private static Amount CalculateCorrelatedSumWeights(Currency calculationCurrency, SensitivityRisk risk, List <MarginWeighting> weightingMargins, Dictionary <String, Decimal> thresholdFactors)
{
Amount sum = Amount.OfZero(calculationCurrency);
foreach (MarginWeighting marginWeighting1 in weightingMargins)
{
foreach (MarginWeighting marginWeighting2 in weightingMargins)
{
Sensitivity sensitivity1 = marginWeighting1.Sensitivity;
Sensitivity sensitivity2 = marginWeighting2.Sensitivity;
if (sensitivity1 != sensitivity2)
{
Decimal thresholdFactor1 = thresholdFactors[sensitivity1.Qualifier];
Decimal thresholdFactor2 = thresholdFactors[sensitivity2.Qualifier];
Decimal concentration = Math.Min(thresholdFactor1, thresholdFactor2) / Math.Max(thresholdFactor1, thresholdFactor2);
Decimal correlationSensitivity = ModelParameters.GetCorrelationSensitivity(risk, sensitivity1, sensitivity2);
Decimal correlation = correlationSensitivity * concentration;
sum += marginWeighting1.Value * marginWeighting2.Value * correlation;
}
}
}
return(sum);
}
private static Amount CalculateCorrelatedSumWeights(Currency calculationCurrency, SensitivityRisk risk, List <MarginWeighting> weightingMargins)
{
Amount sum = Amount.OfZero(calculationCurrency);
foreach (MarginWeighting marginWeighting1 in weightingMargins)
{
foreach (MarginWeighting marginWeighting2 in weightingMargins)
{
Sensitivity sensitivity1 = marginWeighting1.Sensitivity;
Sensitivity sensitivity2 = marginWeighting2.Sensitivity;
if (sensitivity1 != sensitivity2)
{
Decimal correlation = MathUtilities.Square(ModelParameters.GetCorrelationSensitivity(risk, sensitivity1, sensitivity2));
sum += marginWeighting1.Value * marginWeighting2.Value * correlation;
}
}
}
return(sum);
}