public AdjRateDatum CalculateAssetWeight_Raw(DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.KospiFuture);
DOHLC dohlc = md.GetData(targetDate);
double curValue = dohlc.OHLC.Close;
AdjRateDatum ret = null;
if (_prevValue > 0)
{
// 평균 변동성을 구한다.
double increment = (curValue - _prevValue) / _prevValue;
_ma.Add(Math.Abs(increment));
double avgIncrement = _ma.GetCurMA();
int level = (int)(avgIncrement * 200);
double kospiFactor = 1.3 - 0.1 * level;
kospiFactor *= _weight;
kospiFactor = MathUtil.CapAndFloor(kospiFactor);
ret = new AdjRateDatum(kospiFactor, 1, 1);
}
else
{
ret = new AdjRateDatum(1, 1, 1);
}
_prevValue = curValue;
return ret;
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.KospiFuture);
DOHLC dohlc = md.GetData(targetDate);
double curValue = dohlc.OHLC.Close;
AdjRateDatum ret = null;
if (_prevValue > 0)
{
// 평균 변동성을 구한다.
double increment = (curValue - _prevValue) / _prevValue;
_ma.Add(increment);
double avgIncrement = _ma.GetCurMA();
int level = (int)(avgIncrement * 100);
double kospiFactor = 1.3 - 0.1 * level;
ret = new AdjRateDatum(kospiFactor * _weight, 1, 1);
}
else
{
ret = new AdjRateDatum(1, 1, 1);
}
_prevValue = curValue;
return ret;
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
LogRow row = new LogRow();
row.CurDate = targetDate;
row.PrevAreaNumber = _prevAreaNumber;
row.PrevUpDown = _prevUpDown;
MarketData md = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = md.GetData(targetDate);
_ma.Add(dohlc.OHLC.Close);
double ma = _ma.GetCurMA();
int areaNumber = GetAreaNumber(ma);
double kospiWeight = GetKospiWeight(areaNumber, row);
_logs.Add(row);
if (targetDate > new DateTime(2007, 6, 1))
{
kospiWeight = MathUtil.CapAndFloor(kospiWeight);
return new AdjRateDatum(kospiWeight, 1, 1);
}
else
{
_prevUpDown = UpDown.Unknown;
}
return new AdjRateDatum(1, 1, 1);
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
AdjRateDatum adj = new AdjRateDatum(1, 1, 1);
if (targetDate > new DateTime(2007, 6, 1))
{
DateTime twoTradingDaysAgo = DataUtil.GetPivotTradingDate(-2, targetDate, data.PivotData);
MarketData mdCreditDepositRate = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = mdCreditDepositRate.GetData(twoTradingDaysAgo);
double rate = dohlc.OHLC.Close;
double kospiAdjustment = GetKospiAdjustment(rate);
kospiAdjustment = MathUtil.CapAndFloor(kospiAdjustment);
adj = new AdjRateDatum(kospiAdjustment, 1, 1);
}
return adj;
}
AdjRateDatum CalculateAssetWeight_Raw(DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC dohlc = md.GetData(targetDate);
double cur = dohlc.OHLC.Close;
const double kMax = 1800;
const double kMin = 900;
double rate = (kMax - cur) / (kMax - kMin);
rate = Math.Max(0, rate);
rate = Math.Min(1, rate);
rate = 0.5 + rate;
rate *= _weight;
rate = MathUtil.CapAndFloor(rate);
return new AdjRateDatum(1, 1, rate);
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
if (targetDate < new DateTime(2007, 6, 1))
{
return new AdjRateDatum(1, 1, 1);
}
MarketData md = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = md.GetData(targetDate);
_ma.Add(dohlc.OHLC.Close);
double ma = _ma.GetCurMA();
int areaNumber = GetAreaNumber(ma);
_switch.Update(areaNumber);
int investmentArea = _switch.InvestmentArea;
double kospiWeight = GetKospiWeight(investmentArea);
kospiWeight = MathUtil.CapAndFloor(kospiWeight);
return new AdjRateDatum(kospiWeight, 1, 1);
}
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;
}
void SetPositionInfo(DateTime curDate, MarketDataSet data, RowInfo row)
{
MarketData mdKospiSpot = data.GetData(MarketDataSetKey.KospiSpot);
MarketData mdKtbSpot = data.GetData(MarketDataSetKey.KtbSpot);
MarketData mdDollarSpot = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC kospiSpot = mdKospiSpot.GetData(curDate);
DOHLC ktbSpot = mdKtbSpot.GetData(curDate);
DOHLC dollarSpot = mdDollarSpot.GetData(curDate);
double kospiSpotPos = (kospiSpot.OHLC.Close - _kospiSpotMinRange) /
(_kospiSpotMaxRange - _kospiSpotMinRange);
double ktbSpotPos = (_ktbSpotMaxRange - ktbSpot.OHLC.Close) /
(_ktbSpotMaxRange - _ktbSpotMinRange);
double dollarSpotPos = (dollarSpot.OHLC.Close - _dollarSpotMinRange) /
(_dollarSpotMaxRange - _dollarSpotMinRange);
if (bRateRange)
{
kospiSpotPos = (kospiSpot.OHLC.Close / _maKospiSpot.GetCurMA());
//dollarSpotPos = (dollarSpot.OHLC.Close / _maDollarSpot.GetCurMA());
}
row.KospiSpotPosition = kospiSpotPos;
row.KtbSpotPosition = ktbSpotPos;
row.DollarSpotPosition = dollarSpotPos;
}
RowInfo GetCurRowWithBasicInfo(DateTime curDate, MarketDataSet data)
{
MarketData mdKospiFuture = data.GetData(MarketDataSetKey.KospiFuture);
MarketData mdKtbFuture = data.GetData(MarketDataSetKey.KtbFuture);
MarketData mdDollarFuture = data.GetData(MarketDataSetKey.DollarFuture);
MarketData mdKospiSpot = data.GetData(MarketDataSetKey.KospiSpot);
MarketData mdKtbSpot = data.GetData(MarketDataSetKey.KtbSpot);
MarketData mdDollarSpot = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC kospiFuture = mdKospiFuture.GetData(curDate);
DOHLC ktbFuture = mdKtbFuture.GetData(curDate);
DOHLC dollarFuture = mdDollarFuture.GetData(curDate);
DOHLC kospiSpot = mdKospiSpot.GetData(curDate);
DOHLC ktbSpot = mdKtbSpot.GetData(curDate);
DOHLC dollarSpot = mdDollarSpot.GetData(curDate);
RowInfo row = new RowInfo();
row.CurDate = curDate;
row.KospiFuturePrice = kospiFuture.OHLC.Close;
row.KtbFuturePrice = ktbFuture.OHLC.Close;
row.DollarFuturePrice = dollarFuture.OHLC.Close;
row.KospiSpotPrice = kospiSpot.OHLC.Close;
row.KtbSpotPrice = ktbSpot.OHLC.Close;
row.DollarSpotPrice = dollarSpot.OHLC.Close;
return row;
}
void LoadISMEqAdjs(MarketDataSet dataSet)
{
MarketData md = dataSet.GetData(MarketDataSetKey.CycleLeadingIndex);
_ismAdjDic = new Dictionary<DateTime, double>();
long totalCount = md.GetTotalCount();
for (int i = 0; i < totalCount; i++)
{
DOHLC dohlc = md.GetByIndex(i);
DateTime curDate = dohlc.CurDate;
double curValue = dohlc.OHLC.Close;
double curAdj = CalculateISMAdjValue(curValue, kMaxValue, kMinValue);
curAdj = GetSwitchUpDownAdjValue(curAdj);
_ismAdjDic.Add(curDate, curAdj);
}
}
void LoadRealIrAdjs(MarketDataSet dataSet)
{
MarketData mdPivot =
DataUtil.GetKeyMarketData(MarketDataSetKey.KospiFuture, _startDate, _endDate);
MarketData mdCPI = dataSet.GetData(MarketDataSetKey.ConsumerPriceIndex);
MarketData mdKtbR = dataSet.GetData(MarketDataSetKey.KtbSpot);
_RealIrAdjDic = new Dictionary<DateTime, double>();
double prevCpiValue = 0;
long totalCount = mdKtbR.GetTotalCount();
for (int i = 0; i < totalCount; i++)
{
DOHLC dohlcKtbR = mdKtbR.GetByIndex(i);
DateTime curDate = dohlcKtbR.CurDate;
double curKtbRValue = dohlcKtbR.OHLC.Close;
double cpiValue = 0;
// CPI 매달 1일 발표 -> 당월에는 전월 말일자 데이터를 이용할 수 있다.
DateTime availableCpiDate = curDate.AddDays(1 - 1 * curDate.Day); //당월 1일
availableCpiDate = availableCpiDate.AddDays(-1); //전월 말일
availableCpiDate = DataUtil.GetLastTradingDay(mdPivot, availableCpiDate); // 월말이 주말인 경우 마지막 금요일로 변환
if (mdCPI.IsExistDate(availableCpiDate))
{
cpiValue = mdCPI.GetData(availableCpiDate).OHLC.Close;
prevCpiValue = cpiValue;
}
else
{
cpiValue = prevCpiValue;
}
double realIrValue = curKtbRValue - cpiValue;
double curAdj = CalculateRealIrAdjValue(realIrValue, kMaxValue, kMinValue);
curAdj = GetSwitchUpDownAdjValue(curAdj);
_RealIrAdjDic.Add(curDate, curAdj);
}
}
Tuple<double, double, double, double> GetDailyPnL(
AssetRateDatum aw, DateTime prevDate, DateTime curDate, long notional, MarketDataSet marketDataSet)
{
MarketData mdKospi = marketDataSet.GetData(MarketDataSetKey.KospiFuture);
MarketData mdBond = marketDataSet.GetData(MarketDataSetKey.KtbFuture);
MarketData mdDollar = marketDataSet.GetData(MarketDataSetKey.DollarFuture);
double kospiUpDoweRate = GetUpDownRate(mdKospi, prevDate, curDate);
double bondUpDoweRate = GetUpDownRate(mdBond, prevDate, curDate);
double dollarUpDoweRate = GetUpDownRate(mdDollar, prevDate, curDate);
double kospiPnL = aw.KospiRate * notional * kospiUpDoweRate;
double bondPnL = aw.KtbRate * notional * bondUpDoweRate;
double dollarPnL = aw.DollarRate * notional * dollarUpDoweRate;
double sum = kospiPnL + bondPnL + dollarPnL;
return new Tuple<double, double, double, double>(sum, kospiPnL, bondPnL, dollarPnL);
}
void LoadDeltaVolAdjRates(MarketDataSet mdSet)
{
MarketData kosipMarketData = mdSet.GetData(MarketDataSetKey.KospiFuture);
MarketData ktbMarketData = mdSet.GetData(MarketDataSetKey.KtbFuture);
MarketData dollarMargetData = mdSet.GetData(MarketDataSetKey.DollarFuture);
_kospiFutureWeight = GetDeltaVolAdjRates(MarketDataSetKey.KospiFuture, kosipMarketData);
_ktbFutureWeight = GetDeltaVolAdjRates(MarketDataSetKey.KtbFuture, ktbMarketData);
//_dollarFutreWeight = GetDeltaVolAdjRates(MarketDataSetKey.DollarFuture, dollarMargetData);
}
void SetPositionInfo(DateTime curDate, MarketDataSet data, RowInfo row)
{
MarketData mdKospiSpot = data.GetData(MarketDataSetKey.KospiSpot);
MarketData mdKtbSpot = data.GetData(MarketDataSetKey.KtbSpot);
MarketData mdDollarSpot = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC kospiSpot = mdKospiSpot.GetData(curDate);
DOHLC ktbSpot = mdKtbSpot.GetData(curDate);
DOHLC dollarSpot = mdDollarSpot.GetData(curDate);
double kospiSpotPos = (kospiSpot.OHLC.Close - MagicNumber.KOSPI_SPOT_MIN_RANGE) /
(MagicNumber.KOSPI_SPOT_MAX_RANGE - MagicNumber.KOSPI_SPOT_MIN_RANGE);
double ktbSpotPos = (MagicNumber.KTB_SPOT_MAX_RANGE - ktbSpot.OHLC.Close) /
(MagicNumber.KTB_SPOT_MAX_RANGE - MagicNumber.KTB_SPOT_MIN_RANGE);
double dollarSpotPos = (dollarSpot.OHLC.Close - MagicNumber.DOLLAR_SPOT_MIN_RANGE) /
(MagicNumber.DOLLAR_SPOT_MAX_RANGE - MagicNumber.DOLLAR_SPOT_MIN_RANGE);
row.KospiSpotPosition = kospiSpotPos;
row.KtbSpotPosition = ktbSpotPos;
row.DollarSpotPosition = dollarSpotPos;
}
