public void TestLargestLGDFiltration()
{
CounterpartyRiskInput input = GetInput();
CounterpartyRisk risk = new CounterpartyRisk();
CounterpartyRiskOutput output = risk.GetCounterpartyRisk(input);
string[] top10Names = { "Name 11", "Name 13", "Name 1", "Name 12", "Name 2", "Name 7", "Name 14",
"Name 8", "Name 9", "Name 10" };
double[] top10LGD = { 138768931, 27167922, 27089285, 16004884, 8198016, 6666523, 1322415,
236903, 233175, 148366, 83961, 48854, 22761, 20375 };
Queue <CounterpartDTO> largestCounterparts = new Queue <CounterpartDTO>();
foreach (CounterpartDTO counterpart in output.LargestCounterparts.OrderByDescending(c => c.TotalLGD).ToList())
{
largestCounterparts.Enqueue(counterpart);
}
for (int i = 0; i < 10; i++)
{
CounterpartDTO nextCounterpart = largestCounterparts.Dequeue();
Assert.AreEqual(top10Names[i], nextCounterpart.Name);
double delta = GetDelta(nextCounterpart.TotalLGD);
Assert.AreEqual(top10LGD[i], nextCounterpart.TotalLGD, delta);
}
}
public void TestModule()
{
CounterpartyRiskInput input = GetInput();
CounterpartyRisk risk = new CounterpartyRisk();
CounterpartyRiskOutput output = risk.GetCounterpartyRisk(input);
double TotalK = 153268358.287;
double delta = GetDelta(TotalK);
Assert.AreEqual(TotalK, output.TotalLossPotentialCounterPartyRisk, delta);
}
public CounterpartyRiskOutput CalculateCounterpartyRisk(AggregatedMeasures measures, Parameters Parameters)
{
this.measures = measures;
this.Parameters = Parameters;
output = new CounterpartyRiskOutput();
output.VInter = CalculateVInter();
output.VIntra = CalculateVIntra();
output.V = CalculateV();
output.StD3 = CalculateStD3();
output.StD5 = CalculateStD5();
output.SumLGD = CalculateSumLGD();
output.KType1 = CalculateKType1();
output.KType2 = CalculateKType2();
output.TotalLossPotentialCounterPartyRisk = CalculateTotalLossPotentialCounterpartyRisk();
return(output);
}
public CounterpartyRiskOutput GetCounterpartyRisk(CounterpartyRiskInput input)
{
List <Contract> Contracts = RefineDTOContracts(input);
input.Parameters.SumReinsurersShareSimplified = CalcSumReinsurersShareSimplified(input);
AggregatedMeasures measures = AggregateMeasuresOnRating(Contracts);
CounterpartyRiskCalculator calculator = new CounterpartyRiskCalculator();
CounterpartyRiskOutput output = calculator.CalculateCounterpartyRisk(measures, input.Parameters);
ContractsFilter filter = new ContractsFilter();
List <CounterpartDTO> largestCounterparts = filter.FilterCounterpartsOnLGD(Contracts);
output.LargestCounterparts = largestCounterparts;
return(output);
}
