Example #1
0
        public static (double CVA, double CCR) PvCapital_Split(DateTime originDate, DateTime[] EADDates, IAssetFxModel[] models,
                                                               Portfolio portfolio, HazzardCurve hazzardCurve, Currency reportingCurrency, IIrCurve discountCurve, double LGD, double partyCVAWeight, double riskWeight,
                                                               Dictionary <string, string> assetIdToHedgeMap, Dictionary <string, double> hedgeGroupCCFs, ICurrencyProvider currencyProvider, double[] epeProfile,
                                                               DateTime?B2B3ChangeDate = null, double[] eadProfile = null)
        {
            var pd = hazzardCurve.ConstantPD;

            if (!B2B3ChangeDate.HasValue)
            {
                B2B3ChangeDate = DateTime.MaxValue;
            }

            var eads = eadProfile ?? EAD_Split(originDate, EADDates, epeProfile, models, portfolio, reportingCurrency, assetIdToHedgeMap, hedgeGroupCCFs, B2B3ChangeDate.Value, currencyProvider);

            eads = eads.Select(e => e * riskWeight).ToArray();

            var Ms  = EADDates.Select(d => Max(1.0, portfolio.WeightedMaturity(d))).ToArray();
            var dfs = Ms.Select(m => m == 0 ? 1.0 : (1.0 - Exp(-0.05 * m)) / (0.05 * m)).ToArray();

            var ksCCR = eads.Select((e, ix) => BaselHelper.K(pd, LGD, Ms[ix]) * e).ToArray();
            var ksCVA = eads.Select((e, ix) => XVACalculator.Capital_BaselII_CVA_SM(e * dfs[ix], Ms[ix], partyCVAWeight)).ToArray();

            var pvCapitalCCR = PvProfile(originDate, EADDates, ksCCR, discountCurve);
            var pvCapitalCVA = PvProfile(originDate, EADDates, ksCVA, discountCurve);

            return(pvCapitalCVA, pvCapitalCCR);
        }
Example #2
0
        public static double RWA_BaselII_CCR_IMM(DateTime originDate, DateTime[] exposureDates, double[] exposures, double PD, double LGD, double alpha = 1.4)
        {
            (var efExpPE, var M) = EEPE(originDate, exposureDates, exposures);
            var ead = efExpPE * alpha;

            var RWA = BaselHelper.RWA(PD, LGD, M, ead);

            return(RWA);
        }
Example #3
0
        public static double PvCcrCapital_BII_SM(DateTime originDate, DateTime[] EADDates, IAssetFxModel[] models, Portfolio portfolio,
                                                 HazzardCurve hazzardCurve, Currency reportingCurrency, IIrCurve discountCurve, double LGD, Dictionary <string, string> assetIdToHedgeMap,
                                                 Dictionary <string, double> hedgeGroupCCFs, ICurrencyProvider currencyProvider, double[] epeProfile, double[] eadProfile = null)
        {
            var pd   = hazzardCurve.ConstantPD;
            var eads = eadProfile ?? EAD_BII_SM(originDate, EADDates, epeProfile, models, portfolio, reportingCurrency, assetIdToHedgeMap, hedgeGroupCCFs, currencyProvider);

            var Ms = EADDates.Select(d => Max(1.0, portfolio.WeightedMaturity(d))).ToArray();
            var ks = eads.Select((e, ix) => BaselHelper.K(pd, LGD, Ms[ix]) * e).ToArray();

            var pvCapital = PvProfile(originDate, EADDates, ks, discountCurve);

            return(pvCapital);
        }
Example #4
0
        public static double PVCapital_BII_IMM(DateTime originDate, DateTime[] EADDates, double[] EADs, HazzardCurve hazzardCurve,
                                               IIrCurve discountCurve, double LGD, Portfolio portfolio)
        {
            if (EADDates.Length != EADs.Length)
            {
                throw new Exception("Number of EPE dates and EPE values must be equal");
            }

            var pd    = hazzardCurve.ConstantPD;
            var epees = EADs.Select((d, ix) => EADs.Skip(ix).Max()).ToArray();
            var Ms    = EADDates.Select(d => Max(1.0, portfolio.WeightedMaturity(d))).ToArray();
            var ks    = epees.Select((e, ix) => BaselHelper.K(pd, LGD, Ms[ix]) * e * 1.4).ToArray();

            var pvCapital = PvProfile(originDate, EADDates, ks, discountCurve);

            return(pvCapital);
        }