protected static List <MarginWeighting> CalculateMarginsWeighting(SensitivityCategory category, Dictionary <String, Decimal> thresholdFactors, List <Sensitivity> sensitivities)
{
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
if (thresholdFactors == null)
{
throw new ArgumentNullException(nameof(thresholdFactors));
}
List <MarginWeighting> weightingMargins = new List <MarginWeighting>(sensitivities.Count);
foreach (Sensitivity sensitivity in sensitivities)
{
Decimal riskWeight = ModelParameters.GetWeightRisk(category, sensitivity);
Decimal thresholdFactor = (sensitivity.Subrisk == SensitivitySubrisk.CrossCurrencyBasis) ? 1m : thresholdFactors[sensitivity.Qualifier];
Amount weightingMarginAmount = sensitivity.Amount * riskWeight * thresholdFactor;
weightingMargins.Add(MarginWeighting.Of(sensitivity, weightingMarginAmount));
}
return(weightingMargins);
}
public static MarginSensitivity Of(SensitivityCategory category, Amount amount, List <MarginBucket> bucketMargins)
{
if (!Enum.IsDefined(typeof(SensitivityCategory), category))
{
throw new InvalidEnumArgumentException("Invalid sensitivity category specified.");
}
if (bucketMargins == null)
{
throw new ArgumentNullException(nameof(bucketMargins));
}
if (bucketMargins.Count == 0)
{
throw new ArgumentException("No bucket margins have been provided.", nameof(bucketMargins));
}
if (bucketMargins.Any(x => x == null))
{
throw new ArgumentException("One or more bucket margins are null.", nameof(bucketMargins));
}
List <MarginBucket> bucketMarginsSorted = bucketMargins
.OrderBy(x =>
{
if (x.Bucket.IsResidual)
{
return(Int32.MaxValue);
}
if (x.Bucket is Placeholder)
{
return(Int32.MinValue);
}
return(0);
})
.ThenBy(x =>
{
if (x.Bucket is Currency currency)
{
return(currency.Name);
}
return(x.Bucket.Description);
})
.ToList();
return(new MarginSensitivity(category, amount, bucketMarginsSorted));
}
protected static List <MarginWeighting> CalculateMarginsWeighting(SensitivityCategory category, List <Sensitivity> sensitivities)
{
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
List <MarginWeighting> weightingMargins = new List <MarginWeighting>(sensitivities.Count);
foreach (Sensitivity sensitivity in sensitivities)
{
Decimal riskWeight = ModelParameters.GetWeightRisk(category, sensitivity);
Amount weightingMarginAmount = sensitivity.Amount * riskWeight;
weightingMargins.Add(MarginWeighting.Of(sensitivity, weightingMarginAmount));
}
return(weightingMargins);
}
public override MarginSensitivity CalculateMargin(Currency calculationCurrency, FxRatesProvider ratesProvider, SensitivityRisk risk, SensitivityCategory category, List <Sensitivity> sensitivities)
{
if (calculationCurrency == null)
{
throw new ArgumentNullException(nameof(calculationCurrency));
}
if (ratesProvider == null)
{
throw new ArgumentNullException(nameof(ratesProvider));
}
if (!Enum.IsDefined(typeof(SensitivityRisk), risk))
{
throw new InvalidEnumArgumentException("Invalid sensitivity risk specified.");
}
if (!Enum.IsDefined(typeof(SensitivityCategory), category))
{
throw new InvalidEnumArgumentException("Invalid sensitivity category specified.");
}
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
List <IBucket> buckets = sensitivities.Select(x => x.Bucket).Distinct().OrderBy(x => x.Name).ToList();
List <MarginBucket> bucketMargins = new List <MarginBucket>(buckets.Count);
Dictionary <IBucket, Dictionary <String, Decimal> > thresholdFactors = new Dictionary <IBucket, Dictionary <String, Decimal> >();
foreach (IBucket bucket in buckets)
{
List <Sensitivity> sensitivitiesByBucket = sensitivities.Where(x => x.Bucket == bucket).ToList();
thresholdFactors[bucket] = sensitivitiesByBucket
.GroupBy(x => new { x.Bucket, x.Qualifier })
.ToDictionary(x => x.Key.Qualifier, x => CalculateThresholdFactor(calculationCurrency, ratesProvider, risk, category, x.ToList()));
List <MarginWeighting> weightingMargins = CalculateMarginsWeighting(category, thresholdFactors[bucket], sensitivitiesByBucket);
Amount sumSquared = Amount.Sum(weightingMargins.Select(x => Amount.Square(x.Value)), calculationCurrency);
Amount sumCorrelated = CalculateCorrelatedSumWeights(calculationCurrency, risk, weightingMargins, thresholdFactors[bucket]);
Amount bucketMarginAmount = Amount.SquareRoot(sumSquared + sumCorrelated);
bucketMargins.Add(MarginBucket.Of(bucket, bucketMarginAmount, weightingMargins));
}
List <MarginBucket> bucketMarginsNonResidual = bucketMargins.Where(x => !x.Bucket.IsResidual).ToList();
Amount sumSquaredNonResidual = Amount.Sum(bucketMarginsNonResidual.Select(x => Amount.Square(x.Value)), calculationCurrency);
List <MarginBucket> bucketMarginsResidual = bucketMargins.Where(x => x.Bucket.IsResidual).ToList();
Amount sumSquaredResidual = Amount.Sum(bucketMarginsResidual.Select(x => Amount.Square(x.Value)), calculationCurrency);
Amount sumCorrelatedNonResidual;
if ((risk == SensitivityRisk.Rates) && (category == SensitivityCategory.Delta))
{
Dictionary <IBucket, Decimal> bucketThresholdFactors = thresholdFactors.ToDictionary(x => x.Key, x => x.Value.Values.Single());
sumCorrelatedNonResidual = CalculateCorrelatedSumBuckets(calculationCurrency, risk, bucketThresholdFactors, bucketMarginsNonResidual);
}
else
{
sumCorrelatedNonResidual = CalculateCorrelatedSumBuckets(calculationCurrency, risk, bucketMarginsNonResidual);
}
Amount sensitivityMarginAmount = Amount.SquareRoot(sumSquaredNonResidual + sumCorrelatedNonResidual) + Amount.SquareRoot(sumSquaredResidual);
return(MarginSensitivity.Of(category, sensitivityMarginAmount, bucketMargins));
}
public override MarginSensitivity CalculateMargin(Currency calculationCurrency, FxRatesProvider ratesProvider, SensitivityRisk risk, SensitivityCategory category, List <Sensitivity> sensitivities)
{
if (calculationCurrency == null)
{
throw new ArgumentNullException(nameof(calculationCurrency));
}
if (ratesProvider == null)
{
throw new ArgumentNullException(nameof(ratesProvider));
}
if (!Enum.IsDefined(typeof(SensitivityRisk), risk))
{
throw new InvalidEnumArgumentException("Invalid sensitivity risk specified.");
}
if (!Enum.IsDefined(typeof(SensitivityCategory), category))
{
throw new InvalidEnumArgumentException("Invalid sensitivity category specified.");
}
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
List <IBucket> buckets = sensitivities.Select(x => x.Bucket).Distinct().OrderBy(x => x.Name).ToList();
List <MarginBucket> bucketMargins = new List <MarginBucket>(buckets.Count);
foreach (IBucket bucket in buckets)
{
List <Sensitivity> sensitivitiesByBucket = sensitivities.Where(x => x.Bucket == bucket).ToList();
List <MarginWeighting> weightingMargins = CalculateMarginsWeighting(SensitivityCategory.Curvature, sensitivitiesByBucket);
Amount sumSquared = Amount.Sum(weightingMargins.Select(x => Amount.Square(x.Value)), calculationCurrency);
Amount sumCorrelated = CalculateCorrelatedSumWeights(calculationCurrency, risk, weightingMargins);
Amount bucketMarginAmount = Amount.SquareRoot(sumSquared + sumCorrelated);
bucketMargins.Add(MarginBucket.Of(bucket, bucketMarginAmount, weightingMargins));
}
Amount marginNonResidual = CalculateMarginByBuckets(calculationCurrency, risk, false, bucketMargins);
Amount marginResidual = CalculateMarginByBuckets(calculationCurrency, risk, true, bucketMargins);
Amount sensitivityMarginAmount = ModelParameters.GetCurvatureScaleFactor(risk) * (marginNonResidual + marginResidual);
return(MarginSensitivity.Of(SensitivityCategory.Curvature, sensitivityMarginAmount, bucketMargins));
}
private static Decimal CalculateThresholdFactor(Currency calculationCurrency, FxRatesProvider ratesProvider, SensitivityRisk risk, SensitivityCategory category, List <Sensitivity> sensitivities)
{
if ((risk == SensitivityRisk.Rates) && (category == SensitivityCategory.Delta))
{
sensitivities = sensitivities.Where(x => x.Subrisk != SensitivitySubrisk.CrossCurrencyBasis).ToList();
if (sensitivities.Count == 0)
{
return(1m);
}
}
Amount sum = Amount.Abs(Amount.Sum(sensitivities.Select(x => x.Amount), calculationCurrency));
IThresholdIdentifier thresholdIdentifier = sensitivities.Select(y => y.ThresholdIdentifier).Distinct().Single();
Amount threshold = ratesProvider.Convert(ModelParameters.GetThreshold(risk, category, thresholdIdentifier), calculationCurrency);
return(Math.Max(1m, MathUtilities.SquareRoot((sum / threshold).Value)));
}
public override MarginSensitivity CalculateMargin(Currency calculationCurrency, FxRatesProvider ratesProvider, SensitivityRisk risk, SensitivityCategory category, List <Sensitivity> sensitivities)
{
if (calculationCurrency == null)
{
throw new ArgumentNullException(nameof(calculationCurrency));
}
if (ratesProvider == null)
{
throw new ArgumentNullException(nameof(ratesProvider));
}
if (!Enum.IsDefined(typeof(SensitivityRisk), risk))
{
throw new InvalidEnumArgumentException("Invalid sensitivity risk specified.");
}
if (!Enum.IsDefined(typeof(SensitivityCategory), category))
{
throw new InvalidEnumArgumentException("Invalid sensitivity category specified.");
}
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
List <MarginWeighting> weightingMargins = CalculateMarginsWeighting(SensitivityCategory.BaseCorrelation, sensitivities);
Amount sumSquared = Amount.Sum(weightingMargins.Select(x => Amount.Square(x.Value)), calculationCurrency);
Amount sumCorrelated = CalculateCorrelatedSumWeights(calculationCurrency, weightingMargins);
Amount amount = Amount.SquareRoot(sumSquared + sumCorrelated);
MarginBucket bucketMargin = MarginBucket.Of(Placeholder.Instance, amount, weightingMargins);
return(MarginSensitivity.Of(SensitivityCategory.BaseCorrelation, amount, (new List <MarginBucket> {
bucketMargin
})));
}
public abstract MarginSensitivity CalculateMargin(Currency calculationCurrency, FxRatesProvider ratesProvider, SensitivityRisk risk, SensitivityCategory category, List <Sensitivity> sensitivities);
private MarginSensitivity(SensitivityCategory category, Amount amount, List <MarginBucket> children) : base(LEVEL, NAME, category.ToString(), amount, children)
{
m_Category = category;
}
