double GetDefaultIncrement(BokRateEvent curEvent, DateTime curDate)
{
int remainDays = (curEvent.EndDate - curDate).Days;
if (remainDays < 0)
{
return 0.0;
}
if (remainDays < 90)
{
double y = (double)remainDays / 90;
double increment = y * curEvent.TargetIncrement * (-1);
return increment;
}
else if (remainDays <= 670)
{
return curEvent.TargetIncrement * (-1);
}
else
{
double daysAfterStart = (365 * 2 + 1) - remainDays;
Trace.Assert(daysAfterStart <= 60);
if (daysAfterStart < 0)
{
return 0.0;
}
Trace.Assert(daysAfterStart >= 0);
double y = daysAfterStart / 60;
double increment = y * curEvent.TargetIncrement * (-1);
return increment;
}
}
public AdjRateDatum GetIncrement(
BokRateEvent lastEvent,
List<BokRateEvent> events,
DateTime curDate,
double weight)
{
List<double> increments = new List<double>();
foreach (BokRateEvent ev in events)
{
double curIncrement = GetIncrementEach(lastEvent, ev, curDate);
increments.Add(curIncrement);
}
double totalIncrement = weight * (1.0 + increments.Sum());
totalIncrement = MathUtil.CapAndFloor(totalIncrement);
if (totalIncrement < 0.0)
{
logger.Warn("BokRate TotalIncrement < 0.0 ({0})", totalIncrement);
//Trace.Assert(totalIncrement >= 0.0);
totalIncrement = 0.0;
}
return new AdjRateDatum(totalIncrement, 1, 1);
}
public void Clear()
{
_events.Clear();
_lastEvent = null;
_nextAdjustment.Clear();
}
double GetDoubleDownFactor(BokRateEvent lastEvent, BokRateEvent curEvent)
{
Trace.Assert(lastEvent.UpDown != UpDown.Same);
Trace.Assert(lastEvent.UpDown != UpDown.Unknown);
Trace.Assert(curEvent.UpDown != UpDown.Same);
Trace.Assert(curEvent.UpDown != UpDown.Unknown);
double factor = 1;
const double kFactor = 1.3;
//const double kFactor = 1000;
double devide = kFactor;
if (lastEvent.UpDown != curEvent.UpDown)
{
devide = kFactor;
}
int diff = lastEvent.EventKey - curEvent.EventKey;
for (int i = 0; i < diff; ++i)
{
factor /= devide;
}
return factor;
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.BokRate);
DOHLC dohlc = md.GetData(targetDate);
AdjRateDatum ret = null;
if (_prevMarketData == null)
{
ret = new AdjRateDatum(1, 1, 1);
}
else
{
double prevValue = _prevMarketData.OHLC.Close;
double curValue = dohlc.OHLC.Close;
// changed more than 1 bp
if (Math.Abs(prevValue - curValue) > 0.01)
{
double increment = curValue / prevValue - 1;
// 금리 변동이 있다.
BokRateEvent ev = new BokRateEvent();
ev.TargetIncrement = increment;
ev.StartDate = targetDate;
ev.EndDate = targetDate.AddYears(kEventDuration);
ev.EventKey = _eventKeyGenerator++;
ev.UpDown = increment > 0 ? UpDown.Up : UpDown.Down;
_events.Add(ev);
_lastEvent = ev;
}
ret = GetIncrement(targetDate);
}
_prevMarketData = dohlc;
return ret;
}
double GetIncrementEach(
BokRateEvent lastEvent,
BokRateEvent curEvent,
DateTime curDate)
{
if (curEvent.EndDate < curDate)
{
// 기한이 지났다.
return 0;
}
double doubleDownFactor = GetDoubleDownFactor(lastEvent, curEvent);
double defaultIncrement = GetDefaultIncrement(curEvent, curDate);
double ret = defaultIncrement * doubleDownFactor;
return ret;
}
