public override void setFromSerial(FpmlSerializedCSharp.ISerialized serial_Class)
{
FpmlSerializedCSharp.Excel_underlyingModel_para serial_Excel_underlyingModel_para = serial_Class as FpmlSerializedCSharp.Excel_underlyingModel_para;
FpmlSerializedCSharp.Excel_hullWhiteTwoFactor serial_Excel_hullWhiteTwoFactor = serial_Excel_underlyingModel_para.Excel_hullWhiteTwoFactor_;
this.currentValue_ = serial_Excel_hullWhiteTwoFactor.CurrentValue_.ValueStr;
this.alpha_ = serial_Excel_hullWhiteTwoFactor.Alpha_.ValueStr;
this.volatility_ = serial_Excel_hullWhiteTwoFactor.Volatility_.ValueStr;
FpmlSerializedCSharp.Excel_rateInfo serial_excel_rateInfo = serial_Excel_hullWhiteTwoFactor.Excel_rateInfo_;
string excel_rateInfotype = serial_excel_rateInfo.Excel_type_.ValueStr;
this.excel_rateInfoViewModel_ = Excel_rateInfoViewModel.CreateExcel_rateInfo(excel_rateInfotype);
this.excel_rateInfoViewModel_.setFromSerial(serial_excel_rateInfo);
this.linkedCurveCode_ = serial_Excel_hullWhiteTwoFactor.LinkedCurveCode_.ValueStr;
FpmlSerializedCSharp.Excel_yieldCurve serial_excel_yieldCurve = serial_Excel_hullWhiteTwoFactor.Excel_yieldCurve_;
string excel_yieldCurvetype = serial_excel_yieldCurve.Excel_type_.ValueStr;
this.excel_yieldCurveViewModel_ = Excel_yieldCurveViewModel.CreateExcel_yieldCurve(excel_yieldCurvetype);
this.excel_yieldCurveViewModel_.setFromSerial(serial_excel_yieldCurve);
this.vba_description_ = serial_Excel_hullWhiteTwoFactor.Vba_description_.ValueStr;
}
public void setInterestRateInfo(Excel_interestRateViewModel e_irvm)
{
Excel_rateInfoViewModel e_rateInfoVM = new Excel_rateInfoViewModel();
e_rateInfoVM.Tenor_ = e_irvm.Tenor_;
e_rateInfoVM.LegTenor_ = e_irvm.LegTenor_;
e_rateInfoVM.IndexType_ = e_irvm.RateType_;
e_rateInfoVM.Currency_ = e_irvm.Currency_;
this.Excel_rateInfoViewModel_ = e_rateInfoVM;
}
public Excel_rateInfoViewModel Clone()
{
Excel_rateInfoViewModel clone = new Excel_rateInfoViewModel();
clone.LegTenor_ = this.legTenor_;
clone.IndexType_ = this.indexType_;
clone.Tenor_ = this.tenor_;
clone.Currency_ = this.currency_;
return(clone);
}
public override void setFromSerial(FpmlSerializedCSharp.ISerialized serial_Class)
{
FpmlSerializedCSharp.Excel_underlyingModel_para serial_Excel_underlyingModel_para = serial_Class as FpmlSerializedCSharp.Excel_underlyingModel_para;
FpmlSerializedCSharp.Excel_hullWhiteOneFactor serial_Excel_hullWhiteOneFactor = serial_Excel_underlyingModel_para.Excel_hullWhiteOneFactor_;
this.currentValue_ = serial_Excel_hullWhiteOneFactor.CurrentValue_.ValueStr;
this.alpha_ = serial_Excel_hullWhiteOneFactor.Alpha_.ValueStr;
this.volatility_ = serial_Excel_hullWhiteOneFactor.Volatility_.ValueStr;
this.linkedCurveCode_ = serial_Excel_hullWhiteOneFactor.LinkedCurveCode_.ValueStr;
FpmlSerializedCSharp.Excel_rateInfo serial_excel_rateInfo = serial_Excel_hullWhiteOneFactor.Excel_rateInfo_;
this.excel_rateInfoViewModel_ = new Excel_rateInfoViewModel();
this.excel_rateInfoViewModel_.setFromSerial(serial_excel_rateInfo);
FpmlSerializedCSharp.Excel_yieldCurve serial_excel_yieldCurve = serial_Excel_hullWhiteOneFactor.Excel_yieldCurve_;
this.excel_yieldCurveViewModel_ = new Excel_yieldCurveViewModel();
this.excel_yieldCurveViewModel_.setFromSerial(serial_excel_yieldCurve);
}
public Excel_rateInfoViewModel Clone()
{
Excel_rateInfoViewModel clone = new Excel_rateInfoViewModel();
clone.LegTenor_ = this.legTenor_;
clone.IndexType_ = this.indexType_;
clone.Tenor_ = this.tenor_;
clone.Currency_ = this.currency_;
return clone;
}
public void setInterestRateInfo(Excel_interestRateViewModel e_irvm)
{
Excel_rateInfoViewModel e_rateInfoVM = new Excel_rateInfoViewModel();
e_rateInfoVM.Tenor_ = e_irvm.Tenor_;
e_rateInfoVM.LegTenor_ = e_irvm.LegTenor_;
e_rateInfoVM.IndexType_ = e_irvm.RateType_;
e_rateInfoVM.Currency_ = e_irvm.Currency_;
this.Excel_rateInfoViewModel_ = e_rateInfoVM;
}
public override void setFromSerial(FpmlSerializedCSharp.ISerialized serial_Class)
{
FpmlSerializedCSharp.Excel_underlyingModel_para serial_Excel_underlyingModel_para = serial_Class as FpmlSerializedCSharp.Excel_underlyingModel_para;
FpmlSerializedCSharp.Excel_hullWhiteOneFactor serial_Excel_hullWhiteOneFactor = serial_Excel_underlyingModel_para.Excel_hullWhiteOneFactor_;
this.currentValue_ = serial_Excel_hullWhiteOneFactor.CurrentValue_.ValueStr;
this.alpha_ = serial_Excel_hullWhiteOneFactor.Alpha_.ValueStr;
this.volatility_ = serial_Excel_hullWhiteOneFactor.Volatility_.ValueStr;
this.linkedCurveCode_ = serial_Excel_hullWhiteOneFactor.LinkedCurveCode_.ValueStr;
FpmlSerializedCSharp.Excel_rateInfo serial_excel_rateInfo = serial_Excel_hullWhiteOneFactor.Excel_rateInfo_;
this.excel_rateInfoViewModel_ = new Excel_rateInfoViewModel();
this.excel_rateInfoViewModel_.setFromSerial(serial_excel_rateInfo);
FpmlSerializedCSharp.Excel_yieldCurve serial_excel_yieldCurve = serial_Excel_hullWhiteOneFactor.Excel_yieldCurve_;
this.excel_yieldCurveViewModel_ = new Excel_yieldCurveViewModel();
this.excel_yieldCurveViewModel_.setFromSerial(serial_excel_yieldCurve);
}
public override void setFromSerial(FpmlSerializedCSharp.ISerialized serial_Class)
{
FpmlSerializedCSharp.Excel_underlyingModel_para serial_Excel_underlyingModel_para = serial_Class as FpmlSerializedCSharp.Excel_underlyingModel_para;
FpmlSerializedCSharp.Excel_hullWhiteOneFactor serial_Excel_hullWhiteOneFactor = serial_Excel_underlyingModel_para.Excel_hullWhiteOneFactor_;
this.currentValue_ = serial_Excel_hullWhiteOneFactor.CurrentValue_.ValueStr;
this.alpha_ = serial_Excel_hullWhiteOneFactor.Alpha_.ValueStr;
this.volatility_ = serial_Excel_hullWhiteOneFactor.Volatility_.ValueStr;
FpmlSerializedCSharp.Excel_rateInfo serial_excel_rateInfo = serial_Excel_hullWhiteOneFactor.Excel_rateInfo_;
string excel_rateInfotype = serial_excel_rateInfo.Excel_type_.ValueStr;
this.excel_rateInfoViewModel_ = Excel_rateInfoViewModel.CreateExcel_rateInfo(excel_rateInfotype);
this.excel_rateInfoViewModel_.setFromSerial(serial_excel_rateInfo);
this.linkedCurveCode_ = serial_Excel_hullWhiteOneFactor.LinkedCurveCode_.ValueStr;
FpmlSerializedCSharp.Excel_yieldCurve serial_excel_yieldCurve = serial_Excel_hullWhiteOneFactor.Excel_yieldCurve_;
string excel_yieldCurvetype = serial_excel_yieldCurve.Excel_type_.ValueStr;
this.excel_yieldCurveViewModel_ = Excel_yieldCurveViewModel.CreateExcel_yieldCurve(excel_yieldCurvetype);
this.excel_yieldCurveViewModel_.setFromSerial(serial_excel_yieldCurve);
this.vba_description_ = serial_Excel_hullWhiteOneFactor.Vba_description_.ValueStr;
}
public string set_hullWhiteModel(string underCode, double currentValue, double alpha, double sigma, YieldTermStructure fittingCurve)
{
try
{
Excel_standardHifiveParaViewModel e_sphvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardHifiveParaViewModel;
// under 에서 tenor를 가져옴
string tenor = "3M"; // defaultrrrr
bool setFlag = false;
Excel_hullWhiteOneFactorViewModel e_hwvm = new Excel_hullWhiteOneFactorViewModel();
foreach (var item in e_sphvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_)
{
if (underCode == item.KrCode_)
{
e_hwvm.CurrentValue_ = currentValue.ToString();
e_hwvm.Alpha_ = alpha.ToString();
e_hwvm.Volatility_ = sigma.ToString();
e_hwvm.Excel_yieldCurveViewModel_ = fittingCurve.Excel_yieldCurveViewModel_;
item.Excel_underlyingModel_paraViewModel_ = e_hwvm;
setFlag = true;
}
}
Excel_rateInfoViewModel e_rateInfoVM = new Excel_rateInfoViewModel();
foreach (var item in this.InstVM_.Excel_interfaceViewModel_.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_)
{
if (underCode == item.KrCode_)
{
Excel_interestRateViewModel e_irvm = item as Excel_interestRateViewModel;
e_hwvm.setInterestRateInfo(e_irvm);
}
}
if (!setFlag)
{
throw new Exception(underCode + " doesn't exist");
}
return "set hullWhit_model complete : " + underCode;
}
catch (Exception e)
{
return "set fail : " + e.Message;
}
}
