public List <MonthlyLogOddsRatio> ComputeMonthlyLogOddsRatio()
{
var marginalDefaultRate = ComputeMarginalDefaultRate();
var monthlyLogOddsRatioResult = new List <MonthlyLogOddsRatio>();
int monthCount = 1;
for (int year = 1; year <= _maxRatingYear; year++)
{
for (int month = 1; month <= 12; month++)
{
for (int rank = 1; rank <= _maxRatingRank; rank++)
{
var rate = marginalDefaultRate.FirstOrDefault(row => row.Year == year && row.Rank == rank);
var dataRow = new MonthlyLogOddsRatio();
dataRow.Month = monthCount;
dataRow.Rank = rank;
dataRow.Rating = rate.Rating;
dataRow.CreditRating = 1.0 - Math.Pow((1.0 - rate.LogOddsRatio), (1.0 / 12.0));
monthlyLogOddsRatioResult.Add(dataRow);
}
monthCount += 1;
}
}
return(monthlyLogOddsRatioResult);
}
protected List <MonthlyLogOddsRatio> ComputeMonthlyCummulativeSurvival()
{
var monthlyLogOddsRatio = ComputeMonthlyLogOddsRatio();
var monthlyCummulativeSurvivalResult = new List <MonthlyLogOddsRatio>();
///Month 1 Computation
var tempDt = monthlyLogOddsRatio.AsEnumerable()
.Where(row => row.Month == 1).ToList();
foreach (var dr in tempDt)
{
var dataRow = new MonthlyLogOddsRatio();
dataRow.Month = dr.Month;
dataRow.Rank = dr.Rank;
dataRow.Rating = dr.Rating;
dataRow.CreditRating = 1.0 - dr.CreditRating;
monthlyCummulativeSurvivalResult.Add(dataRow);
}
///Month 2 to max computation
for (int month = 2; month <= (_maxRatingYear * 12); month++)
{
var prevMonthCreditRating = monthlyCummulativeSurvivalResult.Where(row => row.Month == month - 1).ToList();
var currMonthCreditRating = monthlyLogOddsRatio.Where(row => row.Month == month)
.Select(row =>
{
double prev = prevMonthCreditRating.AsEnumerable()
.FirstOrDefault(x => x.Rank == row.Rank)
.CreditRating;
row.CreditRating = prev * (1 - row.CreditRating);
return(row);
}).ToList();
monthlyCummulativeSurvivalResult.AddRange(currMonthCreditRating);
}
return(monthlyCummulativeSurvivalResult);
}
