// 15 자리
public static string getNewTradeID(TradeInfo.TradeType tradeType,
Financial_instrument.InstrumentType instType,
DateTime tradeDate)
{
string id = "";
// (1)
id += "T";
// 세부코드(13) : date (6) , fp_master_type (3) , trade order (4)
// date (6)
id += tradeDate.ToString("yyyyMMdd").Substring(2, 6);
// type (3)
if (tradeType == TradeInfo.TradeType.KRX) { id += "100"; }
else if (tradeType == TradeInfo.TradeType.Clearing) { id += "S01"; }
else if (tradeType == TradeInfo.TradeType.OTC) { id += "S02"; }
else if (tradeType == TradeInfo.TradeType.Dynamic_Hedge) { id += "302"; }
else { id += "Z99"; }
// order (4)
int max = IDGenerator.getTradeSeq(tradeDate);
id += getLetter((max + 1), 4);
// 에러코드(1)
id += "9";
return id;
}
private void DLL_Interfacer(Financial_instrument financial_instrument)
{
// do interface
//financial_instrument.LastValue_ = 0.9;
}
public void addFinancialMaster(Financial_instrument fi,DateTime BookingDate, string book_cd)
{
// product code 로 구분함.
fi.bookingMaster(BookingDate,book_cd);
//clsHITM_FP_GREEKRESULT_TB clstb = fi.build_emptyResult (BookingDate);
fi.build_emptyResult(BookingDate);
// if trading 이 clearing이면 그거 찾아서 하면대고.
// 추가 또는 trading ? 이거면
}
// single calculation -- 이거는 그냥 엎어치는 용 -- 전체 batch result를 update하지 않음.
public void calculation(Financial_instrument fi)
{
try
{
//fi.loadDetail();
fi.calculate(this.ReferenceDate_);
}
catch (Exception e)
{
//sb.AppendLine(e.Message);
LogManager_.addLog(e.Message);
}
}
// single calculation -- 이거는 그냥 엎어치는 용 -- 전체 batch result를 update하지 않음.
public void calculation(Financial_instrument fi)
{
try
{
// 파라메터 아직 디폴트 ---------------------------------------------
FP_Parameter fp_parameter = new FP_Parameter();
fp_parameter.CalcDate_ = this.ReferenceDate_;
fp_parameter.defaultLoad();
// ------------------------------------------------------------------
//fi.loadDetail();
fi.calculate(this.ReferenceDate_, fp_parameter);
//fi.calculate(this.ReferenceDate_);
}
catch (Exception e)
{
//sb.AppendLine(e.Message);
LogManager_.addLog(e.Message);
}
}
private double calculate_tradeQuantity(GreekPosition greekPosition, Financial_instrument financial_instrument)
{
// 100% 매치
// 90% 언더헤지
// 110% 오버헤지
double greekPositionAmount = greekPosition.GreekPositionAmount_;
double quantity = 0.0;
double mathched_fi_greek = 0.0;
List<Greek> fi_greeks = financial_instrument.greeks();
foreach (Greek gp in fi_greeks)
{
if ( gp.UnderCode_ == greekPosition.Greek_.UnderCode_ &&
gp.type_ == greekPosition.Greek_.type_ )
{
quantity = greekPositionAmount / mathched_fi_greek;
quantity = quantity * this.Setting_.HedgeRatio_;
}
}
return quantity;
}
// 12 자리 ( KRCode 호환 )
// #NEWINSTRUMENTID_ADDITEM
public static string getNewInstrumentID(Financial_instrument.InstrumentType instrumentType,
DateTime effectiveDate,
Financial_instrument inst)
{
string id = "";
// 국가(2)
id += "KR";
/*
1 : 국채
2 : 지방채
3 : 특수채
4 : 선물 및 옵션 ( 거래소 )
5 : 수익증권
6 : 사채권
7 : 주권
8 : 유가증권예탁증서
A : 신주인수권 - 10
B : 외국채권 - 11
C : 스트립 - 12
D : DLS ( 지표 인데 바꿈 ) - 13
E : ELS - 14
F : 펀드 ( 지료 포함 ) - 15
G : Forward - 16
H : ------- - 17
I : ------- - 18
L : DEPOSIT_LOAN - 19
M : MONEY CASH - 20
S : 스왑 - 28
-
*
*/
//
// 세부코드(7)
if (instrumentType == Financial_instrument.InstrumentType.Bond)
{
id += "100";
// detail Code
id += "ABCDEF";
}
else if (instrumentType == Financial_instrument.InstrumentType.Futurs)
{
// 거래소
id += "4";
// detail Code
// detail type(1) , detail_type(1), year(1) , month(1) , monthOrder(3)
id += "1"; // 선물 1 , 현물 콜옵션 2 , 등등
//id += "01"; // 01 kospi200 , 02 ex 등등
// 우선은 effective 나중엔 만기.
string typeStr = "4";
string yearStr = IDGenerator.yearConv(effectiveDate.Year); // eff year (1)
string monthStr = IDGenerator.monthConv(effectiveDate.Month); // eff month (1)
id += yearStr; // year(1)
id += monthStr; // month(1)
string nextOrderStr = IDGenerator.nextMonthOrder(typeStr , yearStr , monthStr);
id += nextOrderStr; // monthOrder(3)
}
else if (instrumentType == Financial_instrument.InstrumentType.Option)
{
// 거래소
id += "4";
// detail Code
// detail type(1) , detail_type(1), year(1) , month(1) , monthOrder(3)
id += "2"; // 선물 1 , 현물 콜옵션 2 , 등등
//id += "01"; // 01 kospi200 , 02 ex 등등
// 우선은 effective 나중엔 만기.
string typeStr = "4";
string yearStr = IDGenerator.yearConv(effectiveDate.Year); // eff year (1)
string monthStr = IDGenerator.monthConv(effectiveDate.Month); // eff month (1)
id += yearStr; // year(1)
id += monthStr; // month(1)
string nextOrderStr = IDGenerator.nextMonthOrder(typeStr, yearStr, monthStr);
id += nextOrderStr; // monthOrder(3)
}
else if (instrumentType == Financial_instrument.InstrumentType.DepositLoan)
{
id += "L";
// detail Code
id += "000001";
}
else if (instrumentType == Financial_instrument.InstrumentType.Forward)
{
id += "F";
// detail Code
id += "ABCDEF";
}
else if (instrumentType == Financial_instrument.InstrumentType.Stock)
{
id += "7";
// detail Code
id += "ABCDEF";
}
else if (instrumentType == Financial_instrument.InstrumentType.Index)
{
id += "7";
// detail Code
id += "ABCDEF";
}
// type(1) , detail type(1) , year(1) , effMonth(1) , 내부 월 거래/발행 순서(3)
else if (instrumentType == Financial_instrument.InstrumentType.Swap)
{
id += "S"; //type(1)
id += "1"; // vanilla - 1
string yearStr = IDGenerator.yearConv(effectiveDate.Year); // eff year (1)
string monthStr = IDGenerator.monthConv(effectiveDate.Month); // eff month (1)
id += yearStr;
id += monthStr;
string nextOrderStr = IDGenerator.nextMonthOrder("S", yearStr, monthStr);
id += nextOrderStr;
}
else if (instrumentType == Financial_instrument.InstrumentType.ELS)
{
id += "Z99";
// detail Code
id += "ABCDEF";
}
else if (instrumentType == Financial_instrument.InstrumentType.DLS)
{
id += "Z99";
// detail Code
id += "ABCDEF";
}
else if (instrumentType == Financial_instrument.InstrumentType.ABCP)
{
id += "Z99";
// detail Code
id += "ABCDEF";
}
else if (instrumentType == Financial_instrument.InstrumentType.Money_Cash)
{
// 3
string currency = ((CurrencyCash)inst).Currency_;
id += currency;
//id += ((CurrencyCash)inst).DAO_.
// detail Code
//string typeStr = "M";
//string yearStr = IDGenerator.yearConv(effectiveDate.Year); // eff year (1)
//string monthStr = IDGenerator.monthConv(effectiveDate.Month); // eff month (1)
//id += yearStr; // year(1)
//id += monthStr; // month(1)
string nextOrderStr = IDGenerator.nextCurrencyOrder(currency);
id += nextOrderStr; // monthOrder(3)
}
else if (instrumentType == Financial_instrument.InstrumentType.Unknown)
{
id += "Z99";
// detail Code
id += "ABCDEF";
}
else { id += "Z99"; }
// 발행자(2)
id += "78"; // 교보생명
// 에러코드(1)
id += "9";
return id;
}
public bool isExist(Financial_instrument financial_instrument)
{
// 검사함 존재하는지.
return true;
}
