private static Amount CalculateCorrelatedSumBuckets(Currency calculationCurrency, SensitivityRisk risk, Dictionary <IBucket, Decimal> thresholdFactors, List <MarginBucket> bucketMargins)
{
Dictionary <IBucket, Amount> weightingMarginSums = new Dictionary <IBucket, Amount>();
foreach (MarginBucket bucketMargin in bucketMargins)
{
Amount weightingMarginsSum = Amount.Sum(bucketMargin.Children.Select(x => x.Value), calculationCurrency);
Amount bucketMarginValue = Amount.Max(Amount.Min(weightingMarginsSum, bucketMargin.Value), -bucketMargin.Value);
weightingMarginSums[bucketMargin.Bucket] = bucketMarginValue;
}
Amount sum = Amount.OfZero(calculationCurrency);
foreach (IBucket bucket1 in weightingMarginSums.Keys)
{
foreach (IBucket bucket2 in weightingMarginSums.Keys)
{
if (bucket1 != bucket2)
{
Decimal thresholdFactor1 = thresholdFactors[bucket1];
Decimal thresholdFactor2 = thresholdFactors[bucket2];
Decimal concentration = Math.Min(thresholdFactor1, thresholdFactor2) / Math.Max(thresholdFactor1, thresholdFactor2);
Decimal correlationBucket = ModelParameters.GetCorrelationBucket(risk, bucket1, bucket2);
Decimal correlation = correlationBucket * concentration;
sum += weightingMarginSums[bucket1] * weightingMarginSums[bucket2] * correlation;
}
}
}
return(sum);
}
private static Amount CalculateCorrelatedSumBuckets(Currency calculationCurrency, SensitivityRisk risk, List <MarginBucket> bucketMargins)
{
Dictionary <IBucket, Amount> weightingMarginSums = new Dictionary <IBucket, Amount>();
foreach (MarginBucket bucketMargin in bucketMargins)
{
Amount weightingMarginsSum = Amount.Sum(bucketMargin.Children.Select(x => x.Value), calculationCurrency);
Amount bucketMarginAmount = Amount.Max(Amount.Min(weightingMarginsSum, bucketMargin.Value), -bucketMargin.Value);
weightingMarginSums[bucketMargin.Bucket] = bucketMarginAmount;
}
Amount sum = Amount.OfZero(calculationCurrency);
foreach (IBucket bucket1 in weightingMarginSums.Keys)
{
foreach (IBucket bucket2 in weightingMarginSums.Keys)
{
if (bucket1 != bucket2)
{
Decimal correlation = MathUtilities.Square(ModelParameters.GetCorrelationBucket(risk, bucket1, bucket2));
sum += weightingMarginSums[bucket1] * weightingMarginSums[bucket2] * correlation;
}
}
}
return(sum);
}