public static ScenarioInfo BaseParallelShift()
{
ScenarioInfo scenarioInfo = new ScenarioInfo();
scenarioInfo.DAO_ = new clsSET_SCENARIO_TB();
scenarioInfo.DAO_.FP_MASTER_TYP = 9999;
if (scenarioInfo.DAO_.SelectOwn() == 0) { throw new Exception("default curve shift scenario load fail"); };
return scenarioInfo;
}
public static ScenarioInfo NullScenario()
{
ScenarioInfo scenarioInfo = new ScenarioInfo();
scenarioInfo.DAO_ = new clsSET_SCENARIO_TB();
scenarioInfo.DAO_.FP_MASTER_TYP = 9999;
scenarioInfo.DAO_.SCENARIO_CD = "NOSHIFT";
scenarioInfo.DAO_.CURVE_CD = "NULL";
scenarioInfo.DAO_.PARALLEL_SHIFT_UNIT = 0.0;
scenarioInfo.DAO_.HUMP_SHIFT_UNIT = 0.0;
scenarioInfo.DAO_.HUMP_CENTER_T = 0.0;
scenarioInfo.DAO_.STEEPEN_SHIFT_UNIT = 0.0;
scenarioInfo.DAO_.STEEPEN_CENTER_T = 0.0;
return scenarioInfo;
}
//public QuantLib.YieldTermStructure yieldCurve()
//{
// List<string> depositePeriodStr = new List<string>();
// List<double> depositeRate = new List<double>();
// List<string> swapPeriodStr = new List<string>();
// List<double> swapRate = new List<double>();
// foreach (clsHDAT_CURVEDATA_TB data in this.ResultCuveData_)
// {
// if ( data.RATE_TYP == 1)
// {
// depositePeriodStr.Add(data.TENOR);
// depositeRate.Add(data.RATE);
// }
// else if (data.RATE_TYP == 2)
// {
// swapPeriodStr.Add(data.TENOR);
// swapRate.Add(data.RATE);
// }
// else
// {
// }
// }
// //string[] depositePeriodStr = {"3M","6M","9M","12M"};
// //string[] swapPeriodStr = {"2Y","3Y","4Y","5Y","7Y","10Y","15Y","20Y"};
// Date refDate = new Date(this.ReferenceDate_.ToString("yyyyMMdd"),"yyyyMMdd");
// Period floating_tenor = new Period("3M");
// Period swap_tenor = new Period("10Y");
// Period fixedRate_tenor = new Period("10Y");
// Currency currency = new KRWCurrency();
// Calendar calendar = new SouthKorea();
// BusinessDayConvention bdconv = BusinessDayConvention.ModifiedFollowing;
// DayCounter dayCounter = new Actual365Fixed();
// IborIndex iborIndex = new IborIndex("CD91", floating_tenor, 0, currency, calendar, bdconv, false, dayCounter);
// RateHelperVector rhv = new RateHelperVector();
// for (int i = 0; i < depositePeriodStr.Count; i++)
// {
// Period period = new Period(depositePeriodStr[i]);
// DepositRateHelper depositHelper = new DepositRateHelper(depositeRate[i], period ,0,calendar,bdconv,false,dayCounter);
// rhv.Add(depositHelper);
// }
// Frequency swapFrequency = Frequency.Semiannual;
// for (int i = 0; i < swapPeriodStr.Count ; i++)
// {
// //SwapIndex swapIndex = new SwapIndex("KRWIRS", swap_tenor, 0, currency, calendar, fixedRate_tenor, bdconv, dayCounter, iborIndex);
// Period swap_inst_tenor = new Period( swapPeriodStr[i] );
// SwapRateHelper swapHelper = new SwapRateHelper(swapRate[i], swap_inst_tenor, calendar, swapFrequency, bdconv, dayCounter, iborIndex);
// rhv.Add(swapHelper);
// }
// QuantLib.YieldTermStructure yts = new QuantLib.PiecewiseLinearZero(refDate,rhv,dayCounter);
// return yts;
//}
public YieldTermStructure yieldCurve(ScenarioInfo scenarioInfo)
{
if (scenarioInfo == null)
scenarioInfo = new ScenarioInfo();
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 t = dc.yearFraction(this.ReferenceDate_, dt);
double? rate = tb.RATE + scenarioInfo.shift(t);
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;
}