public override QLNet.CashFlow build_ql_cf(FP_Parameter fp_parameter)
{
double notional = this.DAO_.NOTIONAL;
QLNet.Date paymentDate = this.PaymentDate_;
string index_cd = this.DAO_.FIXING_INDEX_CD;
QLNet.DayCounter dayCounter = new QLNet.Actual365Fixed();
QLNet.YieldTermStructure ql_yield_ts = fp_parameter.getEvaluationCurve(index_cd);
QLNet.Date accrualStartDate = this.CalculationStartDate_;
QLNet.Date accrualEndDate = this.CalculationEndDate_;
double forwardRate = 0.0;
DateTime fixingDate = ConvertingTool.ToDateTime(this.DAO_.FIXING_DT);
if (fp_parameter.CalcDate_ >= fixingDate)
{
if (this.DAO_.FIXED_FIXING_CALCLATED
== (int)clsMAST_CF_VANILLA_FLOATING_TB.FIXED_FIXING_CALCLATED_Type.NOT_FIXED)
{
this.fixing_calulate(fp_parameter.CalcDate_);
}
// 계산함.
forwardRate = this.DAO_.FIXED_FIXING;
}
else
{
forwardRate = ql_yield_ts.forwardRate(accrualStartDate,
accrualEndDate,
dayCounter,
QLNet.Compounding.Compounded).rate();
}
QLNet.CashFlow ql_cf
= new QLNet.FixedRateCoupon(
notional,
paymentDate,
forwardRate,
dayCounter,
accrualStartDate,
accrualEndDate);
return ql_cf;
}
public QLNet.YieldTermStructure yieldTSBuild()
{
//QLNet.YieldTermStructure ts = new QLNet.YieldTermStructure();
List <QLNet.Date> dates = new List <QLNet.Date>();
List <double> yields = new List <double>();
//ProgramVariable.ReferenceDate_.AddMonths();
foreach (var item in this.Tenor_)
{
int len = item.Length;
string periodMultiplier = item.Substring(0, len - 1);
string period = item.Substring(len - 1, 1);
if (periodMultiplier == "D")
{
int addDays = Convert.ToInt32(period);
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (periodMultiplier == "M")
{
int addMonths = Convert.ToInt32(period);
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + item);
}
}
foreach (var item in this.Data_)
{
yields.Add(Convert.ToDouble(item));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve <QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve <QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return(curve);
}
// ql_net calculation interface
public override QLNet.CashFlow build_ql_cf(FP_Parameter fp_parameter)
{
double notional = this.DAO_.NOTIONAL;
QLNet.Date paymentDate = this.PaymentDate_;
double rate = this.DAO_.FIXED_RATE;
QLNet.DayCounter dayCounter = new QLNet.Actual365Fixed();
QLNet.Date accrualStartDate = this.CalculationStartDate_;
QLNet.Date accrualEndDate = this.CalculationEndDate_;
QLNet.CashFlow ql_cf
= new QLNet.FixedRateCoupon(
notional,
paymentDate,
rate,
dayCounter,
accrualStartDate,
accrualEndDate);
return ql_cf;
}
// TODO : Linear 말고 딴거는 또 구현해야함.
public QLNet.YieldTermStructure yieldCurve()
{
List <QLNet.Date> dates = new List <QLNet.Date>();
List <double> yields = new List <double>();
foreach (var item in this.excel_rateDataViewModel_)
{
string tenor = item.Tenor_;
int len = tenor.Length;
string periodMultiplier = tenor.Substring(0, len - 1);
string period = tenor.Substring(len - 1, 1);
if (period == "D")
{
int addDays = Convert.ToInt32(periodMultiplier);
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (period == "M")
{
int addMonths = Convert.ToInt32(periodMultiplier);
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + tenor);
}
yields.Add(Convert.ToDouble(item.Value_));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve <QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve <QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return(curve);
}
// TODO : Linear 말고 딴거는 또 구현해야함.
public QLNet.YieldTermStructure yieldCurve()
{
List<QLNet.Date> dates = new List<QLNet.Date>();
List<double> yields = new List<double>();
foreach (var item in this.excel_rateDataViewModel_)
{
string tenor = item.Tenor_;
int len = tenor.Length;
string periodMultiplier = tenor.Substring(0, len - 1);
string period = tenor.Substring(len - 1, 1);
if (period == "D")
{
int addDays = Convert.ToInt32(periodMultiplier);
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (period == "M")
{
int addMonths = Convert.ToInt32(periodMultiplier);
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + tenor);
}
yields.Add(Convert.ToDouble(item.Value_));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve<QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve<QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return curve;
}
public QLNet.YieldTermStructure yieldTSBuild()
{
//QLNet.YieldTermStructure ts = new QLNet.YieldTermStructure();
List<QLNet.Date> dates = new List<QLNet.Date>();
List<double> yields = new List<double>();
//ProgramVariable.ReferenceDate_.AddMonths();
foreach (var item in this.Tenor_)
{
int len = item.Length;
string periodMultiplier = item.Substring(0, len - 1);
string period = item.Substring(len - 1, 1);
if (periodMultiplier == "D")
{
int addDays = Convert.ToInt32(period);
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (periodMultiplier == "M")
{
int addMonths = Convert.ToInt32(period);
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + item);
}
}
foreach (var item in this.Data_)
{
yields.Add(Convert.ToDouble(item));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve<QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve<QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return curve;
}
