public static MarginProduct CalculateMarginProduct(DateTime valuationDate, Currency calculationCurrency, Product product, List <Notional> notionals, List <PresentValue> presentValues)
{
if (calculationCurrency == null)
{
throw new ArgumentNullException(nameof(calculationCurrency));
}
if (!Enum.IsDefined(typeof(Product), product))
{
throw new InvalidEnumArgumentException("Invalid product specified.");
}
if (notionals == null)
{
throw new ArgumentNullException(nameof(notionals));
}
if (presentValues == null)
{
throw new ArgumentNullException(nameof(presentValues));
}
Amount netReplacementCost = Amount.Max(Amount.Sum(presentValues.Select(x => - x.Amount), calculationCurrency), 0m);
Amount grossReplacementCost = Amount.Sum(presentValues.Select(x => Amount.Max(-x.Amount, 0m)), calculationCurrency);
Decimal ngRatio = grossReplacementCost.IsZero ? 1m : (netReplacementCost / grossReplacementCost).Value;
Amount marginAmountGross = Amount.Sum(notionals.Select(x => Amount.Abs(x.Amount) * ScheduleParameters.GetNotionalFactor(valuationDate, x)), calculationCurrency);
Decimal marginFactor = ScheduleParameters.GetMarginFactor(ngRatio);
Amount marginAmountNet = marginAmountGross * marginFactor;
return(MarginProduct.Of(product, marginAmountNet));
}
private MarginTotal Process(List <Notional> notionals, List <PresentValue> presentValues)
{
if (notionals == null)
{
throw new ArgumentNullException(nameof(notionals));
}
if (presentValues == null)
{
throw new ArgumentNullException(nameof(presentValues));
}
List <ScheduleObject> scheduleObjects = SanitizeData(notionals, presentValues);
if (scheduleObjects.Count == 0)
{
return(MarginTotal.Of(m_ValuationDate, m_CalculationCurrency));
}
HashSet <Product> products = new HashSet <Product>();
List <Notional> notionalsNetted = new List <Notional>(scheduleObjects.Count);
List <PresentValue> presentValuesNetted = new List <PresentValue>(scheduleObjects.Count);
foreach (ScheduleObject obj in scheduleObjects)
{
Amount notionalsSum = Amount.Abs(Amount.Sum(obj.Notionals.Select(x => x.Amount), m_CalculationCurrency));
notionalsNetted.Add(Notional.Of(obj.Product, notionalsSum, RegulationsInfo.Empty, obj.TradeInfo));
Amount presentValuesSum = Amount.Sum(obj.PresentValues.Select(x => x.Amount), m_CalculationCurrency);
presentValuesNetted.Add(PresentValue.Of(obj.Product, presentValuesSum, RegulationsInfo.Empty, obj.TradeInfo));
products.Add(obj.Product);
}
List <MarginProduct> productMargins = new List <MarginProduct>(products.Count);
foreach (Product product in products.OrderBy(x => x))
{
List <Notional> notionalsByProduct = notionalsNetted.Where(x => x.Product == product).ToList();
List <PresentValue> presentValuesByProduct = presentValuesNetted.Where(x => x.Product == product).ToList();
MarginProduct productMargin = ScheduleCalculations.CalculateMarginProduct(m_ValuationDate, m_CalculationCurrency, product, notionalsByProduct, presentValuesByProduct);
productMargins.Add(productMargin);
}
Margin scheduleMargin = ScheduleCalculations.CalculateMargin(m_ValuationDate, m_CalculationCurrency, productMargins, notionals, presentValues);
return(MarginTotal.Of(m_ValuationDate, m_CalculationCurrency, scheduleMargin));
}
