public static Margin Of(Amount amount, List <MarginProduct> productMargins, MarginAddOn addOnMargin)
{
if (productMargins == null)
{
throw new ArgumentNullException(nameof(productMargins));
}
if (productMargins.Count == 0)
{
throw new ArgumentException("No product margins have been provided.", nameof(productMargins));
}
if (productMargins.Any(x => x == null))
{
throw new ArgumentException("One or more product margins are null.", nameof(productMargins));
}
List <IMargin> childrenSorted = productMargins
.OrderBy(x => (Int32)x.Product)
.Cast <IMargin>().ToList();
if (addOnMargin != null)
{
childrenSorted.Add(addOnMargin);
}
return(new Margin(amount, childrenSorted));
}
public static MarginAddOn CalculateMarginAddOn(Currency calculationCurrency, List <MarginProduct> productMargins, List <AddOnProductMultiplier> productMultipliers, List <AddOnNotional> notionals, List <AddOnNotionalFactor> notionalFactors, List <AddOnFixedAmount> fixedAmounts)
{
if (calculationCurrency == null)
{
throw new ArgumentNullException(nameof(calculationCurrency));
}
if (productMargins == null)
{
throw new ArgumentNullException(nameof(productMargins));
}
if (productMultipliers == null)
{
throw new ArgumentNullException(nameof(productMultipliers));
}
if (notionals == null)
{
throw new ArgumentNullException(nameof(notionals));
}
if (notionalFactors == null)
{
throw new ArgumentNullException(nameof(notionalFactors));
}
if (fixedAmounts == null)
{
throw new ArgumentNullException(nameof(fixedAmounts));
}
List <MarginAddOnComponent> margins = new List <MarginAddOnComponent>();
margins.AddRange(CalculateMarginsAddOnProduct(productMargins, productMultipliers));
margins.AddRange(CalculateMarginsAddOnNotional(calculationCurrency, notionals, notionalFactors));
if (fixedAmounts.Count > 0)
{
Amount fixedAmountAmount = Amount.Sum(fixedAmounts.Select(x => x.Amount), calculationCurrency);
margins.Add(MarginAddOnFixedAmount.Of(fixedAmountAmount));
}
if (margins.Count == 0)
{
return(null);
}
Amount addOnMarginAmount = Amount.Sum(margins.Select(x => x.Value), calculationCurrency);
MarginAddOn addOnMargin = MarginAddOn.Of(addOnMarginAmount, margins);
return(addOnMargin);
}
private MarginTotal Process(List <Sensitivity> sensitivities, List <AddOnProductMultiplier> productMultipliers, List <AddOnNotional> notionals, List <AddOnNotionalFactor> notionalFactors, List <AddOnFixedAmount> fixedAmounts)
{
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
if (productMultipliers == null)
{
throw new ArgumentNullException(nameof(productMultipliers));
}
if (notionals == null)
{
throw new ArgumentNullException(nameof(notionals));
}
if (notionalFactors == null)
{
throw new ArgumentNullException(nameof(notionalFactors));
}
if (fixedAmounts == null)
{
throw new ArgumentNullException(nameof(fixedAmounts));
}
ModelObject?modelObject = SanitizeData(sensitivities, productMultipliers, notionals, notionalFactors, fixedAmounts);
if (!modelObject.HasValue)
{
return(MarginTotal.Of(m_ValuationDate, m_CalculationCurrency));
}
ModelObject modelObjectValue = modelObject.Value;
sensitivities = modelObjectValue.Sensitivities;
notionals = modelObjectValue.Notionals;
notionalFactors = modelObjectValue.NotionalFactors;
productMultipliers = modelObjectValue.ProductMultipliers;
fixedAmounts = modelObjectValue.FixedAmounts;
List <Sensitivity> sensitivitiesVega = sensitivities
.RemoveAllAndGet(x => x.Category == SensitivityCategory.Vega)
.ToList();
if (sensitivitiesVega.Count > 0)
{
List <Sensitivity> sensitivitiesCurvature = sensitivitiesVega
.Select(x => x.ToCurvature(ModelCalculations.CalculateCurvatureAmount(x)))
.ToList();
List <Sensitivity> sensitivitiesVolatilityWeighted = sensitivitiesVega
.Concat(sensitivitiesCurvature)
.ToList();
foreach (Sensitivity sensitivity in sensitivitiesVolatilityWeighted)
{
sensitivity.ChangeAmount(sensitivity.Amount * ModelParameters.GetWeightVolatility(sensitivity));
}
sensitivities.AddRange(sensitivitiesVolatilityWeighted);
}
List <Sensitivity> sensitivitiesNetted = ModelCalculations.NetSensitivities(m_CalculationCurrency, sensitivities);
List <MarginProduct> productMargins = ModelCalculations.CalculateMarginsProduct(m_CalculationCurrency, m_RatesProvider, sensitivitiesNetted);
Amount productMarginsAmount = Amount.Sum(productMargins.Select(x => x.Value), m_CalculationCurrency);
MarginAddOn addOnMargin = ModelCalculations.CalculateMarginAddOn(m_CalculationCurrency, productMargins, productMultipliers, notionals, notionalFactors, fixedAmounts);
Amount addOnMarginAmount = addOnMargin?.Value ?? Amount.OfZero(m_CalculationCurrency);
Amount modelMarginAmount = productMarginsAmount + addOnMarginAmount;
Margin modelMargin = Margin.Of(modelMarginAmount, productMargins, addOnMargin);
return(MarginTotal.Of(m_ValuationDate, m_CalculationCurrency, modelMargin));
}
