protected List <LogOddRatio> ComputeLogRates()
{
var snpCummulativeRate = new ProcessECL_PD(this._eclId, this._eclType).Get_PDI_SnPCummlativeDefaultRate();
var logRateResult = new List <LogOddRatio>();
//DataTable snpCummulativeRating = snpCummulativeRate.DefaultView.ToTable(false, SnPCummlativeDefaultRateColumns.Rating );
foreach (var row in snpCummulativeRate)
{
string rating = row.Rating;
//Type myObjOriginalType = row.GetType();
//PropertyInfo[] myProps = myObjOriginalType.GetProperties();
//for (int year = 1; year <= _maxLogRateYear; year++)
//{
//double defaultRate = double.Parse(myProps.FirstOrDefault(o => o.Name.ToString() == $"_{row.Years.ToString()}").GetValue(row).ToString());
double log = Math.Log((1 - row.Value) / row.Value);
var dataRow = new LogOddRatio();
dataRow.Rating = rating;
dataRow.Year = row.Years;
dataRow.LogOddsRatio = log;
logRateResult.Add(dataRow);
//}
}
return(logRateResult);
}
protected List <LogOddRatio> ComputeMarginalDefaultRate()
{
var cummulativeDefaultRate = ComputeCummulativeDefaultRate();
///Get cummulative values for year 1
var marginalDefaultRateResult = new List <LogOddRatio>();
//marginalDefaultRateResult = cummulativeDefaultRate;
for (int i = 0; i < cummulativeDefaultRate.Count; i++)
{
var itm = new LogOddRatio();
itm.Rank = cummulativeDefaultRate[i].Rank;
itm.LogOddsRatio = cummulativeDefaultRate[i].LogOddsRatio;
itm.Rating = cummulativeDefaultRate[i].Rating;
itm.Year = cummulativeDefaultRate[i].Year;
if (cummulativeDefaultRate[i].Year != 1)
{
try
{
var prev = cummulativeDefaultRate.FirstOrDefault(o => o.Year == cummulativeDefaultRate[i].Year - 1 && o.Rank == cummulativeDefaultRate[i].Rank && o.Rating == cummulativeDefaultRate[i].Rating);
itm.LogOddsRatio = (cummulativeDefaultRate[i].LogOddsRatio - prev.LogOddsRatio) / (1 - prev.LogOddsRatio);
}
catch { itm.LogOddsRatio = 1; }
}
marginalDefaultRateResult.Add(itm);
}
return(marginalDefaultRateResult);
}
protected List <LogOddRatio> ComputeLogsOddsRatio()
{
var pd12MonthAssumption = new CalibrationInput_PD_CR_RD_Processor().GetPD12MonthsPD(this._eclId, this._eclType);// new ProcessECL_Wholesale_PD(this._eclId).Get_PDI_Assumptions(); //.Get_PDI_12MonthPds();
var pdInputAssumptions = new ProcessECL_PD(this._eclId, this._eclType).Get_PDI_Assumptions();
var logRates = ComputeLogRates();
var logOddsRatioResult = new List <LogOddRatio>();
//**********************************************
string snpMappingInput = PdAssumptionsRowKey.SnpMappingValueBestFit;
try { snpMappingInput = pdInputAssumptions.FirstOrDefault(o => o.PdGroup == PdInputAssumptionGroupEnum.General && o.Key == ECLNonStringConstants.i.SnpMapping).Value; } catch { }
for (int rank = 1; rank <= _maxRatingRank; rank++)
{
//*****************************
var _12MonthAssumption = new PDI_Assumptions {
Value = PdAssumptionsRowKey.SnpMappingValueBestFit
};
if (snpMappingInput == PdAssumptionsRowKey.SnpMappingValueBestFit)
{
_12MonthAssumption = pdInputAssumptions.Where(o => o.PdGroup == PdInputAssumptionGroupEnum.CreditBestFit).FirstOrDefault(o => o.InputName == rank.ToString());
}
if (snpMappingInput == PdAssumptionsRowKey.SnpMappingValueEtiCreditPolicy)
{
_12MonthAssumption = pdInputAssumptions.Where(o => o.PdGroup == PdInputAssumptionGroupEnum.CreditEtiPolicy).FirstOrDefault(o => o.InputName == rank.ToString());
}
string rating = _12MonthAssumption.Value;// snpMappingInput == _12MonthAssumption.Policy ? _12MonthAssumption.Policy : _12MonthAssumption.Fit;
//Year 1 computation
double pdValue = 0;
try { pdValue = pd12MonthAssumption.FirstOrDefault(o => o.Rating == rank).Months_PDs_12; } catch { pdValue = 0; }// double.Parse(pdInputAssumptions.FirstOrDefault(o => o.PdGroup == PdInputAssumptionGroupEnum.CreditPD && o.InputName == rank.ToString()).Value);
double year1LogOddRatio = Math.Log((1 - pdValue) / pdValue);
var dataRow = new LogOddRatio();
dataRow.Rank = rank;
dataRow.Rating = rating;
dataRow.Year = 1;
dataRow.LogOddsRatio = year1LogOddRatio;
logOddsRatioResult.Add(dataRow);
//Year to Max computation
double year1RatingLogRate = 0;
try { year1RatingLogRate = logRates.FirstOrDefault(row => row.Rating == rating && row.Year == 1).LogOddsRatio; } catch { }
for (int year = 2; year <= _maxRatingYear; year++)
{
double currentYearRatingLogRate = logRates.FirstOrDefault(row => row.Rating == rating && row.Year == Math.Min(year, _maxLogRateYear)).LogOddsRatio;
double currentYearLogOddRatio = year1LogOddRatio + currentYearRatingLogRate - year1RatingLogRate;
var currentYeardataRow = new LogOddRatio();
currentYeardataRow.Rank = rank;
currentYeardataRow.Rating = rating;
currentYeardataRow.Year = year;
currentYeardataRow.LogOddsRatio = currentYearLogOddRatio;
logOddsRatioResult.Add(currentYeardataRow);
}
}
return(logOddsRatioResult);
}
