private void AddParRateForTaibor(DateTime startDate, ParRateElf parRateInfo)
{
(DateTime endDate, double days, double daysAct) = GetEndDate(startDate, parRateInfo);
double zero = 0; //# 零息利率
#region 取零息利率
zero = RateAx.零息利率_T_R(parRateInfo.Rate, daysAct);
#endregion 取零息利率
this.ParRateList.Add(new ParRateElfEx(parRateInfo, this.TradeDate, endDate, days, daysAct, zero));
}
public void AddParRate(ParRateElf parRateInfo)
{
switch (parRateInfo.Market)
{
case EnumRateMarket.Interbank:
AddParRateForInterbank(this.TradeDate, parRateInfo); //# 啟算日從交易日
break;
case EnumRateMarket.Taibor:
AddParRateForTaibor(this.TradeDate, parRateInfo); //# 啟算日從交易日
break;
case EnumRateMarket.COSMOS:
AddParRateForCOSMOS(this.SpotDate, parRateInfo); //# 啟算日從即期日
break;
}
}
private (DateTime, double, double) GetEndDate(DateTime startDate, ParRateElf parRateInfo)
{
DateTime endDate = default(DateTime); //# 到期的實際日期
double days = 0; //# 從交易日至到期日總天數
double daysAct = 0; //# 總天數 / Actual
//# 表示驗證用, 會改寫days及daysAct
if (parRateInfo.FakeDays > 0)
{
days = parRateInfo.FakeDays;
daysAct = days / ACTUAL;
endDate = m_tradeDateAx.AdjustTradeDate(startDate.AddDays(parRateInfo.FakeDays));
}
else
{
#region 取到期日
if (parRateInfo.Unit == EnumTenorUnit.Day)
{
if (parRateInfo.Tenor == 1 || parRateInfo.Tenor == 2) //# O/N, T/N
{
endDate = m_tradeDateAx.AddTradeDate(startDate, parRateInfo.Tenor);
}
else
{
endDate = m_tradeDateAx.AdjustTradeDate(startDate.AddDays(parRateInfo.Tenor));
}
}
if (parRateInfo.Unit == EnumTenorUnit.Month)
{
endDate = m_tradeDateAx.AdjustTradeDate(startDate.AddMonths(parRateInfo.Tenor));
}
if (parRateInfo.Unit == EnumTenorUnit.Year)
{
endDate = m_tradeDateAx.AdjustTradeDate(startDate.AddYears(parRateInfo.Tenor));
}
#endregion 取到期日
days = (endDate - this.TradeDate).TotalDays;
daysAct = days / ACTUAL;
}
return(endDate, days, daysAct);
}
private void AddParRateForCOSMOS(DateTime startDate, ParRateElf parRateInfo)
{
(DateTime endDate, double days, double daysAct) = GetEndDate(startDate, parRateInfo);
double zero = 1;
#region 取零息利率
//# 先加入新的COSMOS利率, zero先預設為1
this.ParRateList.Add(new ParRateElfEx(parRateInfo, this.TradeDate, endDate, days, daysAct, zero));
//# 先取出已經存在的COSMOS利率資料重算
List <ParRateElfEx> cosmosList = this.ParRateList.Where(p => p.Market == EnumRateMarket.COSMOS).ToList();
//# 為防萬一先排序一下
cosmosList = (from item in cosmosList
orderby item.Days
select item).ToList();
//# 取最後的Taibor利率
var maxTaibor = (from item in this.ParRateList
where item.Market == EnumRateMarket.Taibor
orderby item.Days descending
select item).First();
GetZero(maxTaibor, cosmosList);
logger.Info("ParRateExList={@parRateExList}", this.ParRateList);
#endregion
}
private void AddParRateForInterbank(DateTime startDate, ParRateElf parRateInfo)
{
//# 一定是ON或TN, 央行沒有報TN, 所以會用ON的利率帶進來
(DateTime endDate, double days, double daysAct) = GetEndDate(startDate, parRateInfo);
double zero = 0; //# 零息利率
#region 取零息利率
if (parRateInfo.Unit == EnumTenorUnit.Day && parRateInfo.Tenor == 2) //# TN
{
ParRateElfEx ON = ParRateList.SingleOrDefault(p => p.Tenor == 1 && p.Unit == EnumTenorUnit.Day);
if (ON == null)
{
throw new Exception("沒有O/N無法計算T/N的零息利率");
}
double s = days - ON.Days;
zero = RateAx.TN零息利率(ON.DF, parRateInfo.Rate, days, s);
}
else
{
zero = RateAx.零息利率_T_R(parRateInfo.Rate, daysAct);
}
#endregion 取零息利率
this.ParRateList.Add(new ParRateElfEx(parRateInfo, this.TradeDate, endDate, days, daysAct, zero));
}
