private List <CreditIndex_Output> ComputeCreditIndex()
{
var creditIndices = new List <CreditIndex_Output>();
var indexForecastBest = GetScenarioIndexForecasting(_indexForecastBest);
var indexForecastOptimistic = GetScenarioIndexForecasting(_indexForecastOptimistics);
var indexForecastDownturn = GetScenarioIndexForecasting(_indexForecastDownturn);
indexForecastBest = indexForecastBest.OrderBy(o => o.Date).Take(24).ToList();
indexForecastOptimistic = indexForecastOptimistic.OrderBy(o => o.Date).Take(24).ToList();
indexForecastDownturn = indexForecastDownturn.OrderBy(o => o.Date).Take(24).ToList();
double vasicekIndexUsed = GetScenarioVasicekIndex();
var rpDate = GetReportingDate(_eclType, _eclId);
for (int month = 0; month <= _maxCreditIndexMonth; month++)
{
int monthOffset = Convert.ToInt32((month - 1) / 3) * 3 + 3;
var eoMonth = ExcelFormulaUtil.EOMonth(rpDate, monthOffset);
var dr = new CreditIndex_Output();
dr.ProjectionMonth = month;
//***************************************************
double standard = 0;
var _indexForecastBest = indexForecastBest.FirstOrDefault(o => o.Date == eoMonth);
if (_indexForecastBest != null)
{
standard = _indexForecastBest.Standardised;
}
dr.BestEstimate = month < 1 ? vasicekIndexUsed : standard;
standard = 0;
var _indexForecastOptimistic = indexForecastOptimistic.FirstOrDefault(o => o.Date == eoMonth);
if (_indexForecastOptimistic != null)
{
standard = _indexForecastOptimistic.Standardised;
}
dr.Optimistic = month < 1 ? vasicekIndexUsed : standard;
standard = 0;
var _indexForecastDownturn = indexForecastDownturn.FirstOrDefault(o => o.Date == eoMonth);
if (_indexForecastDownturn != null)
{
standard = _indexForecastDownturn.Standardised;
}
dr.Downturn = month < 3 ? vasicekIndexUsed : standard;
creditIndices.Add(dr);
}
return(creditIndices);
}
protected int ComputeTimeToMaturityMonthsPerRecord(Loanbook_Data loanbookRecord, int expOdPerformacePastRepoting, int odPerformancePastExpiry)
{
if (loanbookRecord.ContractId.Substring(0, 3) == ECLStringConstants.i.ExpiredContractsPrefix)
{
return(0);
}
else
{
int xValue = 0;
int yValue = 0;
DateTime?endDate = new DateTime(1900, 01, 01);
if (loanbookRecord.RestructureIndicator && loanbookRecord.RestructureEndDate != null)
{
if (loanbookRecord.RestructureEndDate == null)
{
xValue = 0;
}
else
{
endDate = DateTime.Parse(loanbookRecord.RestructureEndDate.ToString());
}
}
else
{
if (loanbookRecord.ContractEndDate == null)
{
xValue = 0;
}
else
{
endDate = DateTime.Parse(loanbookRecord.ContractEndDate.ToString());
}
}
var prod = 0;
if (endDate != null && endDate != new DateTime(1900, 01, 01))
{
if (!endDate.ToString().Contains("0001"))
{
var eomonth = ExcelFormulaUtil.EOMonth(endDate);
var yearFrac = ExcelFormulaUtil.YearFrac(GetReportingDate(_eclType, _eclId), eomonth);
var round = Convert.ToInt32(Math.Round(yearFrac * 12, 0));
var rptDate = GetReportingDate(_eclType, _eclId);
xValue = endDate > rptDate ? round : 0;
var maxx = Math.Max(expOdPerformacePastRepoting - round, 0);
prod = endDate < rptDate ? maxx : odPerformancePastExpiry;
}
}
loanbookRecord.ProductType = loanbookRecord.ProductType ?? "";
yValue = loanbookRecord.ProductType.ToLower() == ECLStringConstants.i._productType_card.ToLower() || loanbookRecord.ProductType.ToLower() == ECLStringConstants.i._productType_od.ToLower() ? prod : 0;
//Financial.YearFrac()
return(xValue + yValue);
}
}
