public void Add(DateTime dt, AssetWeight aw)
{
_data.Add(dt, aw);
UpdateStartEndDate(dt);
}
public AssetWeight CalculateAssetWeight(DateTime targetDate, MarketDataSet data)
{
//공평하게 0.33씩 나누어서 투자한다.
AssetWeight aw = new AssetWeight(this.KospiWeight, this.BondWeight, this.DollarWeight);
return aw;
}
public void Sum(AssetWeight input)
{
this.KospiWeight += input.KospiWeight;
this.BondWeight += input.BondWeight;
this.DollarWeight += input.DollarWeight;
}
Tuple<double, double, double, double> GetDailyPnL(
AssetWeight aw, DateTime prevDate, DateTime curDate, long notional, MarketDataSet marketDataSet)
{
MarketData mdKospi = marketDataSet.GetData(MarketDataSetKey.KospiFuture);
MarketData mdBond = marketDataSet.GetData(MarketDataSetKey.KtbFuture);
MarketData mdDollar = marketDataSet.GetData(MarketDataSetKey.DollarFuture);
double kospiUpDoweRate = GetUpDownRate(mdKospi, prevDate, curDate);
double bondUpDoweRate = GetUpDownRate(mdBond, prevDate, curDate);
double dollarUpDoweRate = GetUpDownRate(mdDollar, prevDate, curDate);
double kospiPnL = aw.KospiWeight * notional * kospiUpDoweRate;
double bondPnL = aw.BondWeight * notional * bondUpDoweRate;
double dollarPnL = aw.DollarWeight * notional * dollarUpDoweRate;
double sum = kospiPnL + bondPnL + dollarPnL;
return new Tuple<double, double, double, double>(sum, kospiPnL, bondPnL, dollarPnL);
}
public void Multiply(AssetWeight input)
{
this.KospiWeight *= input.KospiWeight;
this.BondWeight *= input.BondWeight;
this.DollarWeight *= input.DollarWeight;
}
