public override void buildFromLegInfo(DateTime referenceDate, int payRec)
{
//int maturityYear = ConvertingTool.TenorMuliplier(this.LegDAO_.);
int legTenorMonth = ConvertingTool.TenorMuliplier(this.LegDAO_.LEG_TENOR);
//int cashflowCount = maturityYear * (12 / legTenorMonth);
this.FP_CashFlowList_.Clear();
DateTime roopDate = ConvertingTool.ToDateTime(this.LegDAO_.EFFECTIVE_DT);
DateTime matutiryDate = ConvertingTool.ToDateTime(this.LegDAO_.MATURITY_DT);
DateTime nextDate = roopDate.AddMonths(legTenorMonth);
CalendarManager cm = new CalendarManager(referenceDate, CalendarManager.CountryType.SOUTH_KOREA);
while (nextDate <= matutiryDate)
{
FP_FloatingRateCoupon fp_cashFlow = new FP_FloatingRateCoupon();
fp_cashFlow.DAO_ = new clsMAST_CF_VANILLA_FLOATING_TB();
fp_cashFlow.DAO_.LEG_ID = this.LegDAO_.INSTRUMENT_ID;
fp_cashFlow.DAO_.LEG_TYP = 0;
fp_cashFlow.DAO_.NOTIONAL = this.LegDAO_.NOTIONAL;
fp_cashFlow.DAO_.PAY_RECEIVE = payRec;
fp_cashFlow.DAO_.CALC_START_DT = roopDate.ToString("yyyyMMdd");
fp_cashFlow.DAO_.CALC_END_DT = nextDate.ToString("yyyyMMdd");
fp_cashFlow.DAO_.PAYMENT_DT = cm.adjust(nextDate).ToString("yyyyMMdd");
fp_cashFlow.DAO_.CASHFLOW_DT = nextDate.ToString("yyyyMMdd");
fp_cashFlow.DAO_.FIXING_DT = cm.adjust(roopDate).ToString("yyyyMMdd");
// 우선 DEFAULT로 박고, FIXING은 차후 데일리로 계산함.
fp_cashFlow.DAO_.FIXING_INDEX_CD = this.LegDAO_.FIXING_INDEX_CD;
fp_cashFlow.DAO_.GREARING = this.LegDAO_.GREARING;
fp_cashFlow.DAO_.SPREAD = this.LegDAO_.SPREAD;
fp_cashFlow.DAO_.FIXED_FIXING = 0.0;
fp_cashFlow.DAO_.FIXED_FIXING_CALCLATED
= (int)clsMAST_CF_VANILLA_FLOATING_TB.FIXED_FIXING_CALCLATED_Type.NOT_FIXED;
this.FP_CashFlowList_.Add(fp_cashFlow);
roopDate = roopDate.AddMonths(legTenorMonth);
nextDate = roopDate.AddMonths(legTenorMonth);
}
}
static void Main(string[] args)
{
//QuantLib.MonotonicCubic m = new QuantLib.MonotonicCubic();
//string result = string.Empty;
//for (int i = 0; i < 10000; i++)
//{
// result = IDGenerator.getLetter(i, 4);
// Console.WriteLine(i + " : " + result + " : " + IDGenerator.getIndex(result) );
//}
CalendarManager cm = new CalendarManager(DateTime.Now, CalendarManager.CountryType.SOUTH_KOREA);
for (int i = 2015; i < 2020; i++)
{
for (int j = 1; j < 13; j++)
{
Console.WriteLine(CalendarManager.monthlyOptionMaturiry(i, j, DayOfWeek.Thursday, 2).ToString("yyyyMMdd"));
}
}
//HedgeTest ht = new HedgeTest();
//ht.doTest2();
// 로드 yield curve
// master 도 로드
// market data 로드 ( ir curve : index curve , discount curve )
// irs master info 로드 ( notional cashflow 등 )
//QuantLib.Swap ql_swap = new Swap();
}
public override void buildFromLegInfo(DateTime referenceDate,int payRec)
{
//int maturityYear = ConvertingTool.TenorMuliplier(this.LegDAO_.);
int legTenorMonth = ConvertingTool.TenorMuliplier(this.LegDAO_.LEG_TENOR);
//int cashflowCount = maturityYear * (12 / legTenorMonth);
this.FP_CashFlowList_.Clear();
DateTime roopDate = ConvertingTool.ToDateTime(this.LegDAO_.EFFECTIVE_DT);
DateTime matutiryDate = ConvertingTool.ToDateTime(this.LegDAO_.MATURITY_DT);
DateTime nextDate = roopDate.AddMonths(legTenorMonth);
CalendarManager cm = new CalendarManager(referenceDate,CalendarManager.CountryType.SOUTH_KOREA);
while (nextDate <= matutiryDate )
{
FP_FixedRateCoupon fp_cashFlow = new FP_FixedRateCoupon();
fp_cashFlow.DAO_ = new clsMAST_CF_FIXED_TB();
fp_cashFlow.DAO_.LEG_ID = this.LegDAO_.INSTRUMENT_ID;
fp_cashFlow.DAO_.LEG_TYP = 0;
fp_cashFlow.DAO_.PAY_RECEIVE = payRec;
fp_cashFlow.DAO_.NOTIONAL = this.LegDAO_.NOTIONAL;
fp_cashFlow.DAO_.CALC_START_DT = roopDate.ToString("yyyyMMdd"); ;
fp_cashFlow.DAO_.CALC_END_DT = nextDate.ToString("yyyyMMdd");
fp_cashFlow.DAO_.PAYMENT_DT = cm.adjust(nextDate).ToString("yyyyMMdd");
fp_cashFlow.DAO_.CASHFLOW_DT = fp_cashFlow.DAO_.PAYMENT_DT;
fp_cashFlow.DAO_.FIXED_RATE = this.LegDAO_.FIXED_RATE;
this.FP_CashFlowList_.Add(fp_cashFlow);
roopDate = roopDate.AddMonths(legTenorMonth);
nextDate = roopDate.AddMonths(legTenorMonth);
}
}
// 기존거 있으면 지움. 초기화임.
public void build_position()
{
// 전일자 position date ?
CalendarManager calendarM = new CalendarManager(this.ReferenceDate_, CalendarManager.CountryType.SOUTH_KOREA);
DateTime preDate = calendarM.preBusinessDay(this.ReferenceDate_);
clsHITM_FP_POSITION_TB clstb_position = new clsHITM_FP_POSITION_TB();
clstb_position.POSITION_DT = this.ReferenceDate_.ToString("yyyyMMdd");
clstb_position.DeleteDate();
this.build_cashMaster();
// ------------------------------------------------------------------------
clsMAST_FP_INSTRUMENT_TB clstb_mast = new clsMAST_FP_INSTRUMENT_TB();
DataTable dt = clstb_mast.Select();
List<Financial_instrument> fi_list = new List<Financial_instrument>();
// master 의 list 내에서 position을 만들음. // bookdate ? 감안해서 만듬?
foreach (DataRow dr in dt.Select())
{
clsMAST_FP_INSTRUMENT_TB tb = clsMAST_FP_INSTRUMENT_TB.Create(dr);
Financial_instrument fi = Financial_instrument.CreateInstrument(tb);
fi_list.Add(fi);
}
foreach (Financial_instrument fi in fi_list)
{
// trading 할때에 같은 날짜는 나중에 더해서 만들어짐
if (ConvertingTool.ToDateTime(fi.baseDAO_.BOOKED_DT).Date < this.ReferenceDate_.Date)
{
fi.build_position(preDate, this.ReferenceDate_);
}
}
}
private void _buildRefDatePosition()
{
// if 이미 set이 되면 안함
clsHITM_FP_POSITION_TB clstb = new clsHITM_FP_POSITION_TB();
clstb.POSITION_DT = this.refDate_.ToString("yyyyMMdd");
if ( clstb.Select().Rows.Count == 0 )
{
CalendarManager cm = new CalendarManager(this.refDate_, CalendarManager.CountryType.SOUTH_KOREA);
DateTime roopDate = this.refDate_.AddDays(-1.0);
while (!cm.isHoliday(roopDate))
{
roopDate = roopDate.AddDays(-1.0);
}
this.HedgeTradingViewModel_.FinanceBook_.makePositionFromPreDate(roopDate,this.refDate_);
}
}
public QLNet.YieldTermStructure yieldCurve(CurveShift curveShift = null)
{
if (curveShift == null)
curveShift = new ParallelCurveShift(0.0);
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
List<Handle<Quote>> quotes = new List<Handle<Quote>>();
List<double> datas = new List<double>();
List<Date> dates = new List<Date>();
CalendarManager cm = new CalendarManager(this.ReferenceDate_, CalendarManager.CountryType.SOUTH_KOREA);
foreach (clsHDAT_CURVEDATA_TB tb in this.ResultCuveData_)
{
DateTime dt = cm.adjust(this.ReferenceDate_,tb.TENOR);
double? rate = tb.RATE + curveShift.shift(dt);
dates.Add(dt);
SimpleQuote quote = new SimpleQuote(rate);
Handle<Quote> handleQuote = new Handle<Quote>(quote);
quotes.Add(handleQuote);
datas.Add(rate.Value);
}
InterpolatedZeroCurve<ConvexMonotone>
yiels_ts = new InterpolatedZeroCurve<ConvexMonotone>(
this.ReferenceDate_,
dates,
datas,
dc,
new ConvexMonotone(),
Compounding.Compounded,
Frequency.Annual);
return yiels_ts;
}
// code parsing or 어쩌구.
public static Kospi200Index_futures CreateKOSPI200F(DateTime tradeDate,
string krxCode,
int quantity,
double tradeIndex)
{
// 장내 이므로 불러옴.
clsTRADABLE_KRX_INDEXFUTURES_TB clstb = new clsTRADABLE_KRX_INDEXFUTURES_TB();
clstb.INST_KRX_CD = krxCode;
clstb.SelectOwn();
Kospi200Index_futures inst = new Kospi200Index_futures();
string inst_ID = IDGenerator.getNewInstrumentID(inst.InstrumentType_, tradeDate, inst);
inst.baseDAO_.INSTRUMENT_ID = inst_ID;
inst.baseDAO_.INSTRUMENT_NM = clstb.INST_NM;
//inst.baseDAO_.FP_MASTER_TYP = Convert.ToInt32(inst.InstrumentType_); // 아직 구분 못했음. 우선 그냥 instType으로 넣음.
inst.baseDAO_.FP_MASTER_TYP = IDGenerator.KRXCodetoFP_MASTER_TYP(krxCode);
inst.baseDAO_.NOTIONAL = Convert.ToDouble(clstb.INDEX_MULTIPLIER);
inst.baseDAO_.PRICE = tradeIndex;
inst.baseDAO_.QUANTITY = quantity;
inst.baseDAO_.CURR = "KRW";
inst.baseDAO_.FX_RATE = 1.0;
//inst.baseDAO_.NOTIONAL = Math.Abs(quantity * tradeIndex * clstb.INDEX_MULTIPLIER);
//inst.baseDAO_.CURR = "KRW";
//inst.baseDAO_.BUY_SELL = (quantity > 0) ? (int)clsMAST_FP_INSTRUMENT_TB.BUY_SELL_Type.Buy :
// (int)clsMAST_FP_INSTRUMENT_TB.BUY_SELL_Type.Sell ;
//inst.baseDAO_.QUANTITY = Math.Abs(quantity);
inst.baseDAO_.EFFECTIVE_DT = tradeDate.ToString("yyyyMMdd");
inst.baseDAO_.MATURITY_DT = clstb.MATURITY_DT;
inst.baseDAO_.BOOKED_DT = tradeDate.ToString("yyyyMMdd");
inst.baseDAO_.CLOSED_DT = "20991231";
inst.indexFuturesDAO_.INSTRUMENT_ID = inst_ID;
inst.indexFuturesDAO_.INSTRUMENT_TYP = Convert.ToInt32(inst.InstrumentType_); // 내부 타입인데..
inst.indexFuturesDAO_.NOTIONAL = Math.Abs(quantity * tradeIndex * clstb.INDEX_MULTIPLIER);
inst.indexFuturesDAO_.QUANTITY = quantity;
inst.indexFuturesDAO_.INDEX_MULTIPLIER = clstb.INDEX_MULTIPLIER;
inst.indexFuturesDAO_.UNDERLYING_INDEX_CD = clstb.UNDERLYING_CD;
inst.indexFuturesDAO_.CURR = "KRW";
inst.indexFuturesDAO_.EFFECTIVE_DT = tradeDate.ToString("yyyyMMdd");
inst.indexFuturesDAO_.MATURITY_DT = clstb.MATURITY_DT;
CalendarManager cm = new CalendarManager(tradeDate, CalendarManager.CountryType.SOUTH_KOREA);
// CF
FP_SimpleCashFlow fp_simple = new FP_SimpleCashFlow();
fp_simple.DAO_ = new clsMAST_CF_SIMPLE_TB();
DateTime maturityDate = ConvertingTool.ToDateTime(clstb.MATURITY_DT);
fp_simple.DAO_.LEG_ID = inst_ID;
fp_simple.DAO_.LEG_TYP = (int)clsMAST_SWAP_TB.LEG_TYP_Type.SIMPLE;
fp_simple.DAO_.NOTIONAL = inst.indexFuturesDAO_.NOTIONAL;
fp_simple.DAO_.AMOUNT = 0.0;
fp_simple.DAO_.CALC_START_DT = tradeDate.ToString("yyyyMMdd");
fp_simple.DAO_.CALC_END_DT = maturityDate.ToString("yyyyMMdd");
fp_simple.DAO_.CASHFLOW_DT = maturityDate.ToString("yyyyMMdd");
fp_simple.DAO_.PAY_RECEIVE = 1;
fp_simple.DAO_.PAYMENT_DT = fp_simple.DAO_.CASHFLOW_DT;
inst.FP_CashFlowList_.Add(fp_simple);
return inst;
}
public void calculatePL()
{
CalendarManager cm = new CalendarManager(this.ReferenceDateTime_, CalendarManager.CountryType.SOUTH_KOREA);
clsHITM_FP_GREEKRESULT_TB clstb_result = new clsHITM_FP_GREEKRESULT_TB();
clstb_result.CALC_DT = this.ReferenceDateTime_.ToString("yyyyMMdd");
clstb_result.INSTRUMENT_ID = this.DAO_.INSTRUMENT_ID;
clstb_result.SEQ = 1;
int checkNum = clstb_result.SelectOwn();
if (checkNum == 0) { throw new Exception("no exist"); }
double calcPrice = clstb_result.CALC_PRICE;
double quantity = this.DAO_.INSTRUMENT_QNT;
clsMAST_FP_INSTRUMENT_TB clstb_master = new clsMAST_FP_INSTRUMENT_TB();
//this.DAO_.ETC_PL = clstb_result.CALC_PRICE;
this.DAO_.EVAL_AMT = Math.Round( calcPrice );
this.DAO_.EVAL_PRICE = Math.Round( calcPrice / quantity );
this.DAO_.EVAL_ACCOUNT_PL = Math.Round( this.DAO_.EVAL_AMT - this.DAO_.ACCOUNT_AMT ); // - 평가금액 - 장부금액
//this.DAO_.TRADE_PROFIT = this.DAO_.TRADE_PROFIT + tradePosition.DAO_.TRADE_PROFIT; // 일별 매매수익
//this.DAO_.TRADE_LOSS = tradePosition.DAO_.TRADE_LOSS;
//this.DAO_.TRADE_TOTAL = tradePosition.DAO_.TRADE_TOTAL;
//this.DAO_.TRANSACTION_FEE = tradePosition.DAO_.TRANSACTION_FEE;
this.DAO_.ETC_PL = 0; // 데일리 기타 손익임.
this.DAO_.TOTAL_ACCOUNT_PL = Math.Round( this.DAO_.EVAL_ACCOUNT_PL + this.DAO_.TRADE_TOTAL + this.DAO_.TRANSACTION_FEE );
// 전일 포지션
DateTime preDate = cm.preBusinessDay(ConvertingTool.ToDateTime(this.ReferenceDateTime_.ToString("yyyyMMdd")));
clsHITM_FP_POSITION_TB clstb_position = new clsHITM_FP_POSITION_TB();
clstb_position.POSITION_DT = preDate.ToString("yyyyMMdd");
clstb_position.INSTRUMENT_ID = this.DAO_.INSTRUMENT_ID;
clstb_position.SelectOwn();
// 전일자꺼가 여기 박혀서 옴..? 중간에 trade했을때
this.DAO_.DAILY_EVAL_PL = Math.Round(this.DAO_.EVAL_AMT - clstb_position.EVAL_AMT ); // 전일 평가 - 당일 평가
this.DAO_.DAILY_TOTAL_PL = Math.Round( this.DAO_.TRADE_TOTAL + this.DAO_.ETC_PL + this.DAO_.DAILY_EVAL_PL );
// 여기서 부터 작업
this.calculatePL_impl();
if (this.DAO_.UpdateCalculatedPosition() == 0)
{ throw new Exception("update fail :" + this.DAO_.INSTRUMENT_ID + " " + this.DAO_.POSITION_DT); }
else if (this.DAO_.UpdateCalculatedPosition() > 1)
{ throw new Exception("too many updated :" + this.DAO_.INSTRUMENT_ID + " " + this.DAO_.POSITION_DT); }
else { }
}
public static VanillaIRS_instrument CreateTradableCode(string availableTradeCD,
bool fixedPayFlag,
double notional,
int quantity,
DateTime effective,
double fixedRate,
double spread)
{
clsTRADABLE_OTC_VANILLA_IRS_TB clstb = new clsTRADABLE_OTC_VANILLA_IRS_TB();
clstb.INST_CD = availableTradeCD;
int checkNum = clstb.SelectOwn();
if (checkNum == 0) { throw new Exception( availableTradeCD + " : is not tradable."); }
int maturityYear = ConvertingTool.TenorMuliplier(clstb.MATURITY_TENOR);
int legTenorMonth = ConvertingTool.TenorMuliplier(clstb.LEG_TENOR);
VanillaIRS_instrument inst = new VanillaIRS_instrument();
int cashflowCount = maturityYear * (12 / legTenorMonth);
// Master
string inst_ID = IDGenerator.getNewInstrumentID(inst.InstrumentType_, effective,inst);
inst.baseDAO_.INSTRUMENT_ID = inst_ID;
inst.baseDAO_.INSTRUMENT_NM = (fixedPayFlag) ? fixedRate + " Pay " + clstb.MATURITY_TENOR : fixedRate + " Receive " + clstb.MATURITY_TENOR;
inst.baseDAO_.FP_MASTER_TYP = (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaIRS;
inst.baseDAO_.NOTIONAL = Math.Abs(notional);
inst.baseDAO_.PRICE = fixedRate;
inst.baseDAO_.QUANTITY = Math.Abs(quantity);
inst.baseDAO_.CURR = "KRW";
inst.baseDAO_.FX_RATE = 1.0;
//inst.baseDAO_.BUY_SELL = (quantity > 0) ? (int)clsMAST_FP_INSTRUMENT_TB.BUY_SELL_Type.Buy :
// (int)clsMAST_FP_INSTRUMENT_TB.BUY_SELL_Type.Sell;
inst.baseDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.baseDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.baseDAO_.BOOKED_DT = "";
inst.baseDAO_.CLOSED_DT = "20991231";
inst.SwapDAO_.INSTRUMENT_ID = inst_ID;
inst.SwapDAO_.INSTRUMENT_TYP = Convert.ToInt32(inst.InstrumentType_);
inst.SwapDAO_.NOTIONAL_PAY = Math.Abs(notional);
inst.SwapDAO_.PAY_CURR = "KRW";
inst.SwapDAO_.NOTIONAL_REC = Math.Abs(notional);
inst.SwapDAO_.REC_CURR = "KRW";
inst.SwapDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.SwapDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.SwapDAO_.PAY_LEG_TYP = 0;
inst.SwapDAO_.PAY_LEG_TENOR = "3M";
inst.SwapDAO_.PAY_LEG_BDC = 0;
inst.SwapDAO_.PAY_LEG_DC = 0;
inst.SwapDAO_.REC_LEG_TYP = 1;
inst.SwapDAO_.REC_LEG_TENOR = "3M";
inst.SwapDAO_.REC_LEG_BDC = 1;
inst.SwapDAO_.REC_LEG_DC = 1;
CalendarManager cm = new CalendarManager(effective, CalendarManager.CountryType.SOUTH_KOREA);
// CF_FixedDAO_
for (int i = 0; i < cashflowCount; i++)
{
FP_FixedRateCoupon fp_cashFlow = new FP_FixedRateCoupon();
fp_cashFlow.DAO_ = new clsMAST_CF_FIXED_TB();
fp_cashFlow.DAO_.CASHFLOW_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_cashFlow.DAO_.LEG_ID = inst_ID;
fp_cashFlow.DAO_.LEG_TYP = 0;
fp_cashFlow.DAO_.NOTIONAL = Math.Abs(notional);
fp_cashFlow.DAO_.CALC_START_DT = effective.AddMonths(3 * i).ToString("yyyyMMdd"); ;
fp_cashFlow.DAO_.CALC_END_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_cashFlow.DAO_.PAYMENT_DT = cm.adjust(effective.AddMonths(3 * (i + 1))).ToString("yyyyMMdd");
fp_cashFlow.DAO_.FIXED_RATE = fixedRate;
if (fixedPayFlag) { inst.FP_PayCashFlowList_.Add(fp_cashFlow); }
else { inst.FP_RecCashFlowList_.Add(fp_cashFlow); }
}
for (int i = 0; i < cashflowCount; i++)
{
FP_FloatingRateCoupon fp_floating_cashFlow = new FP_FloatingRateCoupon();
fp_floating_cashFlow.DAO_ = new clsMAST_CF_VANILLA_FLOATING_TB();
fp_floating_cashFlow.DAO_.CASHFLOW_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.LEG_ID = inst_ID;
fp_floating_cashFlow.DAO_.LEG_TYP = 0;
fp_floating_cashFlow.DAO_.NOTIONAL = Math.Abs(notional);
fp_floating_cashFlow.DAO_.CALC_START_DT = effective.AddMonths(3 * i).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.CALC_END_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.PAYMENT_DT = cm.adjust(effective.AddMonths(3 * (i + 1))).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.FIXING_DT = cm.adjust(effective.AddMonths(3 * i)).ToString("yyyyMMdd");
// 우선 DEFAULT로 박고, FIXING은 차후 데일리로 계산함.
fp_floating_cashFlow.DAO_.FIXING_INDEX_CD = clstb.FLOATING_INDEX_CD;
fp_floating_cashFlow.DAO_.GREARING = 1.0;
fp_floating_cashFlow.DAO_.SPREAD = spread;
fp_floating_cashFlow.DAO_.FIXED_FIXING = 0.0;
fp_floating_cashFlow.DAO_.FIXED_FIXING_CALCLATED
= (int)clsMAST_CF_VANILLA_FLOATING_TB.FIXED_FIXING_CALCLATED_Type.NOT_FIXED;
if (fixedPayFlag) { inst.FP_RecCashFlowList_.Add(fp_floating_cashFlow); }
else { inst.FP_PayCashFlowList_.Add(fp_floating_cashFlow); }
}
return inst;
}
//private void ql_FixedlegSet(List<FP_CashFlow> cashFlow, Leg leg, double notioal, DayCounter dc)
//{
// double fixedRate = 0.0;
// for (int i = 0; i < cashFlow.Count; i++)
// {
// fixedRate = ((FP_FixedRateCoupon)cashFlow[i]).DAO_.FIXED_RATE;
// Date accrualStartDate = new Date(cashFlow[i].CalculationStartDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// Date accrualEndDate = new Date(cashFlow[i].CalculationEndDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// Date paymentDate = new Date(cashFlow[i].PaymentDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// FixedRateCoupon fixedRateCoupon =
// new FixedRateCoupon(paymentDate,
// notioal,
// fixedRate,
// dc,
// accrualStartDate,
// accrualEndDate);
// leg.Add(fixedRateCoupon);
// }
//}
//private void ql_FloatinglegSet(List<FP_CashFlow> cashFlow, Leg leg, double notioal, YieldTermStructure indexCurve, DayCounter dc,QuantLib.Calendar calendar)
//{
// Compounding forwardCompounding = Compounding.Compounded;
// Date evalDate = Settings.instance().getEvaluationDate();
// Console.WriteLine("year : " + evalDate.year());
// Console.WriteLine("month : " + evalDate.month());
// Console.WriteLine("day : " + evalDate.dayOfMonth());
// for (int i = 0; i < cashFlow.Count; i++)
// {
// // hard coding 함. 미친 코딩할 시간을 안줘. 호떡같은..
// //string periodStr = "3M"; // CD91
// FP_FloatingRateCoupon fp_frc_i = (FP_FloatingRateCoupon)cashFlow[i] as FP_FloatingRateCoupon;
// Date accrualStartDate = new Date(cashFlow[i].CalculationStartDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// Date accrualEndDate = new Date(cashFlow[i].CalculationEndDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// Date paymentDate = new Date(cashFlow[i].PaymentDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// double forwardRate = 0.0;
// int calculated = fp_frc_i.DAO_.FIXED_FIXING_CALCLATED;
// Date fixingDate = new Date(fp_frc_i.DAO_.FIXING_DT,"yyyyMMdd");
// if (fixingDate < evalDate || fixingDate == evalDate)
// {
// if (calculated == 1)
// {
// forwardRate = fp_frc_i.DAO_.FIXED_FIXING;
// }
// else
// {
// // 계산함
// clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
// clstb.INDEX_CD = fp_frc_i.DAO_.FIXING_INDEX_CD;
// clstb.REF_DT = fp_frc_i.DAO_.FIXING_DT;
// DataTable tb = clstb.Select();
// double fixed_fixing = 0.0;
// int uniqueSelectCheck = 0;
// foreach (DataRow dr in tb.Select())
// {
// clsHDAT_MARKETDATA_TB resulttb = clsHDAT_MARKETDATA_TB.Create(dr);
// fixed_fixing = resulttb.LAST;
// uniqueSelectCheck += 1;
// }
// if (uniqueSelectCheck > 1)
// {
// throw new Exception("market data is multiple: " + clstb.REF_DT + " " + clstb.INDEX_CD);
// }
// else if (uniqueSelectCheck == 0)
// {
// throw new Exception("market data does not exist : " + clstb.REF_DT + " " + clstb.INDEX_CD);
// }
// // ID 랑 CASHFLOW는 SETTING이 이미 되어 있음.
// fp_frc_i.DAO_.FIXED_FIXING_CALCLATED = 1;
// fp_frc_i.DAO_.FIXED_FIXING = fixed_fixing;
// fp_frc_i.DAO_.UpdateFixing();
// forwardRate = fixed_fixing;
// //((FP_FloatingRateCoupon)cashFlow[i]).DAO_.FIXED_FIXING =
// }
// }
// else
// {
// forwardRate = indexCurve.forwardRate(fixingDate,
// calendar.advance(fixingDate,3,TimeUnit.Months),
// dc,
// forwardCompounding).rate();
// }
// FixedRateCoupon floatingRateCoupon =
// new FixedRateCoupon(paymentDate,
// notioal,
// forwardRate,
// dc,
// accrualStartDate,
// accrualEndDate);
// leg.Add(floatingRateCoupon);
// }
//}
// Vanilla maker
public static VanillaIRS_instrument CreateFixedFloating(bool fixedPayFlag,double notional,
DateTime effective, int maturityYear, double fixedRate, bool fixedPaySide)
{
VanillaIRS_instrument inst = new VanillaIRS_instrument();
int cashflowCount = maturityYear * (12 / 3);
// Master
string inst_ID = IDGenerator.getNewInstrumentID(inst.InstrumentType_, effective,inst);
inst.baseDAO_.INSTRUMENT_ID = inst_ID;
inst.baseDAO_.FP_MASTER_TYP = (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaIRS;
inst.baseDAO_.NOTIONAL = notional;
inst.baseDAO_.PRICE = fixedRate;
inst.baseDAO_.QUANTITY = 1.0;
inst.baseDAO_.CURR = "KRW";
inst.baseDAO_.FX_RATE = 1.0;
inst.baseDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.baseDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.baseDAO_.BOOKED_DT = "";
inst.baseDAO_.CLOSED_DT = "20991231";
inst.SwapDAO_.INSTRUMENT_ID = inst_ID;
inst.SwapDAO_.INSTRUMENT_TYP = Convert.ToInt32(inst.InstrumentType_);
inst.SwapDAO_.NOTIONAL_PAY = Math.Abs(notional);
inst.SwapDAO_.PAY_CURR = "KRW";
inst.SwapDAO_.NOTIONAL_REC = Math.Abs(notional);
inst.SwapDAO_.REC_CURR = "KRW";
inst.SwapDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.SwapDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.SwapDAO_.PAY_LEG_TYP = 0;
inst.SwapDAO_.PAY_LEG_TENOR = "3M";
inst.SwapDAO_.PAY_LEG_BDC = 0;
inst.SwapDAO_.PAY_LEG_DC = 0;
inst.SwapDAO_.REC_LEG_TYP = 1;
inst.SwapDAO_.REC_LEG_TENOR = "3M";
inst.SwapDAO_.REC_LEG_BDC = 1;
inst.SwapDAO_.REC_LEG_DC = 1;
CalendarManager cm = new CalendarManager(effective, CalendarManager.CountryType.SOUTH_KOREA);
// CF_FixedDAO_
for (int i = 0; i < cashflowCount; i++)
{
FP_FixedRateCoupon fp_cashFlow = new FP_FixedRateCoupon();
fp_cashFlow.DAO_ = new clsMAST_CF_FIXED_TB();
fp_cashFlow.DAO_.CASHFLOW_DT = effective.AddMonths(3*(i+1)).ToString("yyyyMMdd");
fp_cashFlow.DAO_.LEG_ID = inst_ID;
fp_cashFlow.DAO_.LEG_TYP = 2800;
fp_cashFlow.DAO_.CALC_START_DT = effective.AddMonths(3 * i).ToString("yyyyMMdd"); ;
fp_cashFlow.DAO_.CALC_END_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_cashFlow.DAO_.PAYMENT_DT = cm.adjust(effective.AddMonths(3 * (i + 1))).ToString("yyyyMMdd");
fp_cashFlow.DAO_.FIXED_RATE = fixedRate;
if (fixedPayFlag) {inst.FP_PayCashFlowList_.Add(fp_cashFlow); }
else { inst.FP_RecCashFlowList_.Add(fp_cashFlow); }
}
for (int i = 0; i < cashflowCount; i++)
{
FP_FloatingRateCoupon fp_floating_cashFlow = new FP_FloatingRateCoupon();
fp_floating_cashFlow.DAO_ = new clsMAST_CF_VANILLA_FLOATING_TB();
fp_floating_cashFlow.DAO_.CASHFLOW_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.LEG_ID = inst_ID;
fp_floating_cashFlow.DAO_.LEG_TYP = 0;
fp_floating_cashFlow.DAO_.CALC_START_DT = effective.AddMonths(3 * i).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.CALC_END_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.PAYMENT_DT = cm.adjust(effective.AddMonths(3 * (i + 1))).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.FIXING_DT = cm.adjust(effective.AddMonths(3 * i)).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.FIXING_INDEX_CD = "CD91";
fp_floating_cashFlow.DAO_.GREARING = 1.0;
fp_floating_cashFlow.DAO_.SPREAD = 0.0;
fp_floating_cashFlow.DAO_.FIXED_FIXING = 0.0;
fp_floating_cashFlow.DAO_.FIXED_FIXING_CALCLATED = 0;
if (fixedPayFlag) { inst.FP_RecCashFlowList_.Add(fp_floating_cashFlow); }
else { inst.FP_PayCashFlowList_.Add(fp_floating_cashFlow); }
}
return inst;
}
public void build_curveHistoryData(DateTime startDate, DateTime endDate,bool withClear)
{
CalendarManager cm = new CalendarManager(DateTime.Now, CalendarManager.CountryType.SOUTH_KOREA);
clsHDAT_CURVEDATA_TB clstb = new clsHDAT_CURVEDATA_TB();
CurveShift curveShift = new CurveShift();
foreach (CurveDefInfo cdi in this.sampleCurve_)
{
clstb.CURVE_CD = cdi.Name_;
if (withClear)
{
clstb.DeleteIndex();
clstb.REF_DT = startDate.ToString("yyyyMMdd");
for (int i = 0; i < cdi.Tenor_.Count; i++)
{
clstb.TENOR = cdi.Tenor_[i];
clstb.TENOR_SEQ = i+1;
clstb.RATE_TYP = (int)clsHDAT_CURVEDATA_TB.RATE_TYP_Type.SWAP;
clstb.RATE = cdi.InitialCurve_[i];
}
}
clstb.Insert();
DateTime roopDate = startDate;
DateTime nextDate = cm.adjust(roopDate, "1D");
while (nextDate < endDate)
{
clstb.REF_DT = roopDate.ToString("yyyyMMdd");
nextDate = cm.adjust(roopDate, "1D");
this.curveData(cdi, curveShift, roopDate, nextDate);
roopDate = nextDate;
}
}
}
public void build_irHistoryData(DateTime startDate, DateTime endDate, bool withClear)
{
CalendarManager cm = new CalendarManager(DateTime.Now, CalendarManager.CountryType.SOUTH_KOREA);
PseudoRandom random = new PseudoRandom();
//RandomSequenceGenerator<MersenneTwisterUniformRng> randGen = random.make_sequence_generator(1000, 1) as RandomSequenceGenerator<MersenneTwisterUniformRng>;
int genNum = Convert.ToInt32((endDate - startDate).TotalDays) * this.sampleIR_.Count;
IRNG randGen = random.make_sequence_generator(genNum, Convert.ToUInt64(this.random_.Next())) as IRNG;
int i = 0;
Sample<List<double>> sample = randGen.nextSequence();
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
foreach (VasicekParameter para in this.sampleIR_)
{
SquareRootProcess vasicek = new SquareRootProcess(para.LongTermRate_, para.Speed_, para.Vol_ , para.Initial_);
clstb.INDEX_CD = para.Name_;
if (withClear)
{
clstb.DeleteIndex();
clstb.REF_DT = startDate.ToString("yyyyMMdd");
clstb.LAST = para.Initial_;
clstb.LOW = para.Initial_;
clstb.HIGH = para.Initial_;
clstb.Insert();
}
DateTime roopDate = startDate;
DateTime nextDate = cm.adjust(roopDate, "1D");
while (nextDate < endDate)
{
clstb.REF_DT = roopDate.ToString("yyyyMMdd");
nextDate = cm.adjust(roopDate, "1D");
this.irData(para.Name_, vasicek, sample.value[i], roopDate, nextDate);
roopDate = nextDate;
i += 1;
}
}
}
private void _pl_closingEnable_Initialize()
{
CalendarManager cm = new CalendarManager(this.refDate_, CalendarManager.CountryType.SOUTH_KOREA);
DateTime nextDate = cm.adjust(this.refDate_);
this.monthEndClosingBtn.Enabled = false;
this.yearEndClosingBtn.Enabled = false;
if ((nextDate.Month - this.refDate_.Month) == 1)
{
this.monthEndClosingBtn.Enabled = true;
}
if ((nextDate.Year - this.refDate_.Year) == 1)
{
this.monthEndClosingBtn.Enabled = true;
this.yearEndClosingBtn.Enabled = true;
}
}