public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// market data load
//clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
//clstb.REF_DT = calcDateStr;
//clstb.INDEX_CD = this.DAO_.INDEX_CD;
//int checkNum = clstb.SelectOwn();
//if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); }
//double indexData = clstb.LAST;
// calculate
// position
clsHITM_FP_POSITION_TB position_tb = new clsHITM_FP_POSITION_TB();
position_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
position_tb.POSITION_DT = calcDateStr;
if (position_tb.SelectOwn() == 0) { throw new Exception("position load fail : " + calcDateStr + " " + position_tb.INSTRUMENT_ID); }
double accountIndex = position_tb.ACCOUNT_INDEX;
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.CALC_DT = calcDateStr;
// price
result_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
result_tb.UNDERLYING_ID = "FTP";
result_tb.UNDERLYING_VALUE = this.DAO_.INDEX_RATE;
//
DateTime maturity = ConvertingTool.ToDateTime("21991231");
double t = (maturity - calcDate).TotalDays / 365;
result_tb.DELTA = 0.0;
result_tb.CALC_PRICE = this.DAO_.NOTIONAL;
result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ;
result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS;
result_tb.UpdateDateResult();
// delta
// gamma and others : no exist ?
}
public void build_position(DateTime preDate, DateTime nextDate)
{
//
clsHITM_FP_POSITION_TB clstb = new clsHITM_FP_POSITION_TB();
clstb.POSITION_DT = preDate.ToString("yyyyMMdd");
clstb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
//if (clstb.SelectOwn() == 0)
//{
//throw new Exception("no exist position : " + this.baseDAO_.INSTRUMENT_ID);
//}
// 없는게 말이 안됨... Trade 할때 Position이 박히거든...
// Direct로 Master에 밀어 넣는건 안됨.
// 없으면 없는 건데.. trade된거는 다음 Process 임. 엎어 치던 더하던, 이건 기존꺼만 함.
if ( clstb.SelectOwn() != 0)
{
Position ifp = Position.CreatePosition(clstb);
ifp.DAO_ = clstb;
Position next_date_ifp = ifp.nextDateClone(nextDate);
next_date_ifp.DAO_.Insert();
}
//return next_date_ifp;
}
public override void calculate(DateTime calcDate,FP_Parameter fp_parameter)
{
// market data load
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
clstb.REF_DT = calcDateStr;
clstb.INDEX_CD = this.indexFuturesDAO_.UNDERLYING_INDEX_CD;
int checkNum = clstb.SelectOwn();
if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); }
double indexData = clstb.LAST;
// calculate
// position
clsHITM_FP_POSITION_TB position_tb = new clsHITM_FP_POSITION_TB();
position_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
position_tb.POSITION_DT = calcDateStr;
if (position_tb.SelectOwn() == 0) { throw new Exception("position load fail : " + calcDateStr + " " + position_tb.INSTRUMENT_ID); }
double accountIndex = position_tb.ACCOUNT_INDEX;
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.CALC_DT = calcDateStr;
// price
result_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
result_tb.UNDERLYING_ID = this.indexFuturesDAO_.UNDERLYING_INDEX_CD;
result_tb.UNDERLYING_VALUE = indexData;
//
DateTime maturity = ConvertingTool.ToDateTime(this.indexFuturesDAO_.MATURITY_DT);
double t = (maturity - calcDate).TotalDays / 365;
result_tb.DELTA = Math.Round(this.indexFuturesDAO_.QUANTITY * indexData * this.indexFuturesDAO_.INDEX_MULTIPLIER
* Math.Exp(0.03 * t));
result_tb.CALC_PRICE = Math.Round( this.indexFuturesDAO_.QUANTITY *
( indexData - accountIndex ) *
this.indexFuturesDAO_.INDEX_MULTIPLIER );
result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ;
result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS;
//result_tb.UpdateDateResult();
result_tb.Insert();
// delta
// gamma and others : no exist ?
}
public void calculatePL()
{
CalendarManager cm = new CalendarManager(this.ReferenceDateTime_, CalendarManager.CountryType.SOUTH_KOREA);
clsHITM_FP_GREEKRESULT_TB clstb_result = new clsHITM_FP_GREEKRESULT_TB();
clstb_result.CALC_DT = this.ReferenceDateTime_.ToString("yyyyMMdd");
clstb_result.INSTRUMENT_ID = this.DAO_.INSTRUMENT_ID;
clstb_result.SEQ = 1;
int checkNum = clstb_result.SelectOwn();
if (checkNum == 0) { throw new Exception("no exist"); }
double calcPrice = clstb_result.CALC_PRICE;
double quantity = this.DAO_.INSTRUMENT_QNT;
clsMAST_FP_INSTRUMENT_TB clstb_master = new clsMAST_FP_INSTRUMENT_TB();
//this.DAO_.ETC_PL = clstb_result.CALC_PRICE;
this.DAO_.EVAL_AMT = Math.Round( calcPrice );
this.DAO_.EVAL_PRICE = Math.Round( calcPrice / quantity );
this.DAO_.EVAL_ACCOUNT_PL = Math.Round( this.DAO_.EVAL_AMT - this.DAO_.ACCOUNT_AMT ); // - 평가금액 - 장부금액
//this.DAO_.TRADE_PROFIT = this.DAO_.TRADE_PROFIT + tradePosition.DAO_.TRADE_PROFIT; // 일별 매매수익
//this.DAO_.TRADE_LOSS = tradePosition.DAO_.TRADE_LOSS;
//this.DAO_.TRADE_TOTAL = tradePosition.DAO_.TRADE_TOTAL;
//this.DAO_.TRANSACTION_FEE = tradePosition.DAO_.TRANSACTION_FEE;
this.DAO_.ETC_PL = 0; // 데일리 기타 손익임.
this.DAO_.TOTAL_ACCOUNT_PL = Math.Round( this.DAO_.EVAL_ACCOUNT_PL + this.DAO_.TRADE_TOTAL + this.DAO_.TRANSACTION_FEE );
// 전일 포지션
DateTime preDate = cm.preBusinessDay(ConvertingTool.ToDateTime(this.ReferenceDateTime_.ToString("yyyyMMdd")));
clsHITM_FP_POSITION_TB clstb_position = new clsHITM_FP_POSITION_TB();
clstb_position.POSITION_DT = preDate.ToString("yyyyMMdd");
clstb_position.INSTRUMENT_ID = this.DAO_.INSTRUMENT_ID;
clstb_position.SelectOwn();
// 전일자꺼가 여기 박혀서 옴..? 중간에 trade했을때
this.DAO_.DAILY_EVAL_PL = Math.Round(this.DAO_.EVAL_AMT - clstb_position.EVAL_AMT ); // 전일 평가 - 당일 평가
this.DAO_.DAILY_TOTAL_PL = Math.Round( this.DAO_.TRADE_TOTAL + this.DAO_.ETC_PL + this.DAO_.DAILY_EVAL_PL );
// 여기서 부터 작업
this.calculatePL_impl();
if (this.DAO_.UpdateCalculatedPosition() == 0)
{ throw new Exception("update fail :" + this.DAO_.INSTRUMENT_ID + " " + this.DAO_.POSITION_DT); }
else if (this.DAO_.UpdateCalculatedPosition() > 1)
{ throw new Exception("too many updated :" + this.DAO_.INSTRUMENT_ID + " " + this.DAO_.POSITION_DT); }
else { }
}