private static Amount CalculateCorrelatedSumWeights(Currency calculationCurrency, List <MarginWeighting> weightingMargins)
{
Amount sum = Amount.OfZero(calculationCurrency);
foreach (MarginWeighting marginWeighting1 in weightingMargins)
{
foreach (MarginWeighting marginWeighting2 in weightingMargins)
{
Sensitivity sensitivity1 = marginWeighting1.Sensitivity;
Sensitivity sensitivity2 = marginWeighting2.Sensitivity;
if (sensitivity1 != sensitivity2)
{
Decimal correlation = ModelParameters.GetCorrelationBase(sensitivity1, sensitivity2);
sum += marginWeighting1.Value * marginWeighting2.Value * correlation;
}
}
}
return(sum);
}