private double ComputeFinalEclValue(List <FinalEcl> monthlyEcl, List <IrFactor> cummulativeDiscountFactor, List <LifetimeEad> lifetimeEad, List <LifetimeLgd> lifetimeLGD, string contractId, StageClassification stage, string eirGroup)
{
//xxxxxxxxxxxxxxxxxxx
double lifetimeLgdMonth0Value = 0;
try { lifetimeLgdMonth0Value = lifetimeLGD.FirstOrDefault(o => o.ContractId == contractId && o.Month == 0).Value; } catch { }
double lifetimeEadMonth0Value = 0;
try
{
lifetimeEadMonth0Value = lifetimeEad.FirstOrDefault(o => o.ContractId == contractId && o.ProjectionMonth == 0).ProjectionValue;
}
catch { }
double finalEclValue = 0;
switch (stage.Stage)
{
//case 1:
// double[] monthEclArray = monthlyEcl.Where(o => o.ContractId == contractId && o.EclMonth >= 1 && o.EclMonth <= FrameworkConstants.ScenerioWorkingMaxMonth).OrderBy(m => m.EclMonth).Select(n => n.MonthlyEclValue).ToArray();
// double[] monthCdfArray = cummulativeDiscountFactor.Where(o => o.EirGroup == eirGroup && o.ProjectionMonth >= 1 && o.ProjectionMonth <= FrameworkConstants.ScenerioWorkingMaxMonth).OrderBy(m => m.ProjectionMonth).Select(n => n.ProjectionValue).ToArray();
// finalEclValue = ExcelFormulaUtil.SumProduct(monthEclArray, monthCdfArray);
// break;
//case 2:
// double[] monthEclArray2 = monthlyEcl.Where(o => o.ContractId == contractId && o.EclMonth >= 1).OrderBy(m => m.EclMonth).Select(n => n.MonthlyEclValue).ToArray();// && o.EclMonth <= FrameworkConstants.ProjectionMonth).Select(n => n.MonthlyEclValue).ToArray();
// double[] monthCdfArray2 = cummulativeDiscountFactor.Where(o => o.EirGroup == eirGroup && o.ProjectionMonth >= 1).OrderBy(m => m.ProjectionMonth).Select(n => n.ProjectionValue).ToArray();// && o.ProjectionMonth < FrameworkConstants.ProjectionMonth).Select(n => n.ProjectionValue).ToArray(); //FrameworkConstants.ProjectionMonth
// finalEclValue = ExcelFormulaUtil.SumProduct(monthEclArray2, monthCdfArray2);
// break;
case 1:
double[] monthEclArray = monthlyEcl.Where(o => o.ContractId == contractId && o.EclMonth >= 1 && o.EclMonth <= FrameworkConstants.ScenerioWorkingMaxMonth).OrderBy(m => m.EclMonth).Select(n => n.MonthlyEclValue).ToArray();
double[] monthCdfArray = cummulativeDiscountFactor.Where(o => o.EirGroup == eirGroup && o.ProjectionMonth >= 1 && o.ProjectionMonth <= FrameworkConstants.ScenerioWorkingMaxMonth).OrderBy(m => m.ProjectionMonth).Select(n => n.ProjectionValue).ToArray();
finalEclValue = ExcelFormulaUtil.SumProduct(monthEclArray, monthCdfArray);
break;
case 2:
double[] monthEclArray2 = monthlyEcl.Where(o => o.ContractId == contractId && o.EclMonth >= 1).OrderBy(m => m.EclMonth).Select(n => n.MonthlyEclValue).ToArray(); // && o.EclMonth <= FrameworkConstants.ProjectionMonth).Select(n => n.MonthlyEclValue).ToArray();
double[] monthCdfArray2 = cummulativeDiscountFactor.Where(o => o.EirGroup == eirGroup && o.ProjectionMonth >= 1).OrderBy(m => m.ProjectionMonth).Select(n => n.ProjectionValue).ToArray(); // && o.ProjectionMonth < FrameworkConstants.ProjectionMonth).Select(n => n.ProjectionValue).ToArray(); //FrameworkConstants.ProjectionMonth
finalEclValue = ExcelFormulaUtil.SumProduct(monthEclArray2, monthCdfArray2);
break;
default:
finalEclValue = lifetimeEadMonth0Value * lifetimeLgdMonth0Value;
break;
}
return(finalEclValue);
}
private double GetSumProductValue(List <LgdCollateralProjection> collateralProjections, long ttrMonth, double[] fsvArray, long month)
{
long minMonth = Math.Min(month + ttrMonth, FrameworkConstants.TempExcelVariable_LIM_CM);
var projectionsDr = collateralProjections.FirstOrDefault(x => x.Month == minMonth);
double[] projections = new double[9];
projections[0] = projectionsDr.Cash;
projections[1] = projectionsDr.Commercial_Property;
projections[2] = projectionsDr.Debenture;
projections[3] = projectionsDr.Inventory;
projections[4] = projectionsDr.Plant_And_Equipment;
projections[5] = projectionsDr.Receivables;
projections[6] = projectionsDr.Residential_Property;
projections[7] = projectionsDr.Shares;
projections[8] = projectionsDr.Vehicle;
double sumProduct = ExcelFormulaUtil.SumProduct(fsvArray, projections);
return(sumProduct);
}
protected List <IndexForecast> ComputeScenarioPrincipalComponents(List <PDI_StatisticalInputs> statisticalInputs)
{
var principalData = new List <IndexForecast>();
var standardisedData = ComputeScenarioStandardisedData(statisticalInputs);
standardisedData = standardisedData.OrderBy(o => o.Date).ToList();
var macroeconomicPrincipal1 = statisticalInputs.Where(o => o.Mode == StatisticalInputsRowKeys.PrincipalScore1).ToList();
var macroeconomicPrincipal2 = statisticalInputs.Where(o => o.Mode == StatisticalInputsRowKeys.PrincipalScore2).ToList();
var macroeconomicPrincipal3 = statisticalInputs.Where(o => o.Mode == StatisticalInputsRowKeys.PrincipalScore3).ToList();
var macroeconomicPrincipal4 = statisticalInputs.Where(o => o.Mode == StatisticalInputsRowKeys.PrincipalScore4).ToList();
var groupedDate = standardisedData.GroupBy(x => x.Date).Select(x => new { Date = x.Key, Cnt = x.Count() }).ToList();
var macroEconomicCount = 0;
if (groupedDate.Count > 0)
{
macroEconomicCount = groupedDate.Max(r => r.Cnt);
}
foreach (var dt in groupedDate)
{
var date_standardisedData = standardisedData.Where(o => o.Date == dt.Date).ToList();
double[] standardised = new double[date_standardisedData.Count];
double[] principal1 = new double[macroeconomicPrincipal1.Count];
double[] principal2 = new double[macroeconomicPrincipal2.Count];
double[] principal3 = new double[macroeconomicPrincipal3.Count];
double[] principal4 = new double[macroeconomicPrincipal4.Count];
for (int i = 0; i < date_standardisedData.Count; i++)
{
standardised[i] = date_standardisedData[i].MacroEconomicValue;
if (principal1.Length - 1 >= i)
{
var p1 = macroeconomicPrincipal1.FirstOrDefault(o => o.MacroEconomicVariableId == date_standardisedData[i].MacroEconomicVariableId);
principal1[i] = p1 != null ? p1.MacroEconomicValue : 0;
}
if (principal2.Length - 1 >= i)
{
var p2 = macroeconomicPrincipal2.FirstOrDefault(o => o.MacroEconomicVariableId == date_standardisedData[i].MacroEconomicVariableId);
principal2[i] = p2 != null ? p2.MacroEconomicValue : 0;
}
if (principal3.Length - 1 >= i)
{
var p3 = macroeconomicPrincipal3.FirstOrDefault(o => o.MacroEconomicVariableId == date_standardisedData[i].MacroEconomicVariableId);
principal3[i] = p3 != null ? p3.MacroEconomicValue : 0;
}
if (principal4.Length - 1 >= i)
{
var p4 = macroeconomicPrincipal4.FirstOrDefault(o => o.MacroEconomicVariableId == date_standardisedData[i].MacroEconomicVariableId);
principal4[i] = p4 != null ? p4.MacroEconomicValue : 0;
}
}
var itm = standardisedData.FirstOrDefault(o => o.Date == dt.Date);
itm.Principal1 = ExcelFormulaUtil.SumProduct(standardised, principal1);
itm.Principal2 = ExcelFormulaUtil.SumProduct(standardised, principal2);
itm.Principal3 = ExcelFormulaUtil.SumProduct(standardised, principal3);
itm.Principal4 = ExcelFormulaUtil.SumProduct(standardised, principal4);
//Log4Net.Log.Info($"{itm.Date},{itm.MacroEconomicVariableId},{itm.MacroEconomicValue},{this._Scenario.ToString()}++++++");
principalData.Add(itm);
}
return(principalData);
}
