public void TestLargestLGDFiltration() { CounterpartyRiskInput input = GetInput(); CounterpartyRisk risk = new CounterpartyRisk(); CounterpartyRiskOutput output = risk.GetCounterpartyRisk(input); string[] top10Names = { "Name 11", "Name 13", "Name 1", "Name 12", "Name 2", "Name 7", "Name 14", "Name 8", "Name 9", "Name 10" }; double[] top10LGD = { 138768931, 27167922, 27089285, 16004884, 8198016, 6666523, 1322415, 236903, 233175, 148366, 83961, 48854, 22761, 20375 }; Queue <CounterpartDTO> largestCounterparts = new Queue <CounterpartDTO>(); foreach (CounterpartDTO counterpart in output.LargestCounterparts.OrderByDescending(c => c.TotalLGD).ToList()) { largestCounterparts.Enqueue(counterpart); } for (int i = 0; i < 10; i++) { CounterpartDTO nextCounterpart = largestCounterparts.Dequeue(); Assert.AreEqual(top10Names[i], nextCounterpart.Name); double delta = GetDelta(nextCounterpart.TotalLGD); Assert.AreEqual(top10LGD[i], nextCounterpart.TotalLGD, delta); } }
public Contract(ContractDTO contract, Parameters Parameters) { this.counterpart = contract.Counterpart; this.Parameters = Parameters; this.LGD = -1; }