static double GetOptionMaturityMarketValue(Datum datum, double strike)
{
KospiOptionInfo koi = OptionUtil.GetKOI(datum.Code);
double option_count = datum.Count;
if (koi.CallPut == CallPutFlag.Call)
{
double market_value = Math.Max(strike - koi.Strike, 0) * option_count * Const._100_000;
return market_value;
}
else
{
double market_value = Math.Max(koi.Strike - strike, 0) * option_count * Const._100_000;
return market_value;
}
}
static double GetElwMaturityMarketValue(Datum datum, double strike)
{
ElwInfo ei = ElwUtil.GetElwInfo(datum.Code);
double option_count = ElwOptionUtil.ConvertElwCountToOptionCount_Double(ei, datum.Count);
if (ei.CallPut == CallPutFlag.Call)
{
double market_value = Math.Max(strike - ei.Strike, 0) * option_count * Const._100_000;
return market_value;
}
else
{
double market_value = Math.Max(ei.Strike - strike, 0) * option_count * Const._100_000;
return market_value;
}
}
static Dictionary<String, Datum> GetOptionDict(double strike, ExcelData option_data)
{
Excel.Worksheet ws = option_data.xlWorkSheet;
Dictionary<String, Datum> dict = new Dictionary<string, Datum>();
//loop without header row.
for (int i = 2; i <= ws.Rows.Count; ++i)
{
Excel.Range rngTicker = ws.Cells[i, 2] as Excel.Range;
if (rngTicker.Value2 == null || rngTicker.Count == 0)
{
break;
}
String ticker = rngTicker.Value2.ToString();
Excel.Range rngCount = ws.Cells[i, 4] as Excel.Range;
long count = Convert.ToInt64(rngCount.Value2);
Excel.Range rngClose = ws.Cells[i, 7] as Excel.Range;
double close = Convert.ToDouble(rngClose.Value2);
Excel.Range rngMarketValue = ws.Cells[i, 9] as Excel.Range;
double market_value = Convert.ToInt64(rngMarketValue.Value2);
Excel.Range rngCurPnL = ws.Cells[i, 10] as Excel.Range;
double cur_pnl = Convert.ToInt64(rngCurPnL.Value2);
Excel.Range rngLongShort = ws.Cells[i, 8] as Excel.Range;
String longShortKorean = rngLongShort.Value2.ToString();
TradingDirection long_short = TradingDirection.Short;
if (longShortKorean.CompareTo("매수") == 0)
{
long_short = TradingDirection.Long;
}
double book_value = market_value + cur_pnl;
KospiOptionInfo koi = OptionUtil.GetKOI(ticker);
Datum datum = new Datum();
datum.Code = ticker;
datum.Close = close;
datum.Count = count;
datum.BookValue = book_value;
datum.MarketValue = market_value;
datum.CallPut = koi.CallPut;
datum.MaturityMarketValue = GetOptionMaturityMarketValue(datum, strike);
datum.LongShort = long_short;
dict.Add(ticker, datum);
}
return dict;
}
static Dictionary<String, Datum> GetElwDict(double strike, ExcelData elw_data)
{
Excel.Worksheet ws = elw_data.xlWorkSheet;
Dictionary<String, Datum> dict = new Dictionary<string, Datum>();
//loop without header row.
for (int i = 2; i <= ws.Rows.Count; ++i)
{
Excel.Range rng1 = ws.Cells[i, 1] as Excel.Range;
if (rng1.Value2 == null || rng1.Count == 0)
{
break;
}
String ticker = rng1.Value2.ToString();
Excel.Range rngCount = ws.Cells[i, 4] as Excel.Range;
long count = Convert.ToInt64(rngCount.Value2);
Excel.Range rngBookValue = ws.Cells[i, 12] as Excel.Range;
long book_value = Convert.ToInt64(rngBookValue.Value2);
Excel.Range rngClose = ws.Cells[i, 21] as Excel.Range;
double close = Convert.ToDouble(rngClose.Value2);
Excel.Range rngMarketValue = ws.Cells[i, 25] as Excel.Range;
double market_value = Convert.ToInt64(rngMarketValue.Value2);
ElwInfo ei = ElwUtil.GetElwInfo(ticker);
Datum datum = new Datum();
datum.Code = ticker;
datum.Close = close;
datum.Count = count;
datum.BookValue = book_value;
datum.MarketValue = market_value;
datum.CallPut = ei.CallPut;
datum.MaturityMarketValue = GetElwMaturityMarketValue(datum, strike);
datum.LongShort = TradingDirection.Long;
dict.Add(ticker, datum);
}
return dict;
}
