// empty_calculation result를 만듬.기존거 있으면 지움. 초기화임.
private void build_calculation()
{
// 당일자 ( result 는 만들고 cashflow도 만들어야대나...? )
clsHITM_FP_GREEKRESULT_TB clstb_result = new clsHITM_FP_GREEKRESULT_TB();
// 기존거 있으면 지움. 초기화임.
clstb_result.CALC_DT = this.ReferenceDate_.ToString("yyyyMMdd");
clstb_result.DeleteDate();
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.
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)
{
fi.build_emptyResult(this.ReferenceDate_);
}
}
public void batch_calculate()
{
//
clsHDAT_BATCHJOB_RESULT_TB clstb = new clsHDAT_BATCHJOB_RESULT_TB();
clstb.CALC_DT = this.ReferenceDate_.ToString("yyyyMMdd");
clstb.START_TIME = DateTime.Now.ToString("HHmmdd");
clstb.STATUS = (int)clsHDAT_BATCHJOB_RESULT_TB.STATUS_Type.CALCULATING;
clstb.BATCH_JOB_ID = (int)clsHDAT_BATCHJOB_RESULT_TB.BATCH_JOB_ID_Type.FP_CACULATION;
clstb.Update();
// load 함 ------------------------------------------------------------------
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>();
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);
}
// ------------------------------------------------------------------
try
{
foreach (Financial_instrument roop_fi in fi_list)
{
roop_fi.calculate(this.ReferenceDate_);
}
}
catch (Exception e)
{
this.LogManager_.addLog(e.Message);
}
// ------------------------------------------------------------------
clstb.END_TIME = DateTime.Now.ToString("HHmmdd");
clstb.STATUS = (int)clsHDAT_BATCHJOB_RESULT_TB.STATUS_Type.CALCULATED;
clstb.Update();
}
public void batch_calculate()
{
// if empty result가 없으면 만듬.
//this.build_calculation();
// load 함 ------------------------------------------------------------------
clsMAST_FP_INSTRUMENT_TB clstb_mast = new clsMAST_FP_INSTRUMENT_TB();
DataTable dt = clstb_mast.SelectAliveInstruments(this.ReferenceDate_);
List<Financial_instrument> fi_list = new List<Financial_instrument>();
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);
}
// 파라메터 아직 디폴트 ---------------------------------------------
FP_Parameter fp_parameter = new FP_Parameter();
fp_parameter.CalcDate_ = this.ReferenceDate_;
fp_parameter.defaultLoad();
// ------------------------------------------------------------------
foreach (Financial_instrument roop_fi in fi_list)
{
// 내부에서 cash_flow까지 같이 돌음.
roop_fi.delete_result(this.ReferenceDate_,roop_fi.baseDAO_.INSTRUMENT_ID);
roop_fi.calculate(this.ReferenceDate_, fp_parameter);
}
//try
//{
//}
//catch (Exception e)
//{
// this.LogManager_.addLog(e.Message);
//}
// ------------------------------------------------------------------
//clstb.END_TIME = DateTime.Now.ToString("HHmmdd");
//clstb.STATUS = (int)clsHDAT_BATCHJOB_RESULT_TB.STATUS_Type.CALCULATED;
//clstb.Update();
}
public void loadScenario(clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type? fi_type)
{
this.clstbList_.Clear();
clsSET_SCENARIO_TB clstb = new clsSET_SCENARIO_TB();
clstb.FP_MASTER_TYP = (int)(fi_type.Value);
DataTable dt = clstb.Select();
foreach (DataRow dr in dt.Select() )
{
this.clstbList_.Add(clsSET_SCENARIO_TB.Create(dr));
}
}
// #CreateInstrument_ItemAdd
public static Financial_instrument CreateInstrument(clsMAST_FP_INSTRUMENT_TB tb)
{
int type = tb.FP_MASTER_TYP;
Financial_instrument fi = new Unknown_fi_instrument();
if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexFutures)
{
fi = 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)
{
fi = new Kospi200Index_option();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaIRS)
{
fi = new VanillaIRS_instrument();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaSwap)
{
fi = new Vanilla_Swap();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Ftp_DepositLoan)
{
fi = new Ftp_DepositLoan();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Money_Cash)
{
fi = new CurrencyCash();
}
else
{
//fi = new Unknown_instrument();
}
fi.baseDAO_ = tb;
fi.loadDetail(tb.INSTRUMENT_ID);
return fi;
}
public void fpMasterResultLoad()
{
this.LoadedFPMasterResultVMList_.Clear();
clsMAST_FP_INSTRUMENT_TB clstb = new clsMAST_FP_INSTRUMENT_TB();
//clstb. = this.ReferenceDate_.ToString("yyyyMMdd");
DataTable dt = clstb.Select();
foreach (DataRow dr in dt.Select())
{
FP_MasterResultDataViewModel vm = new FP_MasterResultDataViewModel();
vm.MastDAO_ = clsMAST_FP_INSTRUMENT_TB.Create(dr);
vm.load_resultList(this.ReferenceDate_);
this.LoadedFPMasterResultVMList_.Add(vm);
}
}
// 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_);
}
}
}
public clsMAST_FP_INSTRUMENT_TB Clone()
{
try
{
clsMAST_FP_INSTRUMENT_TB cloneTB = new clsMAST_FP_INSTRUMENT_TB();
cloneTB._INSTRUMENT_ID = this._INSTRUMENT_ID;
cloneTB._INSTRUMENT_NM = this._INSTRUMENT_NM;
cloneTB._FP_MASTER_TYP = this._FP_MASTER_TYP;
cloneTB._NOTIONAL = this._NOTIONAL;
cloneTB._PRICE = this._PRICE;
cloneTB._QUANTITY = this._QUANTITY;
cloneTB._CURR = this._CURR;
cloneTB._FX_RATE = this._FX_RATE;
cloneTB._EFFECTIVE_DT = this._EFFECTIVE_DT;
cloneTB._MATURITY_DT = this._MATURITY_DT;
cloneTB._BOOK_CD = this._BOOK_CD;
cloneTB._BOOKED_DT = this._BOOKED_DT;
cloneTB._CLOSED_DT = this._CLOSED_DT;
return cloneTB;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
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();
}
}
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 totalFPMasterLoad()
{
this.LoadedFPMasterDAOList_.Clear();
// sub book 에 대한 검사.
clsMAST_FP_INSTRUMENT_TB clstb = new clsMAST_FP_INSTRUMENT_TB();
//clstb.BOOK_CD = book_cd;
DataTable dt = clstb.Select();
foreach (DataRow dr in dt.Select())
{
this.LoadedFPMasterDAOList_.Add(clsMAST_FP_INSTRUMENT_TB.Create(dr));
}
}
private static string nextMonthOrder(string typeStr, string yearStr, string monthStr)
{
clsMAST_FP_INSTRUMENT_TB clstb = new clsMAST_FP_INSTRUMENT_TB();
List<string> idList = new List<string>();
foreach (DataRow dr in clstb.Select().Select())
{
idList.Add(Convert.ToString(dr[0]));
}
//string k1 = idList[0].Substring(2, 1);
//string k2 = idList[0].Substring(4, 1);
//string k3 = idList[0].Substring(5, 1);
List<int> order = (from inst_id in idList
where inst_id.Substring(2, 1) == typeStr &&
inst_id.Substring(4, 1) == yearStr &&
inst_id.Substring(5, 1) == monthStr
select IDGenerator.getIndex(inst_id.Substring(6, 3))).ToList<int>();
int max = (order.Count == 0) ? -1 : order.Max();
return IDGenerator.getLetter(max + 1, 3);
}
private static string nextCurrencyOrder(string currency)
{
clsMAST_FP_INSTRUMENT_TB clstb = new clsMAST_FP_INSTRUMENT_TB();
List<string> idList = new List<string>();
foreach (DataRow dr in clstb.Select().Select())
{
idList.Add(Convert.ToString(dr[0]));
}
List<int> order = (from inst_id in idList
where inst_id.Substring(2, 3) == currency
select IDGenerator.getIndex(inst_id.Substring(5, 4))).ToList<int>();
int max = (order.Count == 0) ? -1 : order.Max();
return IDGenerator.getLetter(max + 1, 4);
}
public static clsMAST_FP_INSTRUMENT_TB Create(DataRow dr)
{
try
{
clsMAST_FP_INSTRUMENT_TB tb = new clsMAST_FP_INSTRUMENT_TB();
tb._INSTRUMENT_ID = Convert.ToString(dr[0]);
tb._INSTRUMENT_NM = Convert.ToString(dr[1]);
tb._FP_MASTER_TYP = Convert.ToInt32(dr[2]);
tb._NOTIONAL = Convert.ToDouble(dr[3]);
tb._PRICE = Convert.ToDouble(dr[4]);
tb._QUANTITY = Convert.ToDouble(dr[5]);
tb._CURR = Convert.ToString(dr[6]);
tb._FX_RATE = Convert.ToDouble(dr[7]);
tb._EFFECTIVE_DT = Convert.ToString(dr[8]);
tb._MATURITY_DT = Convert.ToString(dr[9]);
tb._BOOK_CD = Convert.ToString(dr[10]);
tb._BOOKED_DT = Convert.ToString(dr[11]);
tb._CLOSED_DT = Convert.ToString(dr[12]);
return tb;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
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 { }
}
private void build_cashMaster()
{
#region Build Base Cash Master
// cash를 만듬 -----------------------------------------------------------
clsMAST_BOOKINFO_TB clstb_bookinfo = new clsMAST_BOOKINFO_TB();
// krw 없는 booklist를 에다가 krw를 넣음
DataTable noKRWCash_dt = clstb_bookinfo.SelectBookNoKRWCash();
foreach (DataRow dr in noKRWCash_dt.Select() )
{
CurrencyCash cash_fi =
CurrencyCash.CurrencyCashBooking("KRW",clsMAST_BOOKINFO_TB.Create(dr).BOOK_CD,this.ReferenceDate_);
//cash_fi.build_cashPosition(this.ReferenceDate_);
}
DataTable totalBook_dt = clstb_bookinfo.Select();
// 각각의 북마다 krw를 제외한 Currency 를 뜸
clsHITM_CASH_INSTOCK_TB clstb_cash = new clsHITM_CASH_INSTOCK_TB();
clsMAST_FP_INSTRUMENT_TB clstb_master = new clsMAST_FP_INSTRUMENT_TB();
foreach (DataRow dr in totalBook_dt.Select())
{
string book_cd = clsMAST_BOOKINFO_TB.Create(dr).BOOK_CD;
// book별 cash list
foreach ( DataRow dr2 in clstb_cash.SelectCashesInEachBook(book_cd).Select() )
{
string currency = clsHITM_CASH_INSTOCK_TB.Create(dr2).CURR;
if (clstb_master.SelectHasCurrency(currency, book_cd).Rows.Count == 0)
{
if (currency != "KRW")
{
CurrencyCash cash_fi =
CurrencyCash.CurrencyCashBooking(currency, clsMAST_BOOKINFO_TB.Create(dr).BOOK_CD, this.ReferenceDate_);
}
//cash_fi.build_cashPosition(this.ReferenceDate_);
}
}
}
#endregion
// if 오늘 부킹댄거면 position , emptyGreekResult 만듬.
clstb_master.FP_MASTER_TYP = (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Money_Cash;
clstb_master.BOOKED_DT = this.ReferenceDate_.ToString("yyyyMMdd");
DataTable cash_dt = clstb_master.Select();
foreach (DataRow dr in cash_dt.Select())
{
clsMAST_FP_INSTRUMENT_TB tb = clsMAST_FP_INSTRUMENT_TB.Create(dr);
CurrencyCash cash_fi = (CurrencyCash)Financial_instrument.CreateInstrument(tb);
cash_fi.build_cashPosition(this.ReferenceDate_);
//cash_fi.build_emptyResult(this.ReferenceDate_);
}
}
public static CurrencyCash CurrencyCashBooking(string currency, string book_cd, DateTime bookOpenDate)
{
clsMAST_FP_INSTRUMENT_TB clstb = new clsMAST_FP_INSTRUMENT_TB();
CurrencyCash fi = new CurrencyCash(currency);
clstb.INSTRUMENT_ID = IDGenerator.getNewInstrumentID(Financial_instrument.InstrumentType.Money_Cash,
bookOpenDate, fi);
clstb.INSTRUMENT_NM = currency.ToUpper() + " Cash";
clstb.FP_MASTER_TYP = (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Money_Cash;
clstb.NOTIONAL = 0; // 5만달러
clstb.PRICE = 0; // 1102원
clstb.QUANTITY = 0; // 1계약 뭐 이런식 2개면 12만달러임. krw로 바꾸는건 view에서
clstb.CURR = currency;
clstb.FX_RATE = 1.0;
clstb.EFFECTIVE_DT = bookOpenDate.ToString("yyyyMMdd");
clstb.MATURITY_DT = "20991231";
clstb.BOOK_CD = book_cd;
clstb.BOOKED_DT = bookOpenDate.ToString("yyyyMMdd");
clstb.CLOSED_DT = "20991231";
fi.baseDAO_ = clstb;
clstb.Insert();
return fi;
}
