public string set_discountCurve(string currency, YieldTermStructure discountCurve)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
int count = e_sspvm.Excel_discountCurve_paraViewModel_.hasCurrencysYieldCurve(currency);
discountCurve.Excel_yieldCurveViewModel_.Currency_ = currency;
if (count == -1)
{
e_sspvm.Excel_discountCurve_paraViewModel_.Excel_yieldCurveViewModel_
.Add(discountCurve.Excel_yieldCurveViewModel_);
}
else
{
e_sspvm.Excel_discountCurve_paraViewModel_.Excel_yieldCurveViewModel_[count]
= discountCurve.Excel_yieldCurveViewModel_;
}
return("set discountCurve complete : " + currency);
}
catch (Exception e)
{
string errStr = "set fail: " + e.Message;
return(errStr);
}
}
public string set_correlation(string first, string second, double corr)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
//if (first == second)
// throw new Exception("underlying code is same");
if (!e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.hasUnderlying(first))
{
throw new Exception("underlying code doesn't exist : " + first);
}
if (!e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.hasUnderlying(second))
{
throw new Exception("underlying code doesn't exist : " + second);
}
if (corr > 1.0 || corr < -1.0)
{
throw new Exception("corr must be contained in [ -1.0 , 1.0 ] : " + corr);
}
e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_correlationInfo_paraViewModel_.
setCorrelation(first, second, corr);
//Excel_correlation_paraViewModel e_corrvm = new Excel_correlation_paraViewModel();
//e_corrvm.First_ = first;
//e_corrvm.Second_ = second;
//e_corrvm.Value_ = corr.ToString();
//e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_correlationInfo_paraViewModel_.Excel_correlation_paraViewModel_.Add(e_corrvm);
//Excel_correlation_paraViewModel e_corrvm_converse = new Excel_correlation_paraViewModel();
//e_corrvm_converse.First_ = second;
//e_corrvm_converse.Second_ = first;
//e_corrvm_converse.Value_ = corr.ToString();
//e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_correlationInfo_paraViewModel_.Excel_correlation_paraViewModel_.Add(e_corrvm_converse);
return("set corr complete : " + first + " , " + second + " : " + corr);
}
catch (Exception e)
{
string errStr = "set fail: " + e.Message;
return(errStr);
}
}
public string set_hullWhiteModel(string underCode, double currentValue, double alpha, double sigma, YieldTermStructure fittingCurve)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
// under 에서 tenor를 가져옴
string tenor = "3M"; // defaultrrrr
bool setFlag = false;
Excel_hullWhiteOneFactorViewModel e_hwvm = new Excel_hullWhiteOneFactorViewModel();
foreach (var item in e_sspvm.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;
}
}
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);
}
}
public int get_correlationNum()
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
int count = e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_correlationInfo_paraViewModel_.Excel_correlation_paraViewModel_.Count;
return(count);
}
catch (Exception)
{
return(0);
}
}
public string get_correlationInfo(int corrCount, InfoType infoType)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
string vba_desc = e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_correlationInfo_paraViewModel_.Excel_correlation_paraViewModel_[corrCount].vba_desciption();
return(this.infoParsing(vba_desc, infoType));
}
catch (Exception e)
{
return("not implemented : " + e.Message);
}
}
private void addUnderlying(string underCodes)
{
string[] underCodeList = underCodes.Split(',', '|');
foreach (var item2 in underCodeList)
{
bool existFlag = false;
// ir part A
foreach (var item in this.swapInterfaceVM_.Excel_swapLegViewModel_[0].getExcel_underlyingCalcInfoViewModel().Excel_underlyingInfoViewModel_)
{
if (item2.Trim().ToUpper() == item.KrCode_.ToUpper())
{
existFlag = true;
}
}
// hifive part B
foreach (var item in this.swapInterfaceVM_.Excel_swapLegViewModel_[1].getExcel_underlyingCalcInfoViewModel().Excel_underlyingInfoViewModel_)
{
if (item2.Trim().ToUpper() == item.KrCode_.ToUpper())
{
existFlag = true;
}
}
if (!existFlag)
{
Excel_underlyingInfoViewModel e_uivm = Excel_loaderViewModel.loadUnderInfoWithoutBasePrice(item2);
this.InstVM_.Excel_interfaceViewModel_.Excel_underlyingCalcInfoViewModel_.
Excel_underlyingInfoViewModel_.Add(e_uivm);
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
Excel_underlyingInfo_paraViewModel e_ui_pvm = new Excel_underlyingInfo_paraViewModel();
e_ui_pvm.buildParaSetting(e_uivm);
e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_.Add(e_ui_pvm);
e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_correlationInfo_paraViewModel_.addDiagonal(e_ui_pvm);
}
}
return;
}
public string set_forwardModel(string underCode, double currentValue, string tenor, YieldTermStructure fittingCurve)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
// under 에서 tenor를 가져옴
//string tenor = "3M"; // defaultrrrr
if (e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_.Count == 0)
{
throw new Exception("underlying parameter is empty");
}
bool findFlag = false;
foreach (var item in e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_)
//foreach (var item in InstVM_.Excel_interfaceViewModel_.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_)
{
if (underCode.ToUpper() == item.KrCode_.ToUpper())
{
Excel_forwardModelViewModel e_fmvm = new Excel_forwardModelViewModel();
e_fmvm.CurrentValue_ = currentValue.ToString();
e_fmvm.Tenor_ = tenor;
e_fmvm.Excel_yieldCurveViewModel_ = fittingCurve.Excel_yieldCurveViewModel_;
item.Excel_underlyingModel_paraViewModel_ = e_fmvm;
findFlag = true;
}
}
if (!findFlag)
{
throw new Exception(underCode + " does not exist");
}
return("load complete");
}
catch (Exception e)
{
return("load fail : " + e.Message);
}
}
public string set_gbmModel(string underCode, double currentValue, double drift, double dividend, double constVol)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
bool setFlag = false;
foreach (var item in e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_)
//foreach (var item in InstVM_.Excel_interfaceViewModel_.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_)
{
if (underCode.ToUpper() == item.KrCode_.ToUpper())
{
Excel_geometricBMViewModel e_gbmvm = new Excel_geometricBMViewModel();
e_gbmvm.CurrentValue_ = currentValue.ToString();
e_gbmvm.Drift_ = drift.ToString();
e_gbmvm.Dividend_ = dividend.ToString();
e_gbmvm.Volatility_ = constVol.ToString();
item.Excel_underlyingModel_paraViewModel_ = e_gbmvm;
}
}
if (!setFlag)
{
throw new Exception(underCode + " doesn't exist");
}
return("set gbm_model complete : " + underCode);
}
catch (Exception e)
{
string errStr = "set fail: " + e.Message;
return(errStr);
}
}
public string set_hifiveLeg(SwapSide swapSide, Instrument_hifive inst_hifive)
{
try
{
Excel_hifiveSwapLegViewModel e_hifiveSwapLegVM = new Excel_hifiveSwapLegViewModel();
e_hifiveSwapLegVM.Excel_hifiveViewModel_ = inst_hifive.InstVM_.Excel_interfaceViewModel_ as Excel_hifiveViewModel;
this.swapInterfaceVM_.Excel_swapLegViewModel_[1] = e_hifiveSwapLegVM;
// para under add part
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
foreach (var item in inst_hifive.InstVM_.Excel_interfaceViewModel_.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_)
{
this.addUnderlying(item.KrCode_);
}
return("OK");
}
catch (Exception e)
{
return("set fail : " + e.Message);
}
}
