private static Amount CalculateMarginByBuckets(Currency calculationCurrency, SensitivityRisk risk, Boolean residuals, List <MarginBucket> bucketMargins)
{
if (residuals)
{
bucketMargins = bucketMargins.Where(x => x.Bucket.IsResidual).ToList();
}
else
{
bucketMargins = bucketMargins.Where(x => !x.Bucket.IsResidual).ToList();
}
Amount crossBucketSum = Amount.Sum(bucketMargins.Select(x => Amount.Square(x.Value)), calculationCurrency);
Amount crossBucketCorrelation = residuals ? Amount.OfZero(calculationCurrency) : CalculateCorrelatedSumBuckets(calculationCurrency, risk, bucketMargins);
List <IMargin> weightingMargins = bucketMargins.SelectMany(x => x.Children).ToList();
Amount cvr = Amount.Sum(weightingMargins.Select(x => x.Value), calculationCurrency);
Amount cvrAbsolute = Amount.Sum(weightingMargins.Select(x => Amount.Abs(x.Value)), calculationCurrency);
Decimal theta = cvrAbsolute.IsZero ? 0m : Amount.Min(cvr / cvrAbsolute, 0m).Value;
Decimal lambda = ModelParameters.GetCurvatureLambda(theta);
Amount kappa = Amount.SquareRoot(crossBucketSum + crossBucketCorrelation);
return(Amount.Max(cvr + (lambda * kappa), 0m));
}