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() == $"_{row.Years.ToString()}").GetValue(row).ToString());
double log = Math.Log((1 - row.Value) / row.Value);
var dataRow = new LogOddRatio();
dataRow.Rating = rating;
dataRow.Year = row.Years;
dataRow.LogOddsRatio = log;
logRateResult.Add(dataRow);
//}
}
return(logRateResult);
}
public bool ComputePdMappingTable(List <Loanbook_Data> loanbook_Data)
{
var expireNoExpire = new CalibrationInput_EAD_Behavioural_Terms_Processor().GetBehaviouralData(this._eclId, this._eclType);
var temp = new ProcessECL_PD(this._eclId, this._eclType).Get_PDI_Assumptions();
//string[] testAccounts = { "103ABLD150330005", "15036347", "222017177" };
//*****************************************************
int expOdPerformacePastRepoting = 0;
try { expOdPerformacePastRepoting = int.Parse(expireNoExpire.Expired.ToString()); } catch { }
int odPerformancePastExpiry = 0;
try { odPerformancePastExpiry = int.Parse(expireNoExpire.NonExpired.ToString()); } catch { }
//Get Data Excel/Database
//var qry = Queries.Raw_Data(this._eclId,this._eclType);
//var _lstRaw = DataAccess.i.GetData(qry);
var _NonEXPLOANbook_data = loanbook_Data;//.Where(o => o.ContractId.Substring(0, 3) != ECLStringConstants.i.ExpiredContractsPrefix).ToList();
var lifetimePds = _scenarioLifetimePd.ComputeLifetimePd();
var redefaultLifetimePds = _scenarioRedefaultLifetimePd.ComputeRedefaultLifetimePd();
RunPDMappingJob(_NonEXPLOANbook_data, _eclId, _eclType, lifetimePds, redefaultLifetimePds, expOdPerformacePastRepoting, odPerformancePastExpiry);
//var threads = _NonEXPLOANbook_data.Count / 500;
//threads = threads + 1;
//var taskLst = new List<Task>();
//for (int i = 0; i < threads; i++)
//{
// var sub_LoanBook = _NonEXPLOANbook_data.Skip(i * 500).Take(500).ToList();
// var task = Task.Run(() => {
// RunPDMappingJob(sub_LoanBook, _eclId, _eclType, lifetimePds, redefaultLifetimePds, expOdPerformacePastRepoting, odPerformancePastExpiry);
// });
// taskLst.Add(task);
//}
//Log4Net.Log.Info($"Total Task : {taskLst.Count()}");
//var completedTask = taskLst.Where(o => o.IsCompleted).Count();
//Log4Net.Log.Info($"Task Completed: {completedTask}");
////while (!taskLst.Any(o => o.IsCompleted))
//var tskStatusLst = new List<TaskStatus> { TaskStatus.RanToCompletion, TaskStatus.Faulted };
//while (0 < 1)
//{
// if (taskLst.All(o => tskStatusLst.Contains(o.Status)))
// {
// break;
// }
// //Do Nothing
//}
return(true);
}
public List <VasicekEtiNplIndex> ComputeEtiNplIndex()
{
var etiNpl = new ProcessECL_PD(this._eclId, this._eclType).Get_PDI_ETI_NPL();
var historicIndex = new ProcessECL_PD(this._eclId, this._eclType).Get_PDI_HistoricIndex();
historicIndex = historicIndex.OrderBy(o => o.Date).ToList();
double pdTtc = etiNpl.Take(32).Average(o => o.Series);// ComputePdTtc();
var vasicekEtiNplIndex = new List <VasicekEtiNplIndex>();
var ecls = Queries.EclsRegister(_eclType.ToString(), _eclId.ToString());
var dtR = DataAccess.i.GetData(ecls);
var eclReg = new EclRegister {
OrganizationUnitId = -1
};
if (dtR.Rows.Count > 0)
{
eclReg = DataAccess.i.ParseDataToObject(new EclRegister(), dtR.Rows[0]);
}
var rho = ECLNonStringConstants.i.Rho(eclReg.OrganizationUnitId);
foreach (var etiNplRecord in etiNpl)
{
double index = 0;
try { index = historicIndex.FirstOrDefault(o => o.Date == etiNplRecord.Date).Standardised; } catch { }
var newRecord = new VasicekEtiNplIndex();
newRecord.Date = etiNplRecord.Date;
newRecord.EtiNpl = etiNplRecord.Series;
newRecord.Index = index;
newRecord.Fitted = ComputeVasicekIndex(index, pdTtc, rho);
newRecord.Residuals = etiNplRecord.Series - ComputeVasicekIndex(index, pdTtc, rho);
vasicekEtiNplIndex.Add(newRecord);
}
vasicekEtiNplIndex = vasicekEtiNplIndex.OrderBy(o => o.Date).ToList();
return(vasicekEtiNplIndex);
}
private List <PDI_MacroEconomics> GetScenarioProjectionData()
{
var obj = new ProcessECL_PD(this._eclId, this._eclType).Get_PDI_MacroEconomics();
return(obj);
}
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);
}
