コード例 #1
0
            protected static List <MarginWeighting> CalculateMarginsWeighting(SensitivityCategory category, Dictionary <String, Decimal> thresholdFactors, List <Sensitivity> sensitivities)
            {
                if (sensitivities == null)
                {
                    throw new ArgumentNullException(nameof(sensitivities));
                }

                if (thresholdFactors == null)
                {
                    throw new ArgumentNullException(nameof(thresholdFactors));
                }

                List <MarginWeighting> weightingMargins = new List <MarginWeighting>(sensitivities.Count);

                foreach (Sensitivity sensitivity in sensitivities)
                {
                    Decimal riskWeight            = ModelParameters.GetWeightRisk(category, sensitivity);
                    Decimal thresholdFactor       = (sensitivity.Subrisk == SensitivitySubrisk.CrossCurrencyBasis) ? 1m : thresholdFactors[sensitivity.Qualifier];
                    Amount  weightingMarginAmount = sensitivity.Amount * riskWeight * thresholdFactor;

                    weightingMargins.Add(MarginWeighting.Of(sensitivity, weightingMarginAmount));
                }

                return(weightingMargins);
            }
コード例 #2
0
            protected static List <MarginWeighting> CalculateMarginsWeighting(SensitivityCategory category, List <Sensitivity> sensitivities)
            {
                if (sensitivities == null)
                {
                    throw new ArgumentNullException(nameof(sensitivities));
                }

                List <MarginWeighting> weightingMargins = new List <MarginWeighting>(sensitivities.Count);

                foreach (Sensitivity sensitivity in sensitivities)
                {
                    Decimal riskWeight            = ModelParameters.GetWeightRisk(category, sensitivity);
                    Amount  weightingMarginAmount = sensitivity.Amount * riskWeight;

                    weightingMargins.Add(MarginWeighting.Of(sensitivity, weightingMarginAmount));
                }

                return(weightingMargins);
            }