void Load()
{
this.Data.Clear();
String query = "select * from g20";
DataRowCollection rows = DBUtil.SelectFromDB(query);
for (int i = 0; i < rows.Count; ++i)
{
//country,currency_symbol,stock_index_ticker,pbr_ticker,central_bank_rate,gdp_ticker
DataRow row = rows[i];
String country = Convert.ToString(row["country"]);
String currency = Convert.ToString(row["currency_symbol"]);
String stockIndex = Convert.ToString(row["stock_index_ticker"]);
String pbr = Convert.ToString(row["pbr_ticker"]);
String centralBankRate = Convert.ToString(row["central_bank_rate"]);
String gdp = Convert.ToString(row["gdp_ticker"]);
String bond_3yr = Convert.ToString(row["bond_3yr"]);
String bond_10yr = Convert.ToString(row["bond_10yr"]);
String perTicker = Convert.ToString(row["per_ticker"]);
String tbrTicker = Convert.ToString(row["tbr_ticker"]);
G20_TickerInfo datum = new G20_TickerInfo();
datum.Country = country;
datum.Currency = currency;
datum.StockTicker = stockIndex;
datum.CentralBankRateTicker = centralBankRate;
datum.GdpTicker = gdp;
datum.Bond_3yrTicker = bond_3yr;
datum.Bond_10yrTicker = bond_10yr;
datum.PerTicker = perTicker;
datum.TbrTicker = tbrTicker;
this.Data.Add(datum);
}
}
public TbrAdj(G20_TickerInfo tickerInfo, DateTime from, DateTime until)
{
this.AdjIndex = new SortedList<DateTime, double>();
this.TickerInfo = tickerInfo;
this._fromDate = from;
this._untilDate = until;
LoadMarketData();
Calculate();
}
Tuple<double, double, double> CalculatePpm(
G20_TickerInfo tickerInfo, DateTime from, DateTime until)
{
if (StringUtil.IsEmpty(tickerInfo.TbrTicker))
{
logger.Warn("{0} is empty", tickerInfo.TbrTicker);
return new Tuple<double, double, double>(0, 0, 0);
}
SortedList<DateTime, double> tbrMarketData =
MarketDataManager.Ins().Get_PX_LAST_Data(tickerInfo.TbrTicker, "USD");
SortedList<DateTime, double> indexMarketData =
MarketDataManager.Ins().Get_PX_LAST_Data(tickerInfo.StockTicker, tickerInfo.Currency);
ZooData zoo = new ZooData();
zoo.SetPivot(tickerInfo.StockTicker, indexMarketData);
zoo.Append(tickerInfo.TbrTicker, tbrMarketData);
zoo.ToCsv(String.Format("C:\\tbr_{0}.csv", tickerInfo.Country));
//일단 보류한다. 특별한 성질을 찾지는 못했다. 특히 각 국가에 적용할 경우에 더욱 그렇다
//TbrAdj adj = new TbrAdj(tickerInfo, from, until);
//String tradingTicker = tickerInfo.StockTicker;
//String currency = tickerInfo.Currency;
//SortedList<DateTime, double> tradingTargetData = ExperimentUtil.GetTradingTargetData(
// tradingTicker, currency);
//SortedList<DateTime, double> adjPnls =
// MathUtil.GetAdjIncCum(adj.AdjIndex, tradingTargetData);
//SortedList<DateTime, double> pnls =
// MathUtil.GetIncCum(tradingTargetData, adjPnls.Keys[0].AddDays(-5));
//ZooData zoo = new ZooData();
//zoo.SetPivot("adjPnls", adjPnls);
//zoo.Append("adj", adj.AdjIndex);
//zoo.Append("pnls", pnls);
//zoo.Append("tradingTarget", tradingTargetData);
//double indexPpm = MathUtil.GetPPM(zoo.GetData("tradingTarget"));
//double pnlPpm = MathUtil.GetPPM(zoo.GetData("pnls"));
//double adjPnlPpm = MathUtil.GetPPM(zoo.GetData("adjPnls"));
//return new Tuple<double, double, double>(indexPpm,
// pnlPpm, adjPnlPpm);
return new Tuple<double, double, double>(0, 0, 0);
}
public String GetIndexKey(G20_TickerInfo tickerInfo)
{
String indexKey = MarketDataManager.Ins().GetKey(tickerInfo.StockTicker,
MarketDataFieldType.PX_LAST, tickerInfo.Currency);
return indexKey;
}