private void AggregateMixSubject(int ParentPosition, ICoverState TotalCoverState, ICoverLevelNodeAggInfo LevelAggInfo, IDerivedCoverLevelNodeAggInfo DerivedInfo, float[] coverRatio, float[] FactorVector)
{
//TODO: for agg is fine, but for allocation we cannot use this method
throw new NotSupportedException("Mix Derived cover subject is not supported");
int[] ChildrenMap = LevelAggInfo.GetChildrenMap();
int[] MapPartitions = LevelAggInfo.GetCoverAggregationPartitions();
float[] TotalPayoutState = TotalCoverState.GetPayout();
float[] TotalSubjectState = TotalCoverState.GetSubjectLoss();
int MapPosition = 1;
float TempSubject = 0;
float ChildR = 0;
float x = 0;
float[] multiplier = DerivedInfo.GetMixFunctionMultiplier();
//float[] factors = LevelAggInfo.GetFactor();
int[] factorsIndex = LevelAggInfo.GetFactorIndex();
int counter = factorsIndex.Count();
float[] factors = new float[counter];
for (int i = 0; i < counter; i++)
{
int uniqueIndex = factorsIndex[i];
if (uniqueIndex == -1)
{
factors[i] = 1;
}
else
{
factors[i] = FactorVector[uniqueIndex];
}
}
FactorPattern factorPattern = LevelAggInfo.GetLevelFactorPattern();
if (factorPattern == FactorPattern.AllOnes || factorPattern == FactorPattern.Constant)
{
for (int i = 0; i < MapPartitions.Length; i++)
{
TempSubject = TotalPayoutState[ChildrenMap[0]];
x = multiplier[i];
for (int j = MapPosition; j < MapPartitions[i]; j++)
{
ChildR = TotalPayoutState[ChildrenMap[j]];
TempSubject = (TempSubject + ChildR) - x * Math.Abs(TempSubject - ChildR) - Math.Abs(x) * (TempSubject + ChildR);
}
TotalSubjectState[ParentPosition] = TempSubject * factors[MapPosition];
MapPosition += MapPartitions[i];
ParentPosition++;
}
}
else
{
for (int i = 0; i < MapPartitions.Length; i++)
{
TempSubject = TotalPayoutState[ChildrenMap[0]] * factors[0];
x = multiplier[i];
for (int j = MapPosition; j < MapPartitions[i]; j++)
{
ChildR = TotalPayoutState[ChildrenMap[j]] * factors[j];
TempSubject = (TempSubject + ChildR) - x * Math.Abs(TempSubject - ChildR) - Math.Abs(x) * (TempSubject + ChildR);
}
TotalSubjectState[ParentPosition] = TempSubject;
MapPosition += MapPartitions[i];
ParentPosition++;
}
}
}
private void AggregateMaxSubject(int ParentPosition, ICoverState TotalCoverState, ICoverLevelNodeAggInfo LevelAggInfo, float[] coverRatio, float[] FactorVector)
{
int[] ChildrenMap = LevelAggInfo.GetChildrenMap();
int[] MapPartitions = LevelAggInfo.GetCoverAggregationPartitions();
float[] TotalPayoutState = TotalCoverState.GetPayout();
float[] TotalSubjectState = TotalCoverState.GetSubjectLoss();
//float[] factors = LevelAggInfo.GetFactor();
int[] factorsIndex = LevelAggInfo.GetFactorIndex();
int counter = factorsIndex.Count();
float[] factors = new float[counter];
for (int i = 0; i < counter; i++)
{
int uniqueIndex = factorsIndex[i];
if (uniqueIndex == -1)
{
factors[i] = 1;
}
else
{
factors[i] = FactorVector[uniqueIndex];
}
}
FactorPattern factorPattern = LevelAggInfo.GetLevelFactorPattern();
int MapPosition = 1;
float MaxSubject = 0;
int numOfMax = 0;
if (factorPattern == FactorPattern.AllOnes || factorPattern == FactorPattern.Constant)
{
for (int i = 0; i < MapPartitions.Length; i++) //for each parent
{
//MaxSubject = TotalPayoutState[ChildrenMap[0]];
//MaxSubject = 0;
MaxSubject = TotalPayoutState[ChildrenMap[MapPosition - 1]] * factors[MapPosition - 1];
numOfMax = 0;
for (int j = MapPosition + 1; j <= MapPartitions[i]; j++)
{
float temp = TotalPayoutState[ChildrenMap[j - 1]] * factors[j - 1];
MaxSubject = Math.Max(MaxSubject, temp);
}
//ratio
for (int j = MapPosition; j < MapPartitions[i]; j++)
{
if (MaxSubject == TotalPayoutState[ChildrenMap[j]] * factors[j])
{
coverRatio[j - 1] = 1;
numOfMax++;
}
}
for (int j = MapPosition; j < MapPartitions[i]; j++)
{
coverRatio[j - 1] /= numOfMax;
}
TotalSubjectState[ParentPosition] = MaxSubject * factors[MapPosition];
//MapPosition += MapPartitions[i];
MapPosition = MapPartitions[i] + 1;
ParentPosition++;
}
}
else
{
for (int i = 0; i < MapPartitions.Length; i++) //for each parent
{
MaxSubject = TotalPayoutState[ChildrenMap[MapPosition - 1]] * factors[MapPosition - 1];
numOfMax = 0;
for (int j = MapPosition + 1; j <= MapPartitions[i]; j++)
{
float temp = TotalPayoutState[ChildrenMap[j - 1]] * factors[j - 1];
MaxSubject = Math.Max(MaxSubject, temp);
}
//ratio
for (int j = MapPosition; j <= MapPartitions[i]; j++)
{
if (MaxSubject == TotalPayoutState[ChildrenMap[j - 1]] * factors[j - 1])
{
coverRatio[j - 1] = 1;
numOfMax++;
}
}
for (int j = MapPosition; j <= MapPartitions[i]; j++)
{
coverRatio[j - 1] /= numOfMax;
}
TotalSubjectState[ParentPosition] = MaxSubject;
//MapPosition += MapPartitions[i];
MapPosition = MapPartitions[i] + 1;
ParentPosition++;
}
}
}
public float ApplyTopCoverLayer(ICoverLevelFinancialInfo FinancialInfo, int TotalStatePosition, ICoverState TotalCoverState, int[] LeafTopCoverList, float[] FactorVector)
{
float[] Attachment = FinancialInfo.GetCodedAttachment();
float[] Limit = FinancialInfo.GetCodedLimit();
float[] Share = FinancialInfo.GetCodedShare();
float[] SubjectLoss = TotalCoverState.GetSubjectLoss();
float[] Payout = TotalCoverState.GetPayout();
float TotalPayout = 0;
FunctionType functionType = FinancialInfo.PayoutFunctionType;
//float[] Factors = FinancialInfo.GetFactor();
int[] factorsIndex = FinancialInfo.GetFactorIndex();
int counter = factorsIndex.Count();
float[] factors = new float[counter];
for (int i = 0; i < counter; i++)
{
int uniqueIndex = factorsIndex[i];
if (uniqueIndex == -1)
{
factors[i] = 1;
}
else
{
factors[i] = FactorVector[uniqueIndex];
}
}
int EndPosition = Share.Count();
if (functionType == FunctionType.Constant)
{
float[] Multiplier = FinancialInfo.GetPayoutMultiplier();
float E = 0;
for (int i = 0; i < EndPosition; i++)
{
E = SubjectLoss[TotalStatePosition] - Attachment[i];
Payout[TotalStatePosition] = Limit[i] / 2 * (E / Math.Abs(E) + 1);
TotalPayout += Payout[TotalStatePosition] * factors[i];
TotalStatePosition++;
}
}
else if (functionType == FunctionType.Regular)
{
for (int i = 0; i < EndPosition; i++)
{
Payout[TotalStatePosition] = Share[i] * Math.Min(Limit[i], Math.Max(0, SubjectLoss[TotalStatePosition] - Attachment[i]));
TotalPayout += Payout[TotalStatePosition] * factors[i];
TotalStatePosition++;
}
}
else if (functionType == FunctionType.Min)
{
for (int i = 0; i < EndPosition; i++)
{
Payout[TotalStatePosition] = Share[i] * Math.Min(Limit[i], Math.Max(0, SubjectLoss[TotalStatePosition]));
TotalPayout += Payout[TotalStatePosition] * factors[i];
TotalStatePosition++;
}
}
else
{
float[] F = FinancialInfo.GetPayoutMultiplier();
float E = 0;
for (int i = 0; i < EndPosition; i++)
{
E = SubjectLoss[TotalStatePosition] - Attachment[i];
if (E <= 0)
{
Payout[TotalStatePosition] = 0;
}
else
{
Payout[TotalStatePosition] = (16 * F[i] * F[i] - 14 * F[i] - 1) * ((F[i] - 1) * F[i] * Limit[i] + (2 * F[i] - 1) * Math.Min((SubjectLoss[TotalStatePosition] - Attachment[i] * F[i]), Limit[i])) * (Math.Max(0, E) / Math.Abs(E));
}
TotalPayout += Payout[TotalStatePosition] * factors[i];
//Payout[TotalStatePosition] = Multiplier[i] * Share[i] * Math.Min(Limit[i], Math.Max(0, E)) + (1 - Multiplier[i]) * Limit[i] / 2 * (E / Math.Abs(E) + 1);
//if (E <= 0)
//{
// Payout[i] = Multiplier[i] * Share[i] * Math.Min(Limit[i], Math.Max(0, E));
// TotalPayout += Payout[TotalStatePosition];
//}
//else
//{
// Payout[i] = Multiplier[i] * Share[i] * Math.Min(Limit[i], E) + (1 - Multiplier[i]) * Limit[i];
// TotalPayout += Payout[TotalStatePosition];
//}
TotalStatePosition++;
}
}
int NumOfLeafTop = LeafTopCoverList.Count();
if (NumOfLeafTop > 0)
{
for (int i = 0; i < NumOfLeafTop; i++)
{
TotalPayout += Payout[i] * factors[i];
}
}
return(TotalPayout);
}
private void AggregateSumSubject(int ParentPosition, ICoverState TotalCoverState, ICoverLevelNodeAggInfo LevelAggInfo, float[] coverRatio, float[] FactorVector)
{
int[] ChildrenMap = LevelAggInfo.GetChildrenMap();
int[] MapPartitions = LevelAggInfo.GetCoverAggregationPartitions();
float[] TotalPayoutState = TotalCoverState.GetPayout();
float[] TotalSubjectState = TotalCoverState.GetSubjectLoss();
int MapPosition = 0;
int[] factorsIndex = LevelAggInfo.GetFactorIndex();
int counter = factorsIndex.Count();
float[] factors = new float[counter];
for (int i = 0; i < counter; i++)
{
int uniqueIndex = factorsIndex[i];
if (uniqueIndex == -1)
{
factors[i] = 1;
}
else
{
factors[i] = FactorVector[uniqueIndex];
}
}
FactorPattern factorPattern = LevelAggInfo.GetLevelFactorPattern();
if (factorPattern == FactorPattern.AllOnes || factorPattern == FactorPattern.Constant)
{
for (int i = 0; i < MapPartitions.Length; i++)
{
float ParentSubject = 0;
for (int j = MapPosition; j < MapPartitions[i]; j++)
{
ParentSubject += TotalPayoutState[ChildrenMap[j]] * factors[j]; //denominator
}
//ratio
for (int j = MapPosition; j < MapPartitions[i]; j++)
{
coverRatio[j] = (ParentSubject == 0) ? 0 : TotalPayoutState[ChildrenMap[j]] * factors[j] / ParentSubject;
}
TotalSubjectState[ParentPosition] = ParentSubject;
MapPosition = MapPartitions[i] + 1;
ParentPosition++;
}
}
else
{
for (int i = 0; i < MapPartitions.Length; i++)
{
float ParentSubject = 0;
for (int j = MapPosition; j < MapPartitions[i]; j++)
{
ParentSubject += TotalPayoutState[ChildrenMap[j]] * factors[j]; //denominator
}
//ratio
for (int j = MapPosition; j < MapPartitions[i]; j++)
{
coverRatio[j] = (ParentSubject == 0) ? 0 : TotalPayoutState[ChildrenMap[j]] * factors[j] / ParentSubject;
}
TotalSubjectState[ParentPosition] = ParentSubject;
MapPosition = MapPartitions[i] + 1;
ParentPosition++;
}
}
}
public void ApplyCoverLayer(ICoverLevelFinancialInfo FinancialInfo, int TotalStatePosition, ICoverState TotalCoverState)
{
float[] Attachment = FinancialInfo.GetCodedAttachment();
float[] Limit = FinancialInfo.GetCodedLimit();
float[] Share = FinancialInfo.GetCodedShare();
float[] SubjectLoss = TotalCoverState.GetSubjectLoss();
float[] Payout = TotalCoverState.GetPayout();
FunctionType functionType = FinancialInfo.PayoutFunctionType;
int EndPosition = Share.Count();
if (functionType == FunctionType.Constant)
{
float E = 0;
for (int i = 0; i < EndPosition; i++)
{
E = SubjectLoss[TotalStatePosition] - Attachment[i];
Payout[TotalStatePosition] = Share[i] * Limit[i] / 2 * (E / Math.Abs(E) + 1);
TotalStatePosition++;
}
}
else if (functionType == FunctionType.Regular)
{
for (int i = 0; i < EndPosition; i++)
{
Payout[TotalStatePosition] = Share[i] * Math.Min(Limit[i], Math.Max(0, SubjectLoss[TotalStatePosition] - Attachment[i]));
TotalStatePosition++;
}
}
else if (functionType == FunctionType.Min)
{
for (int i = 0; i < EndPosition; i++)
{
Payout[TotalStatePosition] = Share[i] * Math.Min(Limit[i], Math.Max(0, SubjectLoss[TotalStatePosition]));
TotalStatePosition++;
}
}
else
{
float[] F = FinancialInfo.GetPayoutMultiplier();
float E = 0;
for (int i = 0; i < EndPosition; i++)
{
E = SubjectLoss[TotalStatePosition] - Attachment[i];
if (E <= 0)
{
Payout[TotalStatePosition] = 0;
}
else
{
Payout[TotalStatePosition] = Share[i] * (16 * F[i] * F[i] - 14 * F[i] - 1) * ((F[i] - 1) * F[i] * Limit[i] + (2 * F[i] - 1) * Math.Min((SubjectLoss[TotalStatePosition] - Attachment[i] * F[i]), Limit[i])) * (Math.Max(0, E) / Math.Abs(E));
}
TotalStatePosition++;
}
//float E = 0;
//for (int i = 0; i < EndPosition; i++)
//{
// E = SubjectLoss[TotalStatePosition] - Attachment[i];
// //Payout[TotalStatePosition] = Multiplier[i] * Share[i] * Math.Min(Limit[i], Math.Max(0, E)) + (1 - Multiplier[i]) * Limit[i] / 2 * (E / Math.Abs(E) + 1);
// if (E <= 0)
// {
// Payout[TotalStatePosition] = Multiplier[i] * Share[i] * Math.Min(Limit[i], Math.Max(0, E));
// }
// else
// Payout[TotalStatePosition] = Multiplier[i] * Share[i] * Math.Min(Limit[i], E) + (1 - Multiplier[i]) * Limit[i] / 2 * (E / Math.Abs(E) + 1);
// TotalStatePosition++;
//}
}
}