More VaR granularity

cetusfinance · Apr 19, 2022 · 8447415 · 8447415
1 parent 3ce1889
commit 8447415
Showing 1 changed file with 8 additions and 0 deletions.
diff --git a/src/Qwack.Models/Risk/VaRCalculator.cs b/src/Qwack.Models/Risk/VaRCalculator.cs
@@ -234,6 +234,14 @@ public void CalculateModels()
 
         public Dictionary<string, double> GetBaseValuations() => _basePvCube.Pivot("TradeId", AggregationAction.Sum).ToDictionary("TradeId").ToDictionary(x => x.Key as string, x => x.Value.Sum(r => r.Value));
 
+        public Dictionary<string, double> GetContributions(DateTime scenarioDate)
+        {
+            var cube = _resultsCache[scenarioDate];
+            var diff = cube.Difference(_basePvCube);
+
+            return diff.Pivot("TradeId", AggregationAction.Sum).ToDictionary("TradeId").ToDictionary(x => x.Key as string, x => x.Value.Sum(r => r.Value));
+        }
+
         public (double VaR, DateTime ScenarioDate) CalculateVaR(double ci, Currency ccy) => CalculateVaR(ci, ccy, _portfolio);
 
         private readonly ConcurrentDictionary<DateTime, ICube> _resultsCache = new();