Esempio n. 1
0
            private static Amount CalculateMarginByBuckets(Currency calculationCurrency, SensitivityRisk risk, Boolean residuals, List <MarginBucket> bucketMargins)
            {
                if (residuals)
                {
                    bucketMargins = bucketMargins.Where(x => x.Bucket.IsResidual).ToList();
                }
                else
                {
                    bucketMargins = bucketMargins.Where(x => !x.Bucket.IsResidual).ToList();
                }

                Amount crossBucketSum         = Amount.Sum(bucketMargins.Select(x => Amount.Square(x.Value)), calculationCurrency);
                Amount crossBucketCorrelation = residuals ? Amount.OfZero(calculationCurrency) : CalculateCorrelatedSumBuckets(calculationCurrency, risk, bucketMargins);

                List <IMargin> weightingMargins = bucketMargins.SelectMany(x => x.Children).ToList();
                Amount         cvr         = Amount.Sum(weightingMargins.Select(x => x.Value), calculationCurrency);
                Amount         cvrAbsolute = Amount.Sum(weightingMargins.Select(x => Amount.Abs(x.Value)), calculationCurrency);

                Decimal theta  = cvrAbsolute.IsZero ? 0m : Amount.Min(cvr / cvrAbsolute, 0m).Value;
                Decimal lambda = ModelParameters.GetCurvatureLambda(theta);
                Amount  kappa  = Amount.SquareRoot(crossBucketSum + crossBucketCorrelation);

                return(Amount.Max(cvr + (lambda * kappa), 0m));
            }