract> contracts)
{
List <int> ratings = new List <int>()
{
0, 1, 2, 3, 4, 5, 6, 7, 8, 9
};
AggregatedMeasures measures = new AggregatedMeasures();
foreach (var rating in ratings)
{
foreach (Contract contract in contracts.Where(c => c.Rating == rating))
{
double LGD = contract.CalculateLGD();
measures.AddLGD(rating, LGD);
measures.AddLGDSquared(rating, LGD * LGD);
}
}
return(measures);
}
