public void Process()
{
var currentFixingDate = _assetFxModel.BuildDate;
while (currentFixingDate <= _endDate)
{
currentFixingDate = currentFixingDate.AddDays(1);
_assetFxModel = _assetFxModel.RollModel(currentFixingDate, _currencyProvider);
}
ParallelUtils.Instance.For(0, _calculationDates.Length, 1, i =>
{
var d = _calculationDates[i];
var epe = _epeValues[i];
var newModel = _assetFxModel.Clone();
newModel.OverrideBuildDate(d);
var ead = _portfolio.SaCcrEAD(epe, newModel, _reportingCurrency, _assetIdToGroupMap);
var capital = _counterpartyRiskWeight * ead;
if (!_ead.ContainsKey(d))
{
lock (_threadLock)
{
if (!_ead.ContainsKey(d))
{
_ead.Add(d, 0.0);
}
}
}
if (double.IsNaN(capital) || double.IsInfinity(capital))
{
throw new Exception("Invalid capital generated");
}
lock (_threadLock)
{
_ead[d] += capital;
}
}).Wait();
}
