VaR fix

cetusfinance · Jul 25, 2024 · bbc66fc · bbc66fc
1 parent 9b79d2a
commit bbc66fc
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Showing 3 changed files with 3 additions and 3 deletions.
diff --git a/src/Qwack.Models/Risk/VaR/VaREngine.cs b/src/Qwack.Models/Risk/VaR/VaREngine.cs
@@ -240,7 +240,7 @@ public Dictionary<string, double> GetContributions(string scenarioId)
         public (double VaR, string ScenarioId, double cVaR) CalculateVaRFromResults(double ci, Currency ccy, Portfolio pf, bool parallelize = true)
         {
             var basePv = _basePvCube.SumOfAllRows;
-            var results = _resultsCache.ToDictionary(x => x.Key, x => x.Value.SumOfAllRows);
+            var results = _resultsCache.ToDictionary(x => x.Key, x => x.Value.SumOfAllRows - basePv);
 
             if (results.Count == 0)
             {

diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.8.69</VersionPrefix>
+        <VersionPrefix>0.8.70</VersionPrefix>
 	</PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.8.69
+0.8.70