public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// market data load
//clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
//clstb.REF_DT = calcDateStr;
//clstb.INDEX_CD = this.DAO_.INDEX_CD;
//int checkNum = clstb.SelectOwn();
//if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); }
//double indexData = clstb.LAST;
// calculate
// position
clsHITM_FP_POSITION_TB position_tb = new clsHITM_FP_POSITION_TB();
position_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
position_tb.POSITION_DT = calcDateStr;
if (position_tb.SelectOwn() == 0) { throw new Exception("position load fail : " + calcDateStr + " " + position_tb.INSTRUMENT_ID); }
double accountIndex = position_tb.ACCOUNT_INDEX;
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.CALC_DT = calcDateStr;
// price
result_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
result_tb.UNDERLYING_ID = "FTP";
result_tb.UNDERLYING_VALUE = this.DAO_.INDEX_RATE;
//
DateTime maturity = ConvertingTool.ToDateTime("21991231");
double t = (maturity - calcDate).TotalDays / 365;
result_tb.DELTA = 0.0;
result_tb.CALC_PRICE = this.DAO_.NOTIONAL;
result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ;
result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS;
result_tb.UpdateDateResult();
// delta
// gamma and others : no exist ?
}
// 기존거 있으면 지움. 초기화임.
public void build_position()
{
// 전일자 position date ?
CalendarManager calendarM = new CalendarManager(this.ReferenceDate_, CalendarManager.CountryType.SOUTH_KOREA);
DateTime preDate = calendarM.preBusinessDay(this.ReferenceDate_);
clsHITM_FP_POSITION_TB clstb_position = new clsHITM_FP_POSITION_TB();
clstb_position.POSITION_DT = this.ReferenceDate_.ToString("yyyyMMdd");
clstb_position.DeleteDate();
this.build_cashMaster();
// ------------------------------------------------------------------------
clsMAST_FP_INSTRUMENT_TB clstb_mast = new clsMAST_FP_INSTRUMENT_TB();
DataTable dt = clstb_mast.Select();
List<Financial_instrument> fi_list = new List<Financial_instrument>();
// master 의 list 내에서 position을 만들음. // bookdate ? 감안해서 만듬?
foreach (DataRow dr in dt.Select())
{
clsMAST_FP_INSTRUMENT_TB tb = clsMAST_FP_INSTRUMENT_TB.Create(dr);
Financial_instrument fi = Financial_instrument.CreateInstrument(tb);
fi_list.Add(fi);
}
foreach (Financial_instrument fi in fi_list)
{
// trading 할때에 같은 날짜는 나중에 더해서 만들어짐
if (ConvertingTool.ToDateTime(fi.baseDAO_.BOOKED_DT).Date < this.ReferenceDate_.Date)
{
fi.build_position(preDate, this.ReferenceDate_);
}
}
}
private void _buildRefDatePosition()
{
// if 이미 set이 되면 안함
clsHITM_FP_POSITION_TB clstb = new clsHITM_FP_POSITION_TB();
clstb.POSITION_DT = this.refDate_.ToString("yyyyMMdd");
if ( clstb.Select().Rows.Count == 0 )
{
CalendarManager cm = new CalendarManager(this.refDate_, CalendarManager.CountryType.SOUTH_KOREA);
DateTime roopDate = this.refDate_.AddDays(-1.0);
while (!cm.isHoliday(roopDate))
{
roopDate = roopDate.AddDays(-1.0);
}
this.HedgeTradingViewModel_.FinanceBook_.makePositionFromPreDate(roopDate,this.refDate_);
}
}
public void position_calculate(DateTime refDate)
{
// 계산 된 결과를
// 포지션에 update침
//List<Position> positionList = new List<Position>();
clsHITM_FP_POSITION_TB clstb_position = new clsHITM_FP_POSITION_TB();
clstb_position.POSITION_DT = refDate.ToString("yyyyMMdd");
DataTable dt = clstb_position.Select();
foreach (DataRow dr in dt.Select())
{
Position p = Position.CreatePosition(clsHITM_FP_POSITION_TB.Create(dr));
p.calculatePL();
}
}
public void build_position(DateTime preDate, DateTime nextDate)
{
//
clsHITM_FP_POSITION_TB clstb = new clsHITM_FP_POSITION_TB();
clstb.POSITION_DT = preDate.ToString("yyyyMMdd");
clstb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
//if (clstb.SelectOwn() == 0)
//{
//throw new Exception("no exist position : " + this.baseDAO_.INSTRUMENT_ID);
//}
// 없는게 말이 안됨... Trade 할때 Position이 박히거든...
// Direct로 Master에 밀어 넣는건 안됨.
// 없으면 없는 건데.. trade된거는 다음 Process 임. 엎어 치던 더하던, 이건 기존꺼만 함.
if ( clstb.SelectOwn() != 0)
{
Position ifp = Position.CreatePosition(clstb);
ifp.DAO_ = clstb;
Position next_date_ifp = ifp.nextDateClone(nextDate);
next_date_ifp.DAO_.Insert();
}
//return next_date_ifp;
}
public void moveInstrumentToThis(clsMAST_FP_INSTRUMENT_TB clstb)
{
// book change
clstb.BOOK_CD = this.bookCode_;
if (clstb.UpdateBook() != 1)
{ throw new Exception("move instrument fail : " + clstb.INSTRUMENT_NM); }
// position change
clsHITM_FP_POSITION_TB clstb_position = new clsHITM_FP_POSITION_TB();
clstb_position.BOOK_CD = this.bookCode_;
clstb_position.INSTRUMENT_ID = clstb.INSTRUMENT_ID;
if (clstb_position.UpdateBookChange() == 0)
{ throw new Exception("0 position is moved : " + clstb.INSTRUMENT_NM); }
}
public void totalPositionLoad()
{
this.LoadedPositionDAOList_.Clear();
// sub book 에 대한 검사.
clsHITM_FP_POSITION_TB clstb = new clsHITM_FP_POSITION_TB();
//clstb.BOOK_CD = book_cd;
clstb.POSITION_DT = this.ReferenceDate_.ToString("yyyyMMdd");
DataTable dt = clstb.Select();
foreach (DataRow dr in dt.Select())
{
this.LoadedPositionDAOList_.Add(clsHITM_FP_POSITION_TB.Create(dr));
}
}
public clsHITM_FP_POSITION_TB Clone()
{
try
{
clsHITM_FP_POSITION_TB cloneTB = new clsHITM_FP_POSITION_TB();
cloneTB._POSITION_ID = this._POSITION_ID;
cloneTB._FP_MASTER_TYP = this._FP_MASTER_TYP;
cloneTB._POSITION_DT = this._POSITION_DT;
cloneTB._BOOK_CD = this._BOOK_CD;
cloneTB._INSTRUMENT_ID = this._INSTRUMENT_ID;
cloneTB._INSTRUMENT_QNT = this._INSTRUMENT_QNT;
cloneTB._EVAL_CURR = this._EVAL_CURR;
cloneTB._CURR_RATE = this._CURR_RATE;
cloneTB._NOTIONAL_AMT = this._NOTIONAL_AMT;
cloneTB._ACCOUNT_AMT = this._ACCOUNT_AMT;
cloneTB._ACCOUNT_UNIT = this._ACCOUNT_UNIT;
cloneTB._ACCOUNT_INDEX = this._ACCOUNT_INDEX;
cloneTB._EVAL_AMT = this._EVAL_AMT;
cloneTB._EVAL_PRICE = this._EVAL_PRICE;
cloneTB._EVAL_ACCOUNT_PL = this._EVAL_ACCOUNT_PL;
cloneTB._TRADE_PROFIT = this._TRADE_PROFIT;
cloneTB._TRADE_LOSS = this._TRADE_LOSS;
cloneTB._TRADE_TOTAL = this._TRADE_TOTAL;
cloneTB._TRANSACTION_FEE = this._TRANSACTION_FEE;
cloneTB._ETC_PL = this._ETC_PL;
cloneTB._TOTAL_ACCOUNT_PL = this._TOTAL_ACCOUNT_PL;
cloneTB._DAILY_EVAL_PL = this._DAILY_EVAL_PL;
cloneTB._DAILY_TOTAL_PL = this._DAILY_TOTAL_PL;
return cloneTB;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
public static clsHITM_FP_POSITION_TB Create(DataRow dr)
{
try
{
clsHITM_FP_POSITION_TB tb = new clsHITM_FP_POSITION_TB();
tb._POSITION_ID = Convert.ToString(dr[0]);
tb._FP_MASTER_TYP = Convert.ToInt32(dr[1]);
tb._POSITION_DT = Convert.ToString(dr[2]);
tb._BOOK_CD = Convert.ToString(dr[3]);
tb._INSTRUMENT_ID = Convert.ToString(dr[4]);
tb._INSTRUMENT_QNT = Convert.ToDouble(dr[5]);
tb._EVAL_CURR = Convert.ToString(dr[6]);
tb._CURR_RATE = Convert.ToDouble(dr[7]);
tb._NOTIONAL_AMT = Convert.ToDouble(dr[8]);
tb._ACCOUNT_AMT = Convert.ToDouble(dr[9]);
tb._ACCOUNT_UNIT = Convert.ToDouble(dr[10]);
tb._ACCOUNT_INDEX = Convert.ToDouble(dr[11]);
tb._EVAL_AMT = Convert.ToDouble(dr[12]);
tb._EVAL_PRICE = Convert.ToDouble(dr[13]);
tb._EVAL_ACCOUNT_PL = Convert.ToDouble(dr[14]);
tb._TRADE_PROFIT = Convert.ToDouble(dr[15]);
tb._TRADE_LOSS = Convert.ToDouble(dr[16]);
tb._TRADE_TOTAL = Convert.ToDouble(dr[17]);
tb._TRANSACTION_FEE = Convert.ToDouble(dr[18]);
tb._ETC_PL = Convert.ToDouble(dr[19]);
tb._TOTAL_ACCOUNT_PL = Convert.ToDouble(dr[20]);
tb._DAILY_EVAL_PL = Convert.ToDouble(dr[21]);
tb._DAILY_TOTAL_PL = Convert.ToDouble(dr[22]);
return tb;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
public override void calculate(DateTime calcDate,FP_Parameter fp_parameter)
{
// market data load
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
clstb.REF_DT = calcDateStr;
clstb.INDEX_CD = this.indexFuturesDAO_.UNDERLYING_INDEX_CD;
int checkNum = clstb.SelectOwn();
if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); }
double indexData = clstb.LAST;
// calculate
// position
clsHITM_FP_POSITION_TB position_tb = new clsHITM_FP_POSITION_TB();
position_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
position_tb.POSITION_DT = calcDateStr;
if (position_tb.SelectOwn() == 0) { throw new Exception("position load fail : " + calcDateStr + " " + position_tb.INSTRUMENT_ID); }
double accountIndex = position_tb.ACCOUNT_INDEX;
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.CALC_DT = calcDateStr;
// price
result_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
result_tb.UNDERLYING_ID = this.indexFuturesDAO_.UNDERLYING_INDEX_CD;
result_tb.UNDERLYING_VALUE = indexData;
//
DateTime maturity = ConvertingTool.ToDateTime(this.indexFuturesDAO_.MATURITY_DT);
double t = (maturity - calcDate).TotalDays / 365;
result_tb.DELTA = Math.Round(this.indexFuturesDAO_.QUANTITY * indexData * this.indexFuturesDAO_.INDEX_MULTIPLIER
* Math.Exp(0.03 * t));
result_tb.CALC_PRICE = Math.Round( this.indexFuturesDAO_.QUANTITY *
( indexData - accountIndex ) *
this.indexFuturesDAO_.INDEX_MULTIPLIER );
result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ;
result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS;
//result_tb.UpdateDateResult();
result_tb.Insert();
// delta
// gamma and others : no exist ?
}
public void position_calculate(DateTime refDate)
{
// 계산 된 결과를
// 포지션에 update침
updateBatchJobID_start(refDate, clsHDAT_BATCHJOB_RESULT_TB.BATCH_JOB_ID_Type.POSITION_CALCULATION);
clsHITM_FP_POSITION_TB clstb_position = new clsHITM_FP_POSITION_TB();
clstb_position.POSITION_DT = refDate.ToString("yyyyMMdd");
DataTable dt = clstb_position.Select();
foreach (DataRow dr in dt.Select())
{
Position p = Position.CreatePosition(clsHITM_FP_POSITION_TB.Create(dr));
p.calculatePL();
}
updateBatchJobID_end(refDate, clsHDAT_BATCHJOB_RESULT_TB.BATCH_JOB_ID_Type.POSITION_CALCULATION);
}
// #CreatePosition_ItemAdd
public static Position CreatePosition(clsHITM_FP_POSITION_TB clsTB)
{
int type = clsTB.FP_MASTER_TYP;
DateTime referenceDate = ConvertingTool.ToDateTime(clsTB.POSITION_DT);
if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexFutures)
{
return new IndexFututuesPosition()
{
ReferenceDateTime_ = referenceDate,
DAO_ = clsTB ,
Financial_instrument_ = new Kospi200Index_futures()
};
}
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)
{
return new IndexOptionPosition ()
{
ReferenceDateTime_ = referenceDate,
DAO_ = clsTB ,
Financial_instrument_ = new Kospi200Index_option()
};
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaIRS)
{
return new VanillaIRSPosition()
{
ReferenceDateTime_ = referenceDate,
DAO_ = clsTB,
Financial_instrument_ = new VanillaIRS_instrument()
};
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Ftp_DepositLoan)
{
return new Ftp_DepositLoanPosition()
{
ReferenceDateTime_ = referenceDate,
DAO_ = clsTB,
Financial_instrument_ = new Ftp_DepositLoan()
};
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Money_Cash)
{
return new CurrencyCashPosition()
{
ReferenceDateTime_ = referenceDate,
DAO_ = clsTB,
Financial_instrument_ = new CurrencyCash()
};
}
else
{
return new UnknownTypePosition()
{
ReferenceDateTime_ = referenceDate,
DAO_ = clsTB
};
}
}
public void calculatePL()
{
CalendarManager cm = new CalendarManager(this.ReferenceDateTime_, CalendarManager.CountryType.SOUTH_KOREA);
clsHITM_FP_GREEKRESULT_TB clstb_result = new clsHITM_FP_GREEKRESULT_TB();
clstb_result.CALC_DT = this.ReferenceDateTime_.ToString("yyyyMMdd");
clstb_result.INSTRUMENT_ID = this.DAO_.INSTRUMENT_ID;
clstb_result.SEQ = 1;
int checkNum = clstb_result.SelectOwn();
if (checkNum == 0) { throw new Exception("no exist"); }
double calcPrice = clstb_result.CALC_PRICE;
double quantity = this.DAO_.INSTRUMENT_QNT;
clsMAST_FP_INSTRUMENT_TB clstb_master = new clsMAST_FP_INSTRUMENT_TB();
//this.DAO_.ETC_PL = clstb_result.CALC_PRICE;
this.DAO_.EVAL_AMT = Math.Round( calcPrice );
this.DAO_.EVAL_PRICE = Math.Round( calcPrice / quantity );
this.DAO_.EVAL_ACCOUNT_PL = Math.Round( this.DAO_.EVAL_AMT - this.DAO_.ACCOUNT_AMT ); // - 평가금액 - 장부금액
//this.DAO_.TRADE_PROFIT = this.DAO_.TRADE_PROFIT + tradePosition.DAO_.TRADE_PROFIT; // 일별 매매수익
//this.DAO_.TRADE_LOSS = tradePosition.DAO_.TRADE_LOSS;
//this.DAO_.TRADE_TOTAL = tradePosition.DAO_.TRADE_TOTAL;
//this.DAO_.TRANSACTION_FEE = tradePosition.DAO_.TRANSACTION_FEE;
this.DAO_.ETC_PL = 0; // 데일리 기타 손익임.
this.DAO_.TOTAL_ACCOUNT_PL = Math.Round( this.DAO_.EVAL_ACCOUNT_PL + this.DAO_.TRADE_TOTAL + this.DAO_.TRANSACTION_FEE );
// 전일 포지션
DateTime preDate = cm.preBusinessDay(ConvertingTool.ToDateTime(this.ReferenceDateTime_.ToString("yyyyMMdd")));
clsHITM_FP_POSITION_TB clstb_position = new clsHITM_FP_POSITION_TB();
clstb_position.POSITION_DT = preDate.ToString("yyyyMMdd");
clstb_position.INSTRUMENT_ID = this.DAO_.INSTRUMENT_ID;
clstb_position.SelectOwn();
// 전일자꺼가 여기 박혀서 옴..? 중간에 trade했을때
this.DAO_.DAILY_EVAL_PL = Math.Round(this.DAO_.EVAL_AMT - clstb_position.EVAL_AMT ); // 전일 평가 - 당일 평가
this.DAO_.DAILY_TOTAL_PL = Math.Round( this.DAO_.TRADE_TOTAL + this.DAO_.ETC_PL + this.DAO_.DAILY_EVAL_PL );
// 여기서 부터 작업
this.calculatePL_impl();
if (this.DAO_.UpdateCalculatedPosition() == 0)
{ throw new Exception("update fail :" + this.DAO_.INSTRUMENT_ID + " " + this.DAO_.POSITION_DT); }
else if (this.DAO_.UpdateCalculatedPosition() > 1)
{ throw new Exception("too many updated :" + this.DAO_.INSTRUMENT_ID + " " + this.DAO_.POSITION_DT); }
else { }
}
public void build_cashPosition(DateTime refDate)
{
clsHITM_CASH_INSTOCK_TB clstb_cash = new clsHITM_CASH_INSTOCK_TB();
DataTable dt = clstb_cash.SelectCashesInEachBook(this.baseDAO_.BOOK_CD);
clsHITM_FP_POSITION_TB clstb = new clsHITM_FP_POSITION_TB();
foreach ( DataRow dr in dt.Select() )
{
clsHITM_CASH_INSTOCK_TB tb_cash = clsHITM_CASH_INSTOCK_TB.Create(dr);
clstb.POSITION_ID = IDGenerator.getNewPositionID(this.baseDAO_.INSTRUMENT_ID, refDate.ToString("yyyyMMdd"));
clstb.FP_MASTER_TYP = this.baseDAO_.FP_MASTER_TYP;
clstb.POSITION_DT = refDate.ToString("yyyyMMdd");
clstb.BOOK_CD = this.baseDAO_.BOOK_CD;
clstb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
clstb.INSTRUMENT_QNT = tb_cash.CASHFLOW;
clstb.EVAL_CURR = tb_cash.CURR;
clstb.CURR_RATE = 1.0;//tb_cash.CURR_RATE;
clstb.NOTIONAL_AMT = tb_cash.CASHFLOW;
clstb.ACCOUNT_AMT = tb_cash.CASHFLOW_DOMESTIC;
clstb.ACCOUNT_UNIT = 0.0;
clstb.ACCOUNT_INDEX = 0.0;
clstb.EVAL_AMT = 0.0;
clstb.EVAL_PRICE = 0.0;
clstb.EVAL_ACCOUNT_PL = 0.0;
clstb.TRADE_PROFIT = 0.0;
clstb.TRADE_LOSS = 0.0;
clstb.TRADE_TOTAL = 0.0;
clstb.TRANSACTION_FEE = 0.0;
clstb.ETC_PL = 0.0;
clstb.TOTAL_ACCOUNT_PL = 0.0;
clstb.DAILY_EVAL_PL = 0.0;
clstb.DAILY_TOTAL_PL = 0.0;
clstb.Insert();
}
}
private static void test()
{
DateTime startDate = new DateTime(2014, 1, 1);
DateTime endDate = DateTime.Now.AddDays(-1.0).Date;
SampleMarketDataETL sample_etl = new SampleMarketDataETL();
HDAT_MARKETDATA_TB marketdata_tb = new HDAT_MARKETDATA_TB();
clsHDAT_MARKETDATA_TB.TableClear();
HDAT_CURVEDATA_TB curvedata_tb = new HDAT_CURVEDATA_TB();
clsHDAT_CURVEDATA_TB.TableClear();
sample_etl.build_historyData(startDate, endDate, true);
{
//HDAT_MARKETDATA_TB marketdata_tb = new HDAT_MARKETDATA_TB();
//clsHDAT_MARKETDATA_TB.TableClear();
//marketdata_tb.buildTestData();
clsHITM_TRADEINFO_TB trade_tb = new clsHITM_TRADEINFO_TB();
clsHITM_TRADEINFO_TB.TableClear();
clsMAST_FP_INSTRUMENT_TB mast_tb = new clsMAST_FP_INSTRUMENT_TB();
clsMAST_FP_INSTRUMENT_TB.TableClear();
clsHITM_FP_POSITION_TB position_tb = new clsHITM_FP_POSITION_TB();
clsHITM_FP_POSITION_TB.TableClear();
curvedata_tb.buildTestData();
SET_DISCOUNTCURVE_TB discount_tb = new SET_DISCOUNTCURVE_TB();
clsSET_DISCOUNTCURVE_TB.TableClear();
discount_tb.buildTestData();
HITM_CALENDAR_TB calendar_tb = new HITM_CALENDAR_TB();
clsHITM_CALENDAR_TB.TableClear();
calendar_tb.buildTestData();
}
}
