private static Decimal CalculateThresholdFactor(Currency calculationCurrency, FxRatesProvider ratesProvider, SensitivityRisk risk, SensitivityCategory category, List <Sensitivity> sensitivities) { if ((risk == SensitivityRisk.Rates) && (category == SensitivityCategory.Delta)) { sensitivities = sensitivities.Where(x => x.Subrisk != SensitivitySubrisk.CrossCurrencyBasis).ToList(); if (sensitivities.Count == 0) { return(1m); } } Amount sum = Amount.Abs(Amount.Sum(sensitivities.Select(x => x.Amount), calculationCurrency)); IThresholdIdentifier thresholdIdentifier = sensitivities.Select(y => y.ThresholdIdentifier).Distinct().Single(); Amount threshold = ratesProvider.Convert(ModelParameters.GetThreshold(risk, category, thresholdIdentifier), calculationCurrency); return(Math.Max(1m, MathUtilities.SquareRoot((sum / threshold).Value))); }