public static bool IsLocalCurrencyType(InstrumentMetrics metric)
{
switch (metric)
{
case InstrumentMetrics.LocalCurrencyAnalyticalDelta:
case InstrumentMetrics.LocalCurrencyDelta1:
case InstrumentMetrics.LocalCurrencyDelta0:
case InstrumentMetrics.LocalCurrencyDeltaR:
case InstrumentMetrics.LocalCurrencyFloatingNPV:
case InstrumentMetrics.LocalCurrencyAccrualFactor:
case InstrumentMetrics.LocalCurrencyHistoricalAccrualFactor:
case InstrumentMetrics.LocalCurrencyExpectedValue:
case InstrumentMetrics.LocalCurrencyCalculatedValue:
case InstrumentMetrics.LocalCurrencyHistoricalValue:
case InstrumentMetrics.LocalCurrencyNFV:
case InstrumentMetrics.LocalCurrencyNPV:
case InstrumentMetrics.LocalCurrencySimpleCVA:
case InstrumentMetrics.LocalCurrencyBucketedDelta1:
case InstrumentMetrics.LocalCurrencyBucketedDeltaVector:
case InstrumentMetrics.LocalCurrencyBucketedDeltaVector2:
case InstrumentMetrics.LocalCurrencyHistoricalDelta1:
case InstrumentMetrics.LocalCurrencyDelta1PDH:
case InstrumentMetrics.LocalCurrencyDelta0PDH:
case InstrumentMetrics.LocalCurrencyAnalyticalGamma:
case InstrumentMetrics.LocalCurrencyGamma1:
case InstrumentMetrics.LocalCurrencyGamma0:
case InstrumentMetrics.LocalCurrencyDelta0Delta1:
return(true);
default:
return(false);
}
}
/// <summary>
/// Aggregates the coupon metric.
/// </summary>
/// <param name="metric">The metric.</param>
/// <returns></returns>
protected virtual Decimal AggregateCouponMetric(InstrumentMetrics metric)
{
string[] metrics = { metric.ToString() };
var childValuations = GetChildValuations(GetChildren().ToArray(), new List <string>(metrics), ModelData);
decimal result = Aggregator.SumDecimals(childValuations.Select(valuation => Aggregator.SumDecimals(GetMetricResults(valuation, metric))).ToArray());
return(result);
}
/// <summary>
/// Aggregates the coupon metric.
/// </summary>
/// <param name="metric">The metric.</param>
/// <param name="childValuations"> </param>
/// <returns></returns>
protected Decimal AggregateMetric(InstrumentMetrics metric, List <AssetValuation> childValuations)
{
var result = 0.0m;
if (childValuations != null && childValuations.Count > 0)
{
result = Aggregator.SumDecimals(childValuations.Select(valuation => Aggregator.SumDecimals(GetMetricResults(valuation, metric))).ToArray());
}
return(result);
}
/// <summary>
/// Aggregates the coupon metric.
/// </summary>
/// <param name="metric">The metric.</param>
/// <returns></returns>
protected virtual Decimal AggregatePaymentMetric(InstrumentMetrics metric)
{
string[] metrics = { metric.ToString() };
var childValuations = GetChildValuations(GetPaymentControllers().ToArray(), new List <string>(metrics), ModelData);
var results = new List <decimal>();
if (childValuations != null)
{
results.AddRange(childValuations.Select(valuation => Aggregator.SumDecimals(GetMetricResults(valuation, metric))));
}
decimal result = Aggregator.SumDecimals(results.ToArray());
return(result);
}
/// <summary>
/// Aggregates the exchange metric.
/// </summary>
/// <param name="childValuations"> </param>
/// <param name="metric">The metric.</param>
/// <returns></returns>
protected virtual Decimal AggregatePaymentMetric(List <AssetValuation> childValuations, InstrumentMetrics metric)
{
var result = 0.0m;
if (Payments != null && Payments.Count > 0)
{
//var childValuations = GetChildValuations(Payments.ToArray(), new List<string>(metrics), ModelData);
result = Aggregator.SumDecimals(childValuations.Select(valuation => Aggregator.SumDecimals(GetMetricResults(valuation, metric))).ToArray());
}
return(result);
}
