public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
OperationRow opData = opSet.GetData(_key);
Boolean on = opData.On;
AssetAdjustment others = _nextAdjustment.CalculateAssetWeight(opSet, targetDate, data);
if (on)
{
AssetAdjustment mine = new AssetAdjustment(_kospiAdjustment, _bondAdjustment, _dollarAdjustment);
Operation op = opData.Op;
if (op == Operation.Multiply)
{
AssetAdjustment ret = AdjustmentUtil.Multiply(mine, others);
return ret;
}
else
{
logger.Warn("Multiply 이외의 기능은 아직 제공하고 있지 않음");
return others;
}
}
else
{
return others;
}
}
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.KospiFuture);
DOHLC dohlc = md.GetData(targetDate);
double curValue = dohlc.OHLC.Close;
AssetAdjustment ret = null;
if (_prevValue > 0)
{
// 평균 변동성을 구한다.
double increment = (curValue - _prevValue) / _prevValue;
_ma.Add(increment);
double avgIncrement = _ma.GetCurMA();
int level = (int)(avgIncrement * 100);
double kospiFactor = 1.3 - 0.1 * level;
ret = new AssetAdjustment(kospiFactor * _weight, 1, 1);
}
else
{
ret = new AssetAdjustment(1, 1, 1);
}
_prevValue = curValue;
return ret;
}
public static AssetAdjustment Multiply(AssetAdjustment a, AssetAdjustment b)
{
double kospiAdjustment = a.KospiAdjustment * b.KospiAdjustment;
double bondAdjustment = a.KtbAdjustment * b.KtbAdjustment;
double dollarAdjustment = a.DollarAdjustment * b.DollarAdjustment;
AssetAdjustment aa = new AssetAdjustment(kospiAdjustment, bondAdjustment, dollarAdjustment);
return aa;
}
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
if (_adjs.ContainsKey(targetDate))
{
Tuple<double, double, double> t = _adjs[targetDate];
AssetAdjustment aa = new AssetAdjustment(t);
_prev = aa;
return aa;
}
return _prev;
}
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
AssetAdjustment adj = new AssetAdjustment(1, 1, 1);
if (targetDate > new DateTime(2007, 6, 1))
{
DateTime twoTradingDaysAgo = DataUtil.GetPivotTradingDate(-2, targetDate, data.PivotData);
MarketData mdCreditDepositRate = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = mdCreditDepositRate.GetData(twoTradingDaysAgo);
double rate = dohlc.OHLC.Close;
double kospiAdjustment = GetKospiAdjustment(rate);
adj = new AssetAdjustment(kospiAdjustment, 1, 1);
}
return adj;
}
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.BokRate);
DOHLC dohlc = md.GetData(targetDate);
AssetAdjustment ret = null;
if (_prevMarketData == null)
{
ret = new AssetAdjustment(1, 1, 1);
}
else
{
double prevValue = _prevMarketData.OHLC.Close;
double curValue = dohlc.OHLC.Close;
// changed more than 1 bp
if (Math.Abs(prevValue - curValue) > 0.01)
{
double increment = curValue / prevValue - 1;
// 금리 변동이 있다.
BokRateEvent ev = new BokRateEvent();
ev.TargetIncrement = increment;
ev.StartDate = targetDate;
ev.EndDate = targetDate.AddYears(kEventDuration);
ev.EventKey = _eventKeyGenerator++;
ev.UpDown = increment > 0 ? UpDown.Up : UpDown.Down;
_events.Add(ev);
_lastEvent = ev;
}
ret = GetIncrement(targetDate);
}
_prevMarketData = dohlc;
return ret;
}
public AssetWeightLog Execute(long caseNumber)
{
IAllocBase allocBase = this._allocBases[(int)caseNumber];
DateTime curDate = this.Input.StartDate;
AssetWeightLog log = new AssetWeightLog();
_curKey = String.Format("SAO({0})", allocBase.GetKey());
while (curDate <= this.Input.EndDate)
{
if (this._readyData.IsExistDate(curDate))
{
AssetWeight aw = allocBase.CalculateAssetWeight(curDate, this._readyData);
AssetAdjustment aa = new AssetAdjustment(1, 1, 1);
aw.Multiply(aa);
aw.SetScale();
log.Add(curDate, aw);
}
curDate = curDate.AddDays(1);
}
return log;
}
public static AssetAdjustment Calculate(
int key,
AssetAdjustment mine,
IAdjustment next,
OperationSet opSet,
DateTime targetDate,
MarketDataSet data)
{
if (next == null)
{
return mine;
}
OperationRow opData = opSet.GetData(key);
Boolean on = opData.On;
AssetAdjustment others = next.CalculateAssetWeight(opSet, targetDate, data);
if (on)
{
Operation op = opData.Op;
if (op == Operation.Multiply)
{
AssetAdjustment ret = AdjustmentUtil.Multiply(mine, others);
return ret;
}
else
{
Trace.Assert(false);
return others;
}
}
else
{
return others;
}
}
public void Sum(AssetAdjustment input)
{
this.KospiWeight += input.KospiAdjustment;
this.BondWeight += input.KtbAdjustment;
this.DollarWeight += input.DollarAdjustment;
}
public void Multiply(AssetAdjustment input)
{
this.KospiWeight *= input.KospiAdjustment;
this.BondWeight *= input.KtbAdjustment;
this.DollarWeight *= input.DollarAdjustment;
}
