double GetDefaultIncrement(BankRateEvent curEvent, DateTime curDate)
{
int remainDays = (curEvent.EndDate - curDate).Days;
if (remainDays < 0)
{
return 0.0;
}
if (remainDays < 90)
{
double y = (double)remainDays / 90;
double increment = y * curEvent.TargetIncrement * (-1);
return increment;
}
else if (remainDays <= 670)
{
return curEvent.TargetIncrement * (-1);
}
else
{
double daysAfterStart = (365 * 2 + 1) - remainDays;
Trace.Assert(daysAfterStart <= 60);
if (daysAfterStart < 0)
{
return 0.0;
}
Trace.Assert(daysAfterStart >= 0);
double y = daysAfterStart / 60;
double increment = y * curEvent.TargetIncrement * (-1);
return increment;
}
}
public double GetIncrement(BankRateEvent lastEvent, List<BankRateEvent> events, DateTime curDate, double weight)
{
List<double> increments = new List<double>();
foreach (BankRateEvent ev in events)
{
double curIncrement = GetIncrementEach(lastEvent, ev, curDate);
increments.Add(curIncrement);
}
double totalIncrement = weight * (1.0 + increments.Sum());
totalIncrement = MathUtil.CapAndFloor(totalIncrement);
if (totalIncrement < 0.0)
{
logger.Warn("BankRate TotalIncrement < 0.0 ({0})", totalIncrement);
totalIncrement = 0.0;
}
return totalIncrement;
}
double GetDoubleDownFactor(BankRateEvent lastEvent, BankRateEvent curEvent)
{
Trace.Assert(lastEvent.UpDown != UpDown.Same);
Trace.Assert(lastEvent.UpDown != UpDown.Unknown);
Trace.Assert(curEvent.UpDown != UpDown.Same);
Trace.Assert(curEvent.UpDown != UpDown.Unknown);
double factor = 1;
const double kFactor = 1.3;
//const double kFactor = 1000;
double devide = kFactor;
if (lastEvent.UpDown != curEvent.UpDown)
{
devide = kFactor;
}
int diff = lastEvent.EventKey - curEvent.EventKey;
for (int i = 0; i < diff; ++i)
{
factor /= devide;
}
return factor;
}
double GetIncrementEach(
BankRateEvent lastEvent,
BankRateEvent curEvent,
DateTime curDate)
{
if (curEvent.EndDate < curDate)
{
// 기한이 지났다.
return 0;
}
double doubleDownFactor = GetDoubleDownFactor(lastEvent, curEvent);
double defaultIncrement = GetDefaultIncrement(curEvent, curDate);
double ret = defaultIncrement * doubleDownFactor;
return ret;
}
double CalculateBankRateAdj()
{
double adjValue = 1.0;
for (int i = 1; i < _sortedCalendarData.Count; ++i)
{
Tuple<DateTime, double> prev = _sortedCalendarData[i - 1];
Tuple<DateTime, double> cur = _sortedCalendarData[i];
double prevValue = prev.Item2;
double curValue = cur.Item2;
if (!DoubleUtil.IsSameDouble(prevValue, curValue, 4))
{
double increment = curValue / prevValue - 1;
// 금리 변동이 있다.
BankRateEvent ev = new BankRateEvent();
ev.TargetIncrement = increment;
ev.StartDate = cur.Item1;
ev.EndDate = ev.StartDate.AddYears(kEventDuration);
ev.EventKey = _eventKeyGenerator++;
ev.UpDown = increment > 0 ? UpDown.Up : UpDown.Down;
_events.Add(ev);
_lastEvent = ev;
}
}
adjValue = _policy.GetIncrement(_lastEvent, _events, _dtEnd, _weight);
return adjValue;
}
