public List <VasicekEtiNplIndex> ComputeVasicekScenario()
{
var vasicek = new List <VasicekEtiNplIndex>();
double pdTtc = ComputePdTtc();
double averageFittedIndex = ComputeVasicekAverageFitted();
var indexForecast = GetScenarioIndexForecastResult();
int month = 1;
var ecls = Queries.EclsRegister(_eclType.ToString(), _eclId.ToString());
var dtR = DataAccess.i.GetData(ecls);
var eclReg = new EclRegister {
OrganizationUnitId = -1
};
if (dtR.Rows.Count > 0)
{
eclReg = DataAccess.i.ParseDataToObject(new EclRegister(), dtR.Rows[0]);
}
foreach (var row in indexForecast)
{
double scenarioPd = ComputeVasicekIndex(row.Standardised, pdTtc, ECLNonStringConstants.i.Rho(eclReg.OrganizationUnitId));
var dr = new VasicekEtiNplIndex();
dr.Date = row.Date;
dr.Month = month;
dr.ScenarioIndex = row.Standardised;
dr.ScenarioPd = scenarioPd;
dr.ScenarioFactor = averageFittedIndex == 0 ? 1 : scenarioPd / averageFittedIndex;
vasicek.Add(dr);
month++;
}
return(vasicek);
}
public List <VasicekEtiNplIndex> ComputeEtiNplIndex()
{
var etiNpl = new ProcessECL_PD(this._eclId, this._eclType).Get_PDI_ETI_NPL();
var historicIndex = new ProcessECL_PD(this._eclId, this._eclType).Get_PDI_HistoricIndex();
historicIndex = historicIndex.OrderBy(o => o.Date).ToList();
double pdTtc = etiNpl.Take(32).Average(o => o.Series);// ComputePdTtc();
var vasicekEtiNplIndex = new List <VasicekEtiNplIndex>();
var ecls = Queries.EclsRegister(_eclType.ToString(), _eclId.ToString());
var dtR = DataAccess.i.GetData(ecls);
var eclReg = new EclRegister {
OrganizationUnitId = -1
};
if (dtR.Rows.Count > 0)
{
eclReg = DataAccess.i.ParseDataToObject(new EclRegister(), dtR.Rows[0]);
}
var rho = ECLNonStringConstants.i.Rho(eclReg.OrganizationUnitId);
foreach (var etiNplRecord in etiNpl)
{
double index = 0;
try { index = historicIndex.FirstOrDefault(o => o.Date == etiNplRecord.Date).Standardised; } catch { }
var newRecord = new VasicekEtiNplIndex();
newRecord.Date = etiNplRecord.Date;
newRecord.EtiNpl = etiNplRecord.Series;
newRecord.Index = index;
newRecord.Fitted = ComputeVasicekIndex(index, pdTtc, rho);
newRecord.Residuals = etiNplRecord.Series - ComputeVasicekIndex(index, pdTtc, rho);
vasicekEtiNplIndex.Add(newRecord);
}
vasicekEtiNplIndex = vasicekEtiNplIndex.OrderBy(o => o.Date).ToList();
return(vasicekEtiNplIndex);
}
