public override MarginSensitivity CalculateMargin(Currency calculationCurrency, FxRatesProvider ratesProvider, SensitivityRisk risk, SensitivityCategory category, List <Sensitivity> sensitivities)
{
if (calculationCurrency == null)
{
throw new ArgumentNullException(nameof(calculationCurrency));
}
if (ratesProvider == null)
{
throw new ArgumentNullException(nameof(ratesProvider));
}
if (!Enum.IsDefined(typeof(SensitivityRisk), risk))
{
throw new InvalidEnumArgumentException("Invalid sensitivity risk specified.");
}
if (!Enum.IsDefined(typeof(SensitivityCategory), category))
{
throw new InvalidEnumArgumentException("Invalid sensitivity category specified.");
}
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
List <IBucket> buckets = sensitivities.Select(x => x.Bucket).Distinct().OrderBy(x => x.Name).ToList();
List <MarginBucket> bucketMargins = new List <MarginBucket>(buckets.Count);
foreach (IBucket bucket in buckets)
{
List <Sensitivity> sensitivitiesByBucket = sensitivities.Where(x => x.Bucket == bucket).ToList();
List <MarginWeighting> weightingMargins = CalculateMarginsWeighting(SensitivityCategory.Curvature, sensitivitiesByBucket);
Amount sumSquared = Amount.Sum(weightingMargins.Select(x => Amount.Square(x.Value)), calculationCurrency);
Amount sumCorrelated = CalculateCorrelatedSumWeights(calculationCurrency, risk, weightingMargins);
Amount bucketMarginAmount = Amount.SquareRoot(sumSquared + sumCorrelated);
bucketMargins.Add(MarginBucket.Of(bucket, bucketMarginAmount, weightingMargins));
}
Amount marginNonResidual = CalculateMarginByBuckets(calculationCurrency, risk, false, bucketMargins);
Amount marginResidual = CalculateMarginByBuckets(calculationCurrency, risk, true, bucketMargins);
Amount sensitivityMarginAmount = ModelParameters.GetCurvatureScaleFactor(risk) * (marginNonResidual + marginResidual);
return(MarginSensitivity.Of(SensitivityCategory.Curvature, sensitivityMarginAmount, bucketMargins));
}