private void setting()
{
#region GBM
GBMParameter gbm_kospi200 = new GBMParameter() { Name_ = "KOSPI200", Initial_ = 260, Drift_ = 0.015, Vol_ = 0.14 };
GBMParameter gbm1 = new GBMParameter() { Name_ = "Test_Index_1", Initial_ = 1000, Drift_ = 0.025, Vol_ = 0.3 };
GBMParameter gbm2 = new GBMParameter() { Name_ = "Test_Index_2", Initial_ = 250, Drift_ = 0.01, Vol_ = 0.15 };
GBMParameter gbm3 = new GBMParameter() { Name_ = "Test_Stock_1", Initial_ = 50000, Drift_ = 0.02, Vol_ = 0.4 };
GBMParameter gbm4 = new GBMParameter() { Name_ = "Test_Stock_2", Initial_ = 1000000, Drift_ = 0.025, Vol_ = 0.2 };
this.sampleIndex_.Add(gbm_kospi200);
this.sampleIndex_.Add(gbm1);
this.sampleIndex_.Add(gbm2);
this.sampleIndex_.Add(gbm3);
this.sampleIndex_.Add(gbm4);
#endregion
#region Vasicek
VasicekParameter vas1 = new VasicekParameter() { Name_ = "Test_IR_1", Initial_ = 0.01, LongTermRate_ = 0.03, Speed_ = 0.1, Vol_ = 0.01 };
VasicekParameter vas2 = new VasicekParameter() { Name_ = "Test_IR_2", Initial_ = 0.02, LongTermRate_ = 0.03, Speed_ = 0.15, Vol_ = 0.015 };
VasicekParameter vas3 = new VasicekParameter() { Name_ = "Test_VOL_1", Initial_ = 0.03, LongTermRate_ = 0.05, Speed_ = 0.2, Vol_ = 0.02 };
VasicekParameter vas4 = new VasicekParameter() { Name_ = "Test_VOL_2", Initial_ = 0.04, LongTermRate_ = 0.05, Speed_ = 0.25, Vol_ = 0.025 };
this.sampleIR_.Add(vas1);
this.sampleIR_.Add(vas2);
this.sampleIR_.Add(vas3);
this.sampleIR_.Add(vas4);
#endregion
#region Curve
List<string> baseTenor = new List<string>() {"1M","3M","6M","1Y","2Y","3Y","4Y","5Y","7Y","10Y","20Y"};
List<double> initialCurve = new List<double>() {0.02,0.021,0.022,0.023,0.024,0.025,0.026,0.027,0.028,0.029,0.030};
CurveDefInfo cdi1 = new CurveDefInfo() { InitialCurve_ = initialCurve,
Name_ = "IRSKRW",
Tenor_ = baseTenor };
this.sampleCurve_.Add(cdi1);
#endregion
}
public void curveData(CurveDefInfo curveDefInfo,
CurveShift curveShift,
DateTime preDate,
DateTime nextDate)
{
clsHDAT_CURVEDATA_TB clstb = new clsHDAT_CURVEDATA_TB();
//clstb.CURVE_CD = curveDefInfo.Name_;
//DataTable tb = clstb.Select();
int seq = 1;
clstb.REF_DT = nextDate.ToString("yyyyMMdd");
clstb.CURVE_CD = curveDefInfo.Name_;
for (int i = 0; i < curveDefInfo.Tenor_.Count; i++)
{
clstb.TENOR = curveDefInfo.Tenor_[i];
clstb.TENOR_SEQ = seq;
clstb.RATE = curveDefInfo.InitialCurve_[i];
clstb.RATE_TYP = (int)clsHDAT_CURVEDATA_TB.RATE_TYP_Type.SWAP;
seq += 1;
clstb.Insert();
}
}
