makeVanillaIRS_tradeInfo(DateTime tradeDate,
string avavailableTradeCD,
bool fixedPayFlag,
int quantity,
double tradeIndex,
double spread)
{
VanillaIRSTradeInfo ifti = new VanillaIRSTradeInfo();
clsTRADABLE_OTC_VANILLA_IRS_TB clstb = new clsTRADABLE_OTC_VANILLA_IRS_TB();
clstb.INST_CD = avavailableTradeCD;
clstb.SelectOwn();
int maturityYear = ConvertingTool.TenorMuliplier(clstb.MATURITY_TENOR);
double notioal = Math.Abs(quantity * 10000000000);
//VanillaIRS_instrument irs = VanillaIRS_instrument.CreateFixedFloating(fixedPayFlag,
// notioal,
// tradeDate,
// maturityYear,
// tradeIndex,
// true);
VanillaIRS_instrument irs = VanillaIRS_instrument.CreateTradableCode(avavailableTradeCD,
fixedPayFlag, notioal, quantity,tradeDate, tradeIndex,spread);
ifti.Financial_instrument_ = irs;
double indexMultiplier = VanillaIRSTradeInfo.IndexMultiplier_;
double tradeFeeRate = VanillaIRSTradeInfo.TradeFeeRate_;
ifti.DAO_ = new DatabaseLayer.clsHITM_TRADEINFO_TB();
ifti.DAO_.TRADE_ID = IDGenerator.getNewTradeID(TradeInfo.TradeType.OTC,irs.InstrumentType_, tradeDate);
ifti.DAO_.INSTRUMENT_ID = irs.SwapDAO_.INSTRUMENT_ID;
ifti.DAO_.TRADE_DT = tradeDate.ToString("yyyyMMdd");
ifti.DAO_.TRADE_TM = DateTime.Now.ToString("HHmmss");
ifti.DAO_.TRADE_SEQ = IDGenerator.getTradeSeq(tradeDate);
ifti.DAO_.TRADE_TYP = Convert.ToInt32(TradeInfo.TradeType.OTC);
ifti.DAO_.FP_MASTER_TYP = irs.baseDAO_.FP_MASTER_TYP;
ifti.DAO_.TRADE_UNIT = 10000000000;
ifti.DAO_.TRADE_MULTIPLIER = indexMultiplier;
ifti.DAO_.TRADE_CURR = "KRW";
ifti.DAO_.CURR_RATE = 1.0;
ifti.DAO_.TRADE_INDEX = tradeIndex;
ifti.DAO_.TRADE_INDEXUNIT = 1.0;
ifti.DAO_.TRADE_QNT = quantity;
ifti.DAO_.TRADE_NOTIONAL_AMT = Math.Round(Math.Abs(Convert.ToDouble(quantity * ifti.DAO_.TRADE_UNIT)));
ifti.DAO_.ACCOUNT_AMT = 0.0;
ifti.DAO_.TRADE_FEE = Math.Round(Math.Abs(ifti.DAO_.TRADE_NOTIONAL_AMT * tradeFeeRate));
ifti.DAO_.TRADE_PL = 0.0;
ifti.DAO_.TRADE_FEE_PAYMENT_DT = tradeDate.ToString("yyyyMMdd");
ifti.DAO_.COUNTER_ID = "OTC";
ifti.DAO_.BOOKED_FLAG = 0;
return ifti;
}
// #CREATETRADEINFO_ITEMADD
public static TradeInfo CreateTradeInfo(clsHITM_TRADEINFO_TB tb)
{
int type = tb.FP_MASTER_TYP;
TradeInfo ti = new UnknownType_TradeInfo();
if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexFutures)
{
ti = new Kospi200FuturesTradeInfo();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexOption_Call
|| type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexOption_Put)
{
ti = new Kospi200OptionTradeInfo();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaIRS)
{
ti = new VanillaIRSTradeInfo();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaSwap)
{
ti = new Vanilla_SwapTradeInfo();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Ftp_DepositLoan)
{
ti = new Ftp_DepositLoanTradeInfo();
}
else
{
//fi = new Unknown_instrument();
}
ti.DAO_ = tb;
//fi.baseDAO_ = tb;
//fi.loadDetail(tb.INSTRUMENT_ID);
return ti;
}
private TradeInfo match_trade(GreekPosition greekPosition)
{
TradeInfo tradeInfo = new VanillaIRSTradeInfo();
tradeInfo.Financial_instrument_ = this.match_hedge_instrument(greekPosition.Greek_);
tradeInfo.Quantity_ = this.calculate_tradeQuantity(greekPosition, tradeInfo.Financial_instrument_);
return tradeInfo;
}